The asset growth anomaly in the Chinese stock market

被引：0
|
作者：
Feng, Xu [1 ,2 ]
Fan, Jiarui [1 ,2 ]
An, Yahui [1 ,2 ]
机构：
[1] Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China
[2] Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin, Peoples R China
来源：
ASIA-PACIFIC JOURNAL OF ACCOUNTING & ECONOMICS | 2020年 / 27卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Asset growth anomaly; mispricing; risk premia; CROSS-SECTION; RETURNS; INVESTMENT; ARBITRAGE; RISK;
D O I：
10.1080/16081625.2018.1517049
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We discuss the existence and derivation of the asset growth anomaly in China's A-share market. Our findings suggest that there is a negative relationship between the asset growth rate and future returns during 2008 to 2016 in the Chinese stock market. Furthermore, we investigate whether the asset growth anomaly is derived from mispricing or risk premia. Our tests reveal that it is the asset growth rate characteristic that predicts returns, which indicate investors misprice the asset growth rate characteristic and raise doubts regarding the risk explanation.
引用
收藏
页码：451 / 471
页数：21
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