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
Date Written: August 10, 2014
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
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