Revisiting the asset pricing paradigm using sustainable growth rate

Lalit Arora, Shailendra Kumar and Piyush Verma

International Journal of Economics and Business Research, 2018, vol. 16, issue 1, 46-62

Abstract: The last few decades have evidenced growing literature on asset pricing in building perceptive thinking of managers and researchers. Given this justification, the present study aims to examine the ability of a future oriented growth measure of firms in the form of sustainable growth rate in explaining their stock returns. A panel dataset of firms spanning across nine industries from the Indian manufacturing sector has been used. Results of vector autoregressive distributed lag model reveal that sustainable growth of the firms is adequately priced. The findings have been integrated with the asset growth effect. Theoretical and practical implications are discussed.

Keywords: sustainable growth rate; asset growth; asset pricing; panel VAR model; manufacturing; India. (search for similar items in EconPapers)
Date: 2018
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