Investing in the Asset Growth Anomaly Across the Globe

Journal of Investment Management 13, 1-21, 2015

33 Pages Posted: 10 May 2014 Last revised: 16 Jul 2016

See all articles by Xi Li

Xi Li

University of Arkansas - Department of Finance

Rodney N Sullivan

University of Virginia, Darden Graduate School of Business

Date Written: August 10, 2014

Abstract

We document the existence of an anomalous asset growth effect globally and find that it comprises some combination of a market mispricing and some pervasive global systematic risk. To support our findings, we explore a battery of tests to include how country-level governance and market characteristics explain the cross-country differences in the effect. We also find evidence that any profits to a trading strategy based on the asset growth effect globally are somewhat diminished by high arbitrage costs.

Keywords: asset growth anomaly, asset pricing

Suggested Citation

Li, Xi and Sullivan, Rodney N, Investing in the Asset Growth Anomaly Across the Globe (August 10, 2014). Journal of Investment Management 13, 1-21, 2015. Available at SSRN: https://ssrn.com/abstract=2434561 or http://dx.doi.org/10.2139/ssrn.2434561

Xi Li

University of Arkansas - Department of Finance ( email )

Fayetteville, AR 72701
United States

Rodney N Sullivan (Contact Author)

University of Virginia, Darden Graduate School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-243-0644 (Phone)

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