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What explains the investment growth anomaly?

Wikrom Prombutr, Chanwit Phengpis and Ying Zhang

Journal of Banking & Finance, 2012, vol. 36, issue 9, 2532-2542

Abstract: We examine if an existing asset pricing model in an unconditional or conditional setting can explain the investment growth anomaly, as represented by higher returns on stocks of the firms with lower growth in capital expenditures. Our results indicate that the conditional Fama–French 3-factor model that allows factor loadings to be time-varying and further linked to firm-level characteristics and the business cycle can explain the anomaly.

Keywords: Investment growth; Risk; Characteristic; Conditional asset pricing model (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2012
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Handle: RePEc:eee:jbfina:v:36:y:2012:i:9:p:2532-2542