Abstract

http://ssrn.com/abstract=1787237
 
 

References (69)



 
 

Citations (3)



 


 



The Asset Growth Effect: Insights from International Equity Markets


Akiko Watanabe


University of Alberta - School of Business; University of Alberta - Department of Finance and Statistical Analysis

Yan Xu


HKU, Faculty of Business and Economics

Tong Yao


University of Iowa - Henry B. Tippie College of Business

Tong Yu


University of Rhode Island - College of Business Administration

July 1, 2012


Abstract:     
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 over-investment, market timing, or other forms of mispricing.

Number of Pages in PDF File: 58

Keywords: asset growth effect, investment-based asset pricing, international capital market

JEL Classification: G12, G14, G15

working papers series


Download This Paper

Date posted: March 16, 2011 ; Last revised: January 27, 2013

Suggested Citation

Watanabe, Akiko and Xu, Yan and Yao, Tong and Yu, Tong, The Asset Growth Effect: Insights from International Equity Markets (July 1, 2012). Available at SSRN: http://ssrn.com/abstract=1787237 or http://dx.doi.org/10.2139/ssrn.1787237

Contact Information

Akiko Watanabe
University of Alberta - School of Business ( email )
3-30A Business Building
University of Alberta
Edmonton, Alberta T6G 2R6
Canada
780-492-0385 (Phone)
780-492-3325 (Fax)
HOME PAGE: http://www.bus.ualberta.ca/awatanabe

University of Alberta - Department of Finance and Statistical Analysis ( email )
2-32C Business Building
Edmonton, Alberta T6G 2R6
Canada
HOME PAGE: http://www.bus.ualberta.ca/awatanabe

Yan Xu (Contact Author)
HKU, Faculty of Business and Economics ( email )
Pok Fu Lam Road
Hong Kong
Hong Kong
Tong Yao
University of Iowa - Henry B. Tippie College of Business ( email )
108 Pappajohn Business Building
Iowa City, IA 52242-1000
United States
Tong Yu
University of Rhode Island - College of Business Administration ( email )
Kingston, RI 02881
United States
(401) 874-7415 (Phone)
(401) 874-4312 (Fax)
HOME PAGE: http://www.cba.uri.edu/tong
Feedback to SSRN


Paper statistics
Abstract Views: 2,093
Downloads: 461
Download Rank: 33,642
References:  69
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.328 seconds