Asset growth anomaly in Europe: Do profits and losses matter?

Georgios A. Papanastasopoulos

Economics Letters, 2017, vol. 156, issue C, 106-109

Abstract: This paper investigates whether the well-documented asset growth effect on stock returns exists across both profit and loss firms in European capital markets. We find that the asset growth anomaly is more pronounced across loss firms and is significantly dampened by the inclusion of profit firms in the sample. The raw and abnormal returns earned from a hedge strategy on balance sheet growth for loss firms are almost two times higher than the respective returns for profit firms. Our evidence casts doubt on a risk-based explanation, thereby lending credence to the suggestion that the asset-growth effect is attributable to mispricing.

Keywords: Asset growth; Stock returns; Profits; Losses; Europe (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176517301775
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:156:y:2017:i:c:p:106-109

DOI: 10.1016/j.econlet.2017.04.029

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().