 Exploring the asset growth effect in the Australian equity marketJenni L Bettman, Mitch Kosev and Stephen J Sault Australian Journal of Management, 2011, vol. 36, issue 2, 200-216 Abstract: This study presents the first empirical evidence on the existence of the asset growth effect in the Australian equity market. Specifically, we analyse all Australian listed firms over the period from 1998 to 2008, inclusive, to investigate whether the rate of growth in total assets has predictive power over subsequent stock returns. In addition, we conduct a multivariate analysis of the effect, providing the first application of dynamic panel methods using difference generalized method of moments (GMM) and system GMM to the asset growth literature. Results indicate that a significant asset growth effect exists when employing equal-weighted returns. However, this result disappears when utilizing value-weighted returns. In light of this, we further investigate the asset growth effect employing a multivariate analysis, which attempts to control for the influence of firm size. These results fail to confirm the existence of an asset growth effect. We argue that our initial evidence of an effect is due to the overstated influence of small stocks under equal weighting. Consequently, we are able to conclude from these results that over the period of our analysis, the asset growth effect does not exist in the Australian equity market. Keywords: asset growth; dynamic panel methods (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:36:y:2011:i:2:p:200-216 Access Statistics for this article More articles in Australian Journal of Management from Australian School of Business |
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