The asset growth anomaly in the Chinese stock market

Xu Feng, Jiarui Fan and Yahui An

Asia-Pacific Journal of Accounting & Economics, 2020, vol. 27, issue 4, 451-471

Abstract: We discuss the existence and derivation of the asset growth anomaly in China’s A-share market. Our findings suggest that there is a negative relationship between the asset growth rate and future returns during 2008 to 2016 in the Chinese stock market. Furthermore, we investigate whether the asset growth anomaly is derived from mispricing or risk premia. Our tests reveal that it is the asset growth rate characteristic that predicts returns, which indicate investors misprice the asset growth rate characteristic and raise doubts regarding the risk explanation.

Date: 2020
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DOI: 10.1080/16081625.2018.1517049

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Asia-Pacific Journal of Accounting & Economics is currently edited by Yin-Wong Cheung, Hong Hwang, Jeong-Bon Kim, Shu-Hsing Li and Suresh Radhakrishnan

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