| Status | 已發表Published |
| How Pervasive and Investable Is the Asset Growth Anomaly? | |
Kot, H. W. ; Lam, E.F.Y. ; Wei, K.C.J.
| |
| 2017-09-01 | |
| Abstract | Based on U.S. stock returns from 1973 to 2015, this study found that the asset growth anomaly, the negative one-year ahead return predictability of recent corporate investments or asset growth, 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 firms and capitalization. In addition to underdiversifcation and limited capacity, the implementation also involves high arbitrage risk, transaction fees, illiquidity, and price impact. |
| Keyword | asset growth corporate investments stock returns |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 37756 |
| Document Type | Report |
| Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Corresponding Author | Lam, E.F.Y. |
| Recommended Citation GB/T 7714 | Kot, H. W.,Lam, E.F.Y.,Wei, K.C.J.. How Pervasive and Investable Is the Asset Growth Anomaly?, 2017. |
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