This paper shows that the stock market misprices firms' investment options. We build a real options model of optimal investment under uncertainty to estimate the value of firms' investment options. We show that firms with valuable investment options have a higher likelihood of being mispriced. Importantly, this mispricing is not one-sided, as such firms are equally likely to be undervalued or overvalued. Our paper adds to the debate on whether public equity markets are myopic and systematically undervalue innovative firms. We show that this is not necessarily the case.

中文翻译：

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市场是否正确评估投资期权？*

本文表明，股票市场误导了企业的投资选择。我们建立了不确定条件下最优投资的实物期权模型，以估计企业投资期权的价值。我们表明具有有价值投资选择的公司被错误定价的可能性更高。重要的是，这种定价错误不是单方面的，因为这些公司同样有可能被低估或高估。我们的论文增加了关于公共股票市场是否是近视眼且系统地低估了创新型公司的争论。我们证明并非一定如此。