The asset growth effect: Insights from international equity markets

• 成果类型: Article
• 署名作者: Watanabe, Akiko; Xu, Yan; Yao, Tong; Yu, Tong
• 署名单位: University of Alberta; University of Rhode Island; University of Iowa
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.12.002
• 发表日期: 2013
• 页码: 529-563
• 关键词: Asset growth; International equity markets; Return predictability; Optimal investment effect; Q-theory

摘要

Firms with higher asset growth rates subsequently experience lower stock returns in international equity markets, consistent with the U.S. evidence. This negative effect of asset growth on returns is stronger in more developed capital markets and markets where stocks are more efficiently priced, but is unrelated to country characteristics representing limits to arbitrage, investor protection, and accounting quality. The evidence suggests that the cross-sectional relation between asset growth and stock return is more likely due to an optimal investment effect than due to overinvestment, market timing, or other forms of mispricing. (C) 2012 Elsevier B.V. All rights reserved.