Download This PaperHow Pervasive and Investable is the Asset Growth Anomaly?
2012 China International Conference in Finance
41 Pages Posted: 28 Sep 2017 Last revised: 5 Mar 2020
Date Written: September 27, 2017
Abstract
Based on U.S. stock returns from 1973 to 2015, this study found that the asset growth anomaly does not seem to be pervasive and investable. The trading strategy is robust only among a tiny portion of the equity market in terms of both number of stocks and capitalization. In addition to underdiversifcation and capacity constraint, the implementation also involves high arbitrage risk, illiquidity and price impact, low stock loan supply, and potentially non-negligible brokerage fee.
Keywords: asset growth; corporate investments; stock returns
JEL Classification: G14, G31, G32, M41, M42
Suggested Citation: Suggested Citation