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The asset growth effect: Insights from international equity markets

Citations

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Cited by:

  1. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
  2. Sung Gyun Mun & SooCheong (Shawn) Jang, 2022. "Explaining the asset growth anomaly in the restaurant industry: Motivations and consequences," Tourism Economics, , vol. 28(1), pages 62-82, February.
  3. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2023. "Machine learning goes global: Cross-sectional return predictability in international stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
  4. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  5. Abdoh, Hussein & Varela, Oscar, 2021. "What lies behind the asset growth effect?," Global Finance Journal, Elsevier, vol. 48(C).
  6. Khelifa Mazouz & Abdulkadir Mohamed & Brahim Saadouni, 2019. "Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index," Journal of Business Ethics, Springer, vol. 154(3), pages 683-699, February.
  7. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  8. Marc Desban & Souad Lajili Jarjir, 2018. "Corporate ownership structure, market anomalies and asset pricing," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 316-340, September.
  9. Azevedo, Vitor & Müller, Sebastian, 2024. "Analyst recommendations and mispricing across the globe," Journal of Banking & Finance, Elsevier, vol. 169(C).
  10. Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "Investor propensity to speculate and price delay in emerging markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  11. Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "The role of social capital in price efficiency: International evidence," International Review of Financial Analysis, Elsevier, vol. 89(C).
  12. Joachim Gassen & Hollis A. Skaife & David Veenman, 2020. "Illiquidity and the Measurement of Stock Price Synchronicity," Contemporary Accounting Research, John Wiley & Sons, vol. 37(1), pages 419-456, March.
  13. Pascal Nguyen & Nahid Rahman & Alex Tong & Ruoyun Zhao, 2016. "Board size and firm value: evidence from Australia," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 20(4), pages 851-873, December.
  14. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
  15. Chen, Shan & Liu, Xujun & Li, Tao, 2023. "Does the investment-profitability correlation affect the factor premiums? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  16. Kay Stankov & Dirk Schiereck & Volker Flögel, 2024. "Cost mitigation of factor investing in emerging equity markets," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 303-325, May.
  17. Papanastasopoulos, Georgios A. & Tsiritakis, Emmanuel, 2015. "The accrual anomaly in Europe: The role of accounting distortions," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 176-185.
  18. Jacobs, Heiko, 2016. "Market maturity and mispricing," Journal of Financial Economics, Elsevier, vol. 122(2), pages 270-287.
  19. Su, Xuan-Qi, 2016. "Does systematic distress risk drive the investment growth anomaly?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 240-248.
  20. Altieri, Michela & Schnitzler, Jan, 2023. "Quarterly investment spikes, stock returns, and the investment factor," Journal of Financial Markets, Elsevier, vol. 66(C).
  21. Cakici, Nusret & Zaremba, Adam, 2021. "Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  22. Xiaomeng Lu & Robert F. Stambaugh & Yu Yuan, 2017. "Anomalies Abroad: Beyond Data Mining," NBER Working Papers 23809, National Bureau of Economic Research, Inc.
  23. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
  24. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
  25. Benjamin A. Jansen, 2020. "Cash Flow Growth and Stock Return," Working Papers 202004, Middle Tennessee State University, Department of Economics and Finance.
  26. Li, Huixuan & Chen, Jing, 2022. "Does higher investments necessarily reduce stock returns?☆," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  27. Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
  28. Nguyen, Hung T. & Pham, Mia Hang, 2021. "Air pollution and behavioral biases: Evidence from stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
  29. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
  30. W. Scott Frame & Ping McLemore & Atanas Mihov, 2020. "Haste Makes Waste: Banking Organization Growth and Operational Risk," Working Papers 2023, Federal Reserve Bank of Dallas.
  31. Chou, Pin-Huang & Ko, Kuan-Cheng & Rhee, S. Ghon, 2023. "Comparing competing factor and characteristics models: Evidence in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  32. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
  33. Fama, Eugene F. & French, Kenneth R., 2017. "International tests of a five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 123(3), pages 441-463.
  34. John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
  35. Papanastasopoulos, Georgios A., 2017. "Asset growth anomaly in Europe: Do profits and losses matter?," Economics Letters, Elsevier, vol. 156(C), pages 106-109.
  36. Pascal Nguyen & Nahid Rahman, 2020. "Institutional ownership, cross‐shareholdings and corporate cash reserves in Japan," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 1175-1207, April.
  37. Xie, Lingmin & Chen, Zhian & Li, Donghui & Tan, Hongping, 2022. "Foreign analysts and managerial investment learning from stock markets," Journal of Multinational Financial Management, Elsevier, vol. 64(C).
  38. Luis García‐Feijóo & Benjamin A. Jansen, 2023. "International evidence on the association of leverage with stock returns and the value premium," The Financial Review, Eastern Finance Association, vol. 58(2), pages 315-341, May.
  39. Rong, Yuen & Tian, Cunzhi & Li, Lifang & Zheng, Xinwei, 2020. "Labor hiring and stock return: A model and new evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  40. Xi Li & Mingyi Hung & Shiheng Wang, 2015. "Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock," HKUST IEMS Working Paper Series 2015-17, HKUST Institute for Emerging Market Studies, revised Mar 2015.
  41. Ehab Yamani & David Rakowski, 2018. "Cash Flow and Discount Rate Risk in the Investment Effect: A Downside Risk Approach," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-40, September.
  42. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
  43. Qin, Xiao & Zhou, Chunyang, 2019. "Financial structure and determinants of systemic risk contribution," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  44. Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017. "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 19-35.
  45. Brendan Elliot & Paul Docherty & Stephen Easton & Doowon Lee, 2018. "Profitability and investment†based factor pricing models," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(2), pages 397-421, June.
  46. Georgios A. Papanastasopoulos, 2014. "Accounting Accruals and Stock Returns: Evidence from European Equity Markets," European Accounting Review, Taylor & Francis Journals, vol. 23(4), pages 729-768, December.
  47. Chengxue Yao & Fan Jiang & Liang Guo, 2023. "Fixed investment or financial assets investment: Evidence from political uncertainty in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 427-450, March.
  48. Lin, Qi, 2017. "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, vol. 31(C), pages 141-163.
  49. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
  50. De Cesari, Amedeo & Huang-Meier, Winifred, 2015. "Dividend changes and stock price informativeness," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 1-17.
  51. Mortal, Sandra & Schill, Michael J., 2015. "The Post-Acquisition Returns of Stock Deals: Evidence of the Pervasiveness of the Asset Growth Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(3), pages 477-507, June.
  52. Papanastasopoulos, Georgios & Thomakos, Dimitrios, 2017. "Managerial discretion, net operating assets and the cross-section of stock returns: Evidence from European countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 188-210.
  53. Tarunika Jain Agrawal & Sanjay Sehgal & Vibhuti Vasishth, 2020. "Firm Attributes, Corporate Fundamentals and Investment Strategies: An Empirical Study for Indian Stock Market," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 45(3), pages 366-387, August.
  54. Fangming Xu & Huainan Zhao & Liyi Zheng, 2022. "Investment momentum: A two‐dimensional behavioural strategy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1191-1207, January.
  55. Liu, Xufeng & Wan, Die, 2022. "Asymmetric positive feedback trading and stock pricing in China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  56. Chou, Pin-Huang & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2019. "Asset growth, style investing, and momentum," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 108-124.
  57. Doukakis, Leonidas C. & Papanastasopoulos, Georgios A., 2014. "The accrual anomaly in the U.K. stock market: Implications of growth and accounting distortions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 256-277.
  58. Bartram, Söhnke M. & Grinblatt, Mark, 2021. "Global market inefficiencies," Journal of Financial Economics, Elsevier, vol. 139(1), pages 234-259.
  59. Alexandros Sikalidis & Konstantinos Bozos & Antonios Chantziaras & Christos Grose, 2022. "Influences of family ownership on dividend policy under mandatory dividend rules," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 939-967, October.
  60. Huang, Yuan & Lam, F.Y. Eric C. & Wei, K.C. John, 2014. "The q-theory explanation for the external financing effect: New evidence," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 69-81.
  61. Zhe An & Wenlian Gao & Donghui Li & Feifei Zhu, 2018. "The Impact of Firm‐Level Illiquidity on Crash Risk and the Role of Media Independence: International Evidence," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 547-593, December.
  62. Chi Cheong Allen Ng & Jianfu Shen, 2020. "Quality investing in Asian stock markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 3033-3064, September.
  63. Jean Helwege & Jing-Zhi Huang & Yuan Wang, 2017. "Debt Covenants and Cross-Sectional Equity Returns," Management Science, INFORMS, vol. 63(6), pages 1835-1854, June.
  64. Huang, Alan Guoming & Sun, Kevin Jialin, 2019. "Equity financing restrictions and the asset growth effect: International vs. Asian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  65. Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
  66. Foye, James, 2024. "What Determines Equity Returns in Emerging Markets?," CAFE Working Papers 29, Centre for Accountancy, Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.
  67. Po‐Hsuan Hsu & Huijun Wang & Wei Yang, 2022. "General Purpose Technologies as Systematic Risk in Global Stock Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1141-1173, August.
  68. Wang, Yifeng & Liu, Cheyuan & Lee, Jen-Sin & Wang, Yanming, 2015. "The relation between asset growth and the cross-section of stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 44(C), pages 59-67.
  69. Artikis, Panagiotis G. & Diamantopoulou, Lydia & Papanastasopoulos, Georgios A. & Sorros, John N., 2022. "Asset growth and stock returns in european equity markets: Implications of investment and accounting distortions," Journal of Corporate Finance, Elsevier, vol. 73(C).
  70. Nguyen, My & Perera, Shrimal & Skully, Michael, 2016. "Bank market power, ownership, regional presence and revenue diversification: Evidence from Africa," Emerging Markets Review, Elsevier, vol. 27(C), pages 36-62.
  71. Lu, Jing & Yang, Nien-Tzu & Ho, Keng-Yu & Ko, Kuan-Cheng, 2022. "Lottery demand and the asset growth anomaly," Finance Research Letters, Elsevier, vol. 48(C).
  72. Dong, Liang & Yu, Bo & Qin, Zhenjiang & Lam, Keith S.K., 2024. "Liquidity risk and expected returns in China’s stock market: A multidimensional liquidity approach," Research in International Business and Finance, Elsevier, vol. 69(C).
  73. Hanauer, Matthias X. & Windmüller, Steffen, 2023. "Enhanced momentum strategies," Journal of Banking & Finance, Elsevier, vol. 148(C).
  74. Amaya, Diego & Herrerias, Renata & Perez, Fernando & Vasquez, Aurelio, 2023. "Realized semibetas and international stock return predictability," Finance Research Letters, Elsevier, vol. 58(PC).
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