Asset Growth and the Cross Section of Stock Returns: Evidence from Greek Listed Firms

Management Decision, Vol. 55, pp. 826 – 841, 2017

Posted: 5 Apr 2017 Last revised: 29 May 2017

See all articles by Georgios Constantinou

Georgios Constantinou

Athens University of Economics and Business - Department of Business Administration

Angeliki Karali

Athens University of Economics and Business - Department of Business Administration

Georgios A. Papanastasopoulos

University of Piraeus - Department of Business Administration

Date Written: April 4, 2017

Abstract

This paper examines whether firm-level asset investment effects in returns found for U.S. firms occur within the Greek stock market. We find that growth in total assets is strongly negatively related to future stock returns of Greek firms. In fact, the relation remains statistically significant, even when we control for other strong predictors of future returns (i.e., market capitalization and book-to-market ratio). Furthermore, we find that a hedge trading strategy on asset growth rate consisting of a long (short) position in firms with low (high) balance sheet growth generates positive returns, confirming that investment growth has significant predictive power for future returns of Greek listed firms.

Keywords: asset growth, stock returns, Greek stock market

JEL Classification: G10, M4

Suggested Citation

Constantinou, Georgios and Karali, Angeliki and Papanastasopoulos, Georgios A., Asset Growth and the Cross Section of Stock Returns: Evidence from Greek Listed Firms (April 4, 2017). Management Decision, Vol. 55, pp. 826 – 841, 2017, Available at SSRN: https://ssrn.com/abstract=2945980

Georgios Constantinou

Athens University of Economics and Business - Department of Business Administration ( email )

Athens
Greece

Angeliki Karali

Athens University of Economics and Business - Department of Business Administration ( email )

Athens
Greece

Georgios A. Papanastasopoulos (Contact Author)

University of Piraeus - Department of Business Administration ( email )

80, KARAOLI & DIMITRIOU,PIRAEUS
Piraeus, 18534
Greece

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