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Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina - 2013 - This version: February 5, 2013

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, the significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By...

Persistent link: https://www.econbiz.de/10010226082

Growth options and firm valuation

Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina - 2017 - This version: April 12, 2017

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. The significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing...

Persistent link: https://www.econbiz.de/10012060951

Growth Options and Firm Valuation

Kraft, Holger - 2017

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. The significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing...

Persistent link: https://www.econbiz.de/10012974640

Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics

Kruttli, Mathias S. - 2020

We present a framework to identify market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options of firms with establishments in the landfall region exhibit large, long-lasting increases in implied volatility, reflecting impact...

Persistent link: https://www.econbiz.de/10012847804

Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics

Kruttli, Mathias S. - 2020

Persistent link: https://www.econbiz.de/10012850911

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …

Persistent link: https://www.econbiz.de/10012181922

Accounting-Based Equity Valuation and Returns on Equity Volatility

Lyle, Matthew R. - 2020

The same firm characteristics that help explain cross-sectional variation in expected stock returns, such as size, book-to-market and the earnings yield, also help explain cross-sectional variation in returns to trading in option-implied stock return volatility. This empirical phenomenon is...

Persistent link: https://www.econbiz.de/10012855869

Nailing Down Volatile Temperatures : Examining Their Effects on Asset Prices

Bortolan, Leonardo; Dey, Atreya; Taschini, Luca - 2022

electricity consumption and the weather futures market. We find that this metric is a significant factor in the cross-section of …

Persistent link: https://www.econbiz.de/10013306959

Blame it on the weather : Market implied weather volatility and firm performance

Bae, Joon Woo; Zurita, Virgilio - 2023

We introduce a novel measure of weather risk implied from weather options' contracts. WIVOL captures risks of future … to weather volatility increase the likelihood of unexpected costs: a one-standard deviation change in WIVOL increases … quarterly operating costs by 2%, suggesting that firms, on average, do not fully hedge exposures to weather risks. We estimate …

Persistent link: https://www.econbiz.de/10014349237

Growth Options and Firm Valuation

Kraft, Holger - 2013

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. The significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing...

Persistent link: https://www.econbiz.de/10013085928