We provide evidence that growth options play an important role in determining the negative relation between corporate investment and idiosyncratic risk in the absence of agency problem. A simple real options model predicts that the negative relation between corporate investment and idiosyncratic risk is a U-shaped function of the level of idiosyncratic risk: investment responds the most when idiosyncratic risk is at the intermediate level. And the negative relation is stronger when firms possess more growth options. Our results are robust when we control for the effect of managerial risk aversion, supporting the view that firms’ optimal response to uncertainty is an important driving force behind the negative investment–idiosyncratic risk relation.

我们提供的证据表明，在没有代理问题的情况下，增长选择在确定公司投资与特质风险之间的负相关关系中起着重要作用。一个简单的实物期权模型预测，公司投资与特质风险之间的负相关关系是特质风险水平的U型函数：当特质风险处于中间水平时，投资反应最大。当企业拥有更多的增长选择权时，负相关性就会增强。当我们控制管理风险规避的效果时，我们的结果是有力的，支持以下观点：企业对不确定性的最佳响应是负投资与异质风险关系背后的重要驱动力。