ABSTRACT This study proposes a real options exercise mechanism as a novel explanation for the asymmetric volatility phenomenon. We suggest that asymmetric volatility stems from the exercise of real call options following positive shocks and the exercise of real put options after negative shocks. Furthermore, we uniquely link asymmetric volatility to real options and firm’s growth opportunities. Using US market return data from the period spanning 1926–2018, this paper demonstrates that following a positive market shock generating return volatility, growth-firms exercise more real call options than value-firms. This further alleviates growth-firms’ volatility response, thereby resulting in higher asymmetric volatility. Book-to-market portfolio analyses provide significant empirical evidence that the firm’s growth opportunities intensify the asymmetric volatility phenomenon.

中文翻译：

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鉴于公司的增长机会，实物期权和不对称波动

摘要这项研究提出了一种实物期权行使机制，作为对非对称波动现象的新颖解释。我们建议，非对称波动性源于正冲击后行使真实看涨期权和负冲击后行使真实认沽期权。此外，我们将不对称波动率与实物期权和公司的增长机会建立了独特的联系。本文使用1926年至2018年期间的美国市场回报数据，证明了在积极的市场冲击导致回报波动之后，成长型公司比价值型公司行使更多的真实看涨期权。这进一步减轻了成长型公司的波动性响应，从而导致较高的不对称波动性。