NDLI: Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility

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Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility

Content Provider	Scilit
Author	Bali, Turan G. Viva, Luca Del Lambertides, Neophytos Trigeorgis, Lenos
Copyright Year	2019
Description	We provide new evidence on the economic role of growth options behind the profitability, distress, lotteryness, and volatility anomalies. We use idiosyncratic skewness to measure growth options and estimate expected idiosyncratic skewness capturing investors’ expectations about the firm’s mix of growth options versus assets-in-place. We find that investors require a positive premium to hold stocks of inflexible firms with low growth options and negative expected skewness and that a newly proposed skewness factor based on growth options explains the aforementioned anomalies. Thus, the new measure of expected idiosyncratic skewness may serve to reduce the number of anomalies in the literature.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/DE397E0679A673A82EBBAE7753125FF5/S0022109019000619a.pdf/div-class-title-growth-options-and-related-stock-market-anomalies-profitability-distress-lotteryness-and-volatility-div.pdf
ISSN	00221090
e-ISSN	17566916
DOI	10.1017/s0022109019000619
Journal	Journal of Financial and Quantitative Analysis
Issue Number	7
Volume Number	55
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2019-08-22
Access Restriction	Open
Subject Keyword	Journal of Financial and Quantitative Analysis Growth Options Idiosyncratic Skewness
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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