作者：Cooper, Michael J.; Gulen, Huseyin; Schill, Michael J.
作者单位：Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; University of Virginia
摘要：We test for firm-level asset investment effects in returns by examining the cross-sectional relation between firm asset growth and subsequent stock returns. Asset growth rates are strong predictors of future abnormal returns. Asset growth retains its forecasting ability even on large capitalization stocks. When we compare asset growth rates with the previously documented determinants of the cross-section of returns (i.e., book-to-market ratios, firm capitalization, lagged returns, accruals, an...
