RESIDUAL ASSET GROWTH AND STOCK RETURNS

Feixue Xie

《Advances in Investment Analysis and Portfolio Management》 8期 (2017/05) Pp. 1-39

https://doi.org/10.6291/AIAPM.2017.08.01

摘要

This study shows that it is the residual component, rather than the optimal component, of total asset growth that contributes to the observed negative relation between asset growth and future risk-adjusted returns. This negative relation between the residual asset growth and subsequent returns holds even after controlling for firm characteristic risk and equity misevaluation, consistent with the behavioral explanations. In addition, firms with higher optimal asset growth tend to earn significantly lower future raw returns. However, this negative relation between the optimal asset growth and subsequent raw returns disappears after controlling for the risks associated with firm characteristics and equity misevaluation, which seems to be consistent with the q theory of optimal investment explanation.

關鍵字

Asset Growth ； Capital Investment ； Q Theory ； Stock Returns

參考文獻

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