Growth Options and Firm Valuation

摘要: This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. However, significance mainly comes from R&D firms, which have more options than non-R&D firms. By decomposing volatility into its systematic unsystematic part, we also document only idiosyncratic has significant effect on valuation. Second, analyze of stock returns to realized contemporaneous expenses. Single sorting yields negative portfolio alphas for portfolios, whereas in four-factor model portfolios are all positive. Double expenses reveals these differences To control several explanatory variables simultaneously, run panel regressions confirm relative importance is amplified by