Review of Accounting Studies ·Volume 23, Issue 1, MAR 2018

收益可预测性和细分市场的实物期权价值

作者：Pingui Rao (Jinan University)

Heng Yue (Singapore Management University)

Xin Zhou (XY Investments)

摘要：有理论认为公司价值应该包括实物期权的价值，也就是说，企业可以选择扩大盈利能力较强的业务和清算盈利能力较差的业务。在一家多元化公司中，每个细分市场都有自己的实物期权。将实物期权理论应用于多元化公司的公司层面会忽略细分层面实物期权的价值。如果投资者忽略细分层面实物期权的价值，则会发生错误定价。使用1981年至2013年的数据，我们发现做多实物期权价值估值（RVS）最高的十分位数的多元化公司，并做空RVS最低的十分位数的那些公司，从而构成了一个多空对冲组合，获得了0.79％的规模调整后的月收益。对于那些增长机会主要集中在利润更高的领域的公司，对冲回报更为显著。我们还发现，对于高增长、分析师覆盖率较低和公司治理较强的公司来说，RVS的预测能力更强。进一步的研究将改善的运营绩效与细分层面的实物期权的运用联系起来。

关键词：实物期权价值；收益可预测性；异常收益；细分市场

Return predictability and the real option value of segments

Pingui Rao (Jinan University) Heng Yue (Singapore Management University) Xin Zhou (XY Investments)

ABSTRACT

Theory suggests that firm value should include the value of real options; that is, firms have the option to expand more profitable businesses and liquidate less profitable businesses. In a diversified firm, each segment has its own real options. Applying real options theory to a diversified firm at the firm level neglects the value of segment-level options. If investors overlook segment-level options, mispricing will occur. Using data from 1981 to 2013, we find that a hedge portfolio buying diversified firms in the highest decile of the estimated real option value of segments (RVS) and selling those in the lowest RVS decile earns a significant 0.79% size-adjusted monthly return. The hedge returns are more significant for firms whose growth opportunities mainly lie in the more profitable segments. We also find that the predictive power of RVS is stronger for firms with high growth, lower analyst coverage, and stronger corporate governance. Further investigation links improved operating performance to the exercise of segment-level real options.

Keywords: Real option value; Return predictability; Abnormal returns; Segment

原文链接：

https://link.springer.com/article/10.1007/s11142-017-9421-3

翻译：张展