How 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

See all articles by Hung Wan Kot

Hung Wan Kot

University of Macau - Department of Finance and Business Economics

FY Eric Lam

Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)

K.C. John Wei

Hong Kong Polytechnic University

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

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

Hung Wan Kot

University of Macau - Department of Finance and Business Economics ( email )

Macau

Full Yet Eric Campbell Lam (Contact Author)

Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) ( email )

55/F, Two International Finance Centre,
8 Finance Street, Central
Hong Kong
China

Kuo-Chiang (John) Wei

Hong Kong Polytechnic University ( email )

11 Yuk Choi Rd
Hung Hom
Hong Kong

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