Asset growth and the cross-section of stock returns : evidence from Japan.

Asset growth and the cross-section of stock returns : evidence from Japan.

We test and observe in Japan‟s context a negative correlative between asset growth and abnormal returns. Contrary to previous research by Cooper, Gulen and Schill (2008), we do not observe significant alpha returns upon dividing sample firms into three categories based on market capitalization. Furt...

Full description

Saved in:
Bibliographic Details
Main Authors: Chua, Dennis Wen Ping., Lee, Swee Meng., Yeo, Boon Peng.
Other Authors: Lau Sie Ting
Format: Final Year Project
Language:English
Published: 2009
Subjects:
DRNTU::Business::Finance::Assets
DRNTU::Business::Finance::Equity
Online Access:http://hdl.handle.net/10356/15049
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English
Description
Summary:We test and observe in Japan‟s context a negative correlative between asset growth and abnormal returns. Contrary to previous research by Cooper, Gulen and Schill (2008), we do not observe significant alpha returns upon dividing sample firms into three categories based on market capitalization. Furthermore, the Fama and Macbeth (1973) regression is used to test if asset growth exhibits the same significance and dominance as a strong predictor in explaining the variability of stock returns. The predictive effects of asset growth shown in the US equity markets produce contrasting results when we conduct it in the Japan equity markets.

Similar Items