資產成長代表公司的整體成長,過去在美國、澳洲與亞洲國家之股票市場皆發現有資產成長的現象,顯示當公司從事與資產擴張有關之活動時,後續會有較差的異常報酬;而進行與資產縮減有關的活動時,後續則會伴隨著較高的異常報酬。相較於美國股市總資產成長的穩定成長趨勢,由台股的數據則發現總資產成長波動相當劇烈,因而探究資產成長對台灣股票報酬所造成影響。研究發現僅其他資產成長對股票報酬具有顯著的負向解釋力,總資產成長則否,於不同期間下之穩定性檢定結果亦是如此。進一步建立資產成長因子,我們發現其他資產成長因子在資產定價橫斷面模型沒有較好的解釋能力,但在時間序列模型上的解釋能力較佳。
We investigate the asset growth anomaly in Taiwan stock market. Asset growth represents for the company's overall growth, the findings suggest that corporate events associated with asset expansion tend to be followed by periods of abnormally low returns, whereas events associated with asset contraction tend to be followed by periods of abnormally high returns. Asset growth was negatively correlated with future stock returns in U.S., Australia and Asia stock markets. The annual median total asset growths were steadily increasing in the U.S. stock market, but it is volatile in Taiwan, therefore we examine the asset growth effect in Taiwan stock market. Our empirical results indicate that only other asset growth is significantly correlated with stock returns, which is different from the evidence on the U.S., Australia and other Asian markets. Following Fama and French (1993), we then construct two asset growth factors. The inclusion of asset growth factor in asset pricing models adds nothing to its ability to explain the cross-section of stock returns. However, we find the other asset growth factor has additional explanatory power for stock returns in time series model.