Asset growth and the cross-section of stock returns in China.
Chuh, Chee Ming.
Foo, Joel Chuan Ai Jay.
Shen, Hong Kai.
Date of Issue2010
College of Business (Nanyang Business School)
The chinese stock markets remain as uncharted territory for the asset growth effect on future stock returns. We test for the firm-level asset growth effects by examining the cross-sectional relation between firm asset growth and subsequent stock returns. We document a significant negative relation between asset growth and future returns for small and medium-sized firms, but a positive and insignificant impact of asset growth on future returns for large companies. In addition, we find that the asset growth effect in China is mainly driven by the stock underperformance following equity issuance. Taken together our findings suggest that there is no substantial asset growth effect in the overall Chinese stock market.
Final Year Project (FYP)
Nanyang Technological University