The Role of Growth Options in Explaining Stock Returns

2014 ◽  
Vol 49 (3) ◽  
pp. 749-771 ◽  
Author(s):  
Lenos Trigeorgis ◽  
Neophytos Lambertides
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Capital Investment ◽  
Explanatory Power ◽  
Growth Options ◽  
Risk Return ◽  
Growth Option ◽  
Growth Stocks ◽  
The Cross

AbstractWe extend the Fama-French (1992) model by considering growth option (as well as distress/leverage) variables in explaining the cross section of stock returns. We find that growth option variables, namely growth in capital investment and yet-unexercised growth options (GO), are significantly and negatively related to stock returns. Investors may be willing to accept lower average returns from growth stocks in exchange for a more favorable (positively skewed) risk-return profile. Book-to-market (BM) ratio seems to proxy for omitted distress/leverage variables. When these are explicitly accounted for, BM is not that significant. Our growth options variables have added explanatory power.

The Role of Expectations in Explaining the Cross-Section of Stock Returns

2004 ◽  
Vol 9 (2/3) ◽  
pp. 149-188 ◽  
Author(s):  
Tom Copeland ◽  
Aaron Dolgoff ◽  
Alberto Moel
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross

The Role of Beta and Size in the Cross-Section of European Stock Returns

1999 ◽  
Vol 5 (1) ◽  
pp. 9-27 ◽  
Author(s):  
Steven L. Heston ◽  
K. Geert Rouwenhorst ◽  
Roberto E. Wessels
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross

scholarly journals The Cross-Section of Expected Stock Returns in Brazil

2016 ◽  
Vol 14 (2) ◽  
pp. 151
Author(s):  
Gyorgy Varga ◽  
Ricardo Dias de Oliveira Brito
Keyword(s):  
Risk Factors ◽  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Explanatory Power ◽  
Positive Relation ◽  
Cross Sectional ◽  
Expected Stock Returns ◽  
The Cross

In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market β and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.

Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume

2021 ◽  
Author(s):  
Dan Li ◽  
Geng Li
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Trading Volume ◽  
Positive Relationship ◽  
Theoretical Models ◽  
Equity Market ◽  
Stock Trading ◽  
Trading Activities ◽  
The Cross

Abstract Theoretical models have long recognized the role of investor disagreements in the marketplace, but little evidence is documented regarding how belief dispersion affects trading activities in the broad equity market. Using over three decades of data from a survey of US households, we introduced a novel measure of household macroeconomic belief dispersion and document its positive relationship with market-wide stock trading volume, even after controlling for an array of professional analysts’ belief dispersion. Results are more pronounced for the belief dispersion among households who are more likely to own stocks. Furthermore, we show that the household belief dispersion is priced in the cross-section of stock returns, whereas that among professional analysts is not.

Seasonality in the Cross-Section of Stock Returns

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 55-56
Author(s):  
Kathryn Dixon Jost
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross
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