Overreaction to growth opportunities: An explanation of the asset growth anomaly

被引：3

作者：

Cai, Charlie X. ^{[1
]}

Li, Peng ^{[2
]}

Zhang, Qi ^{[3
]}

机构：

[1] Univ Liverpool, Management Sch, Chatham St, Liverpool L69 7ZH, Merseyside, England

[2] Univ Leeds, Business Sch, Leeds LS2 9JT, W Yorkshire, England

[3] Univ Durham, Business Sch, Durham DH1 3LE, England

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2019年 / 25卷 / 04期

关键词：

anomaly; asset growth; growth opportunities; overreaction; US market; CROSS-SECTION; INVESTMENT FRICTIONS; ARBITRAGE; RISK; UNCERTAINTY; INFORMATION; RETURNS; PRICES; STOCKS; NEWS;

D O I：

10.1111/eufm.12188

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The negative relation between asset growth and subsequent stock returns is known as the asset growth anomaly. We propose that overreaction to growth opportunities is the source of the asset growth anomaly. This suggests that growth firms as opposed to mature firms, and firms with longer series of asset growth should experience a stronger asset growth anomaly. Our evidence supports these predictions.

引用

页码：747 / 776

页数：30

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