Time: June 16, 2017
Source: Management School
Publiaher: JNU News Centre
Return Predictability and the Real Options Value of Segments, a paper by Prof. Rao Pin’gui of JNU’s Management School and his collaborator, has been published in Review of Accounting Studies, one of six internationally recognized academic journals in the field.
Using data from 1981 to 2013, the paper finds that a hedge portfolio buying diversified firms with the highest decile of real options value of segments (RVS) and selling those with the lowest decile of RVS earns a significant 0.79% size-adjusted monthly returns. It also finds that the hedge returns are more significant for firms with high growth, with good corporate governance, or with a lower level of analyst following. Further investigations indicate that firms improve operating performance by exercising their segment-level real options. Finally, it provides an alternative explanation for the well-documented diversification discount.
Link to the paper: https://ssrn.com/abstract=2845718

(Professor Rao Pin’gui)
Rao is a professor and doctoral supervisor in the accounting department of JNU’s Management School. He graduated from the accounting department of Guanghua School of Management at Peking University and earned a Ph.D. in management in July 2010. He was promoted to associate professor in 2011 and achieved doctoral tutor qualification in 2013. In 2015, as an exception to standard procedure, he was promoted to full professor.
His main research fields cover macroeconomic policy and micro-enterprise behavior; financial accounting and capital market; the application of investment banking in capital market; and behavioral finance. Most of his research achievements have been published in famous journals at home and abroad, including Economic Research, Management World, Finance Research, Accounting Research, Economics Quarterly, World Economy, Journal of Business Finance and Accounting, Journal of Corporate Finance and Journal of Banking and Finance.
http://news.jnu.edu.cn/xysx/yxsd/2017/06/08/09013640416.html