Can Growth Options Explain the Trend in Idiosyncratic Risk

By Charles Cao, Timothy T. Simin, Jing Zhao. 2008

343 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f04de57e001af281e00fe72f65c546785f57b6f9

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Citations in the corpus

Corporate social responsibility and bank risk (2019, neutral): “Company parameters such as profitability (Wei and Zhang (2006)), ownership structure (Xu and Malkiel (2003)), growth prospects (Cao et al. (2006)), or corporate governance (Ferreira and Laux (2007)) are identified as relevant determinants of idiosyncratic risk. CSR represents a specific company char”
Why Are U.S. Stocks More Volatile (2012, background): “Finally, it has been documented that firm growth options and firm risk are positively related (e.g., Cao, Simin, and Zhao (2008)).”
Executive Stock Options, Differential Risk-Taking Incentives, and Firm Value (2012, background): “2 For example, Cao, Simin, and Zhao (2008) and Vasselou and Abedjinou (2004) suggest that innovation and the pursuit of growth options manifest in the form of idiosyncratic volatility.”
Corporate cash holding and firm value (2013, background): “One explanation might be that firms with more growth opportunities could face higher specific risk (Cao et al., 2008), and, as Shin and Stulz (2000) state, Tobin’s Q falls with the firm’s unsystematic risk, showing that investment opportunities do not mitigate the adverse impact of increase of risk…”
From Finance to Marketing: The Impact of Financial Leverage on Customer Satisfaction (2015, methodology): “…+ θ + θ + θ + θ + + ε − − − − (5) Lev CS ADV R&D (5) Lev CTRL F , i, t 0 1 i, t 1 2 i, t 1 3 i, t 1 i, t 5i, t 1 5i 5i, t 3Using a procedure similar to that outlined in Cao, Simin, and Zhao (2008), we find in our sample that, on average, 20% of the shareholder value is due to growth…”
The Bright Side of Political Uncertainty: The Case of R&D (2015, background): “Cao et al. (2008) use this measure to gauge firm growth options and find that the long-term trend in idiosyncratic risk vanishes after controlling for growth options. Further, Kogan and Papanikolaou (2010) empirically document that Q is a good proxy for growth opportunities.”
The Debate over Doing Good: Corporate Social Performance, Strategic Marketing Levers, and Firm-Idiosyncratic Risk (2009, neutral): “Malkiel 2003), growth options (Cao et al. 2007), new listings (Brown and Kapadia 2007), and”
Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, background): “Several authors show that both systematic and idiosyncratic variance are related to the growth opportunities of the firm (e.g., Berk, Green, and Naik 1999; Cao, Simin, and Zhao 2008; Bekaert, Hodrick, and Zhang 2010).”
Corporate social responsibility and corporate cash holdings (2016, methodology): “This measure has been used by Cao et al. (2008), Ferreira and Laux (2007), and Luo and Bhattacharya (2009).”
Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012, methodology): “…controlling for alternative explanations, such as underlying business uncertainty (Wei and Zhang (2006), Irvine and Pontiff (2009)), growth options (Cao, Simin, and Zhao (2008)), business-cycle variations (Bekaert, Hodrick, and Zhang (2012)), and new firm and industry effects (Brown and Kapadia…”
Aggregate Idiosyncratic Volatility (2012, neutral): “The cash flow variables are industry turnover and the growth option variable, the variables stressed by, respectively, Irvine and Pontiff (2009) and Cao et al. (2008); and the R&D spending variables stressed by is accounted for by the systematic component, with the lowest proportions being 88% for…”