Is the Asset Growth Anomaly Driven by Macroeconomic States?
Posted: 12 Feb 2016
Date Written: september 15, 2015
This study examines the asset growth anomaly in the presence of different macroeconomic states. The results show that the asset growth effect is strongly associated with macroeconomic conditions. When the economy is quiet, the spread between low and high investment firms is small and insignificant. In times of economic stress, the spread is economically large and statistically significant. The results support risk-based explanations for the asset growth effect in line with q-theory.
Keywords: Return dispersion, stock price dispersion, macroeconomic conditions, asset growth anomaly, asset growth effect
JEL Classification: G12, G14
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