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Investment Irreversibility,Cash Flow Risk,and Value‐Growth Stock Return Effects
Authors:Wikrom Prombutr  Larry Lockwood  J David Diltz
Institution:1. University of North Carolina at Pembroke;2. Texas Christian University;3. University of Texas at Arlington
Abstract:We simulate results from a simple real options model to provide insight into the value‐growth stock return anomaly. In our model, firms possess either single (“value” firm) or multiple (“growth” firm) investment opportunities. Our model predicts that growth firms: (1) invest sooner, (2) exhibit greater continuity in capital expenditure over time, (3) have lower book‐to‐market ratios, and (4) generate lower rates of return than value firms.
Keywords:value stock anomaly  real options  D81  G12  O33
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