Asset Growth and Future Stock Returns: International Evidence
24 Pages Posted: 17 Feb 2011 Last revised: 19 Oct 2014
Date Written: December 6, 2010
Abstract
We study the return predictive power of asset growth related measures in the MSCI World Universe, which includes all the developed markets. We find strong return predictive power of asset growth related measures in these markets. This power is particularly stronger for two-year total asset growth rates and is robust to adjustments of size and book-to-market. It is also robust across different subsample periods, in different geographic regions, and among both large and small stocks. We further find that two-year total asset growth rates have the ability to generate abnormal returns for up to four years after its initial measurement period.
Keywords: asset growth, future stock return, international
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