How Pervasive and Investable is the Asset Growth Anomaly?

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

Kot, Hung Wan and Lam, Full Yet Eric Campbell and Wei, Kuo-Chiang (John), How Pervasive and Investable is the Asset Growth Anomaly? (September 27, 2017). 2012 China International Conference in Finance, Available at SSRN: https://ssrn.com/abstract=3043649 or http://dx.doi.org/10.2139/ssrn.3043649