Investment-related anomalies in Australia: Evidence and explanations

Viet Nga Cao, Philip Gray and Angel Zhong

International Review of Financial Analysis, 2019, vol. 61, issue C, 97-109

Abstract: This paper documents the existence of five investment-related anomalies in the Australian market. Cross-sectional stock returns are negatively related to each of asset growth, net operating assets, inventory growth and investment-to-assets, and positively related to asset tangibility. While the investment-return relation is theoretically motivated by q-theory, there is only support for the q-theory explanation in relation to the investment-to-assets effect. Limits to arbitrage appear to be a factor in the asset-tangibility effect, where the mispricing can be traced to the over-pricing of stocks with high levels of goodwill.

Keywords: Anomalies; Investment; q -Theory; Mispricing; Asset growth; Net operating assets; Asset tangibility (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:61:y:2019:i:c:p:97-109

DOI: 10.1016/j.irfa.2018.10.007

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