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首页> 外文期刊>Journal of economic theory >Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns
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Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns

机译：随机性现金流量的随机风险和实物期权：对股票收益的影响

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Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a novel explanation of this anomaly based on real options, which is consistent with earlier findings on idiosyncratic volatility (the positive contemporaneous relation between firm-level stock returns and idiosyncratic volatility). Our approach is based on introducing stochastic idiosyncratic cash flow risk into an equity valuation model of firms with growth options. Within our model, a firm's systematic risk depends on the delta of its growth option. The growth option's delta is lower when idiosyncratic volatility rises, driving down the firm's systematic risk and hence its expected return firms with higher idiosyncratic volatility therefore have lower expected returns. Our model additionally offers the following novel empirical predictions: (i) returns correlate positively with idiosyncratic volatility during intervals between large changes in idiosyncratic volatility (the switch effect), and (ii) the anomalies and the switch effect are stronger for firms with more real options and which undergo larger changes in idiosyncratic volatility. Empirical results support the predictions of our model. (C) 2017 Elsevier Inc. All rights reserved.
机译：与特异波动率较低的股票相比，特质波动率较高的股票表现较差。我们基于实物期权对此异常情况提供了新颖的解释，这与早期关于特质波动性（企业水平股票收益率和特质波动性之间的正同时关系）的发现相一致。我们的方法是基于将随机的特殊现金流量风险引入具有增长选择权的公司的股权估值模型中。在我们的模型中，公司的系统风险取决于其增长期权的增量。当特殊波动率上升时，增长期权的三角洲就会降低，从而压低了公司的系统风险，因此，具有特殊波动率的预期收益公司的预期收益就较低。我们的模型还提供了以下新颖的经验预测：（i）特质波动率的大变化之间的时间间隔（转换效应）期间，收益率与特质波动性呈正相关，并且（ii）对于真实性更高的公司，异常和转换效应更强。选择权，并且其固有波动性会发生较大变化。实证结果支持我们模型的预测。 （C）2017 Elsevier Inc.保留所有权利。

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