The bias of growth opportunity (BGO), measured as the difference between market and fundamental values of a firm's growth opportunity, has an ability to predict future stock returns. In the portfolio sort, downward-biased BGO firms earn higher returns than upward-biased ones, which is unexplained by the common asset pricing models. Cross-sectional regression results also confirm BGO's power in predicting stock returns. To explain the anomaly, we show that the BGO premium is more pronounced when investor sentiment is high or when limits-to-arbitrage is severe, which suggests that the is more likely to capture behavioural biases than systematic risk.

中文翻译：

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增长机会偏差

增长机会偏差（BGO），衡量公司增长机会的市场价值和基本价值之间的差异，具有预测未来股票回报的能力。在投资组合排序中，向下偏向的 BGO 公司比向上偏向的公司获得更高的回报，这是常见的资产定价模型无法解释的。横截面回归结果也证实了 BGO 在预测股票收益方面的能力。为了解释这种异常情况，我们表明，当投资者情绪高涨或套利限制严重时，BGO 溢价更为明显，这表明与系统风险相比，BGO 溢价更可能捕捉到行为偏差。