Limits-to-arbitrage, investment frictions, and the asset growth anomaly

• 成果类型: Article
• 署名作者: Lam, F. Y. Eric C.; Wei, K. C. John
• 署名单位: Hong Kong University of Science & Technology; City University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.03.024
• 发表日期: 2011
• 页码: 127-149
• 关键词: Asset growth; Capital investment; stock returns; INVESTMENT FRICTIONS; Limits-to-arbitrage

摘要

We empirically evaluate the predictions of the mispricing hypothesis with limits-to-arbitrage suggested by Shleifer and Vishny (1997) and the q-theory with investment frictions proposed by Li and Zhang (2010) on the negative relation between asset growth and average stock returns. We conduct cross-sectional regressions of returns on asset growth on subsamples split by a given measure of limits-to-arbitrage or investment frictions. We show that: (i) proxies for limits-to-arbitrage and proxies for investment frictions are often highly correlated; (ii) the evidence based on equal-weighted returns shows significant support for both hypotheses, while the evidence from value-weighted returns is weaker; and (iii) in direct comparisons, each hypothesis is supported by a fair and similar amount of evidence. (C) 2011 Elsevier B.V. All rights reserved.