asset growth(资产增长率与股价的关系)

1、Asset GrowthAsset Growth and Stock Return“We document a strong negative relationship between the growth of total firm assets and subsequent firm stock returns using a broad sample of U.S. stocks.”-Michael Cooper, Huseyin Gulen, and Michael Schill (2008)Asset Growth EffectAcquisitionsEquity and debt

2、offeringsLoan initiations LowAbnomalReturnAsset ExpansionSpinoffsRepurchases Debt repayments Dividend initiations HighAbnomalReturnAsset Contraction Caculating Asset GrowthConstructing Portfolios 10 portfolios Stocks are allocated into deciles based on annual asset growth rates (from low to high) Fo

3、rmed from July of year t to June of year t+1 In accordence with Fama and French (1992) Rebalanced every yearCross-Sectional Tests Test results on 10 Equal-Weighted PortfoliosCross-Sectional Tests Test results on 10 Value-Weighted PortfoliosCross-Sectional Tests The asset growth effect is consistent

4、throughout the sample period across all 10 deciles for firms of both small and large capitalization A long-short strategy: buy the lowest decile and sell the highest decile After controlling for the Fama-French three factors, the long-short strategy has an alpha of 8% per year Comparing With Other D

5、eterminantsAsset Growth appears to be the strongest determinant Decomposing Asset Growth Decomposing Asset Growth Components of asset Significant: current assets, PPE, other assets Not Significant: cash Components of liability Significant: stock, debt, operating liabilities Not Significant: retained

6、 earnings Negative relationship between returns and components is never as strong as overall Asset GrowthRisk-Based or Mispricing Explanation Risk-Based: Investment increase, overall risk reduces, a negative between investment and expected return. Standard risk return model do not explain the effect

7、 Mispricing: Investors overreact to past firm growth rates Earning announcements for low-growth firms are associated with positive abnormal return, while high growth firms have negative abnormal return Asset growth effect is most consistent with this explanationConclusion Stock return models are increasingly improved Asset growth is the strongest predictor relative to CAPM, Three-factor model and Four-factor modelThanks for your attention!Reference Cooper, M., Gulen, H. and Schill, M. (n.d.). Asset Growth and the Cross-Section of Stock Returns. SSRN Electro