Abstract

http://ssrn.com/abstract=1684767
 


 



Firm Expansion and Stock Price Momentum


Peter M. Nyberg


Aalto University

Salla Pöyry


Hanken School of Economics

June 24, 2013

Review of Finance, Forthcoming

Abstract:     
We document a significant and robust connection between firm-level asset changes and return momentum. Momentum profits are large and significant for firms that have experienced large asset expansions or contractions, whereas they otherwise are small and often insignificant. The interaction pattern is not subsumed by previously documented drivers of momentum and shows up in market states where prior literature has documented an absence of momentum profits. Furthermore, we find a positive time-series relationship between aggregate asset growth and return momentum, and the effect of aggregate asset growth is stronger than that of variables related to business cycles and investor sentiment. While most existing models of firm investment and momentum cannot explain our results, recent real options models appear to hold the most promise.

Number of Pages in PDF File: 57

Keywords: Asset growth, momentum

JEL Classification: G12

Accepted Paper Series





Download This Paper

Date posted: October 1, 2010 ; Last revised: June 24, 2013

Suggested Citation

Nyberg, Peter M. and Pöyry, Salla, Firm Expansion and Stock Price Momentum (June 24, 2013). Review of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1684767 or http://dx.doi.org/10.2139/ssrn.1684767

Contact Information

Peter Mikael Nyberg (Contact Author)
Aalto University ( email )
P.O. Box 21210
Helsinki, 00101
Finland
Salla Pöyry
Hanken School of Economics ( email )
P.O. Box 479
FI-00101 Helsinki
Finland
Feedback to SSRN


Paper statistics
Abstract Views: 2,986
Downloads: 599
Download Rank: 24,636

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.281 seconds