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首页> 外文期刊>Journal of financial economics >Growth to value: Option exercise and the cross section of equity returns
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Growth to value: Option exercise and the cross section of equity returns

机译：价值增长：期权行权和股权收益的横截面

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摘要

We propose a general equilibrium model to study the link between the cross section of expected returns and book-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option exercise, which is endogenously determined in equilibrium, is highly procyclical and acts as a hedge against risks in assets in place. Consequently, growth options are less risky than value assets, and the model features a value premium. Our model incorporates long-run risks in aggregate consumption and replicates the empirical failure of the conditional capital asset pricing model (CAPM) prediction. The model also quantitatively accounts for the pattern in mean returns on book-to-market sorted portfolios, the magnitude of the CAPM-alphas, and other stylized features of the cross-sectional data.
机译：我们提出了一个一般均衡模型来研究预期收益的横截面与账面市价特征之间的联系。我们对两个原始资产建模：价值资产和增长资产，它们是现有资产的选择。期权行使的成本是内生地由均衡决定的，它具有很高的顺周期性，可以对冲现有资产的风险。因此，增长期权的风险要低于价值资产，并且该模型具有价值溢价的特征。我们的模型将长期风险纳入总消费中，并复制有条件资本资产定价模型（CAPM）预测的经验失败。该模型还定量说明了按市价分类的投资组合的平均收益，CAPM-alpha的大小以及横截面数据的其他样式化特征。

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