Asset Growth and Future Stock Returns: International Evidence

24 Pages Posted: 17 Feb 2011 Last revised: 19 Oct 2014

See all articles by Xi Li

Xi Li

University of Arkansas - Department of Finance

Ying L. Becker

IBS

Didier Rosenfeld

State Street Corporate - State Street Global Advisors

Date Written: December 6, 2010

Abstract

We study the return predictive power of asset growth related measures in the MSCI World Universe, which includes all the developed markets. We find strong return predictive power of asset growth related measures in these markets. This power is particularly stronger for two-year total asset growth rates and is robust to adjustments of size and book-to-market. It is also robust across different subsample periods, in different geographic regions, and among both large and small stocks. We further find that two-year total asset growth rates have the ability to generate abnormal returns for up to four years after its initial measurement period.

Keywords: asset growth, future stock return, international

Suggested Citation

Li, Xi and Becker, Ying L. and Rosenfeld, Didier, Asset Growth and Future Stock Returns: International Evidence (December 6, 2010). Financial Analysts Journal 68 (3), 51-62, May/June, 2012. . Available at SSRN: https://ssrn.com/abstract=1762704 or http://dx.doi.org/10.2139/ssrn.1762704

Xi Li (Contact Author)

University of Arkansas - Department of Finance ( email )

Fayetteville, AR 72701
United States

Ying L. Becker

IBS ( email )

Mailstop 32
415 South Street
Waltham, MA MA 02453-2728
United States
508-494-7530 (Phone)

Didier Rosenfeld

State Street Corporate - State Street Global Advisors ( email )

United States

Register to save articles to
your library

Register

Paper statistics

Downloads
586
Abstract Views
2,419
rank
45,624
PlumX Metrics