On the Scope and Drivers of the Asset Growth Effect
研究发现资产增长效应普遍存在，并非仅限小公司；总资产变化能解释其他增长指标；该效应与公司特质波动率相关，且集中在盈利公告期，分析师对高增长公司的盈利预测系统性偏高，支持错误定价解释。
Abstract Recent papers have debated whether the negative correlation between measures of firm asset growth and subsequent returns is of little importance since it applies only to small firms, is justified as compensation for risk, or is evidence of mispricing. We show that the asset growth effect is pervasive, and evidence to the contrary arises due to specification choices; that one measure of asset growth, the change in total assets, largely subsumes the explanatory power of other measures; that the ability of asset growth to explain either the cross section of returns or the time series of factor loadings is linked to firm idiosyncratic volatility (IVOL); that the return effect is concentrated around earnings announcements; and that analyst forecasts are systematically higher than realized earnings for faster growing firms. In general, there appears to be no asset growth effect in firms with low IVOL. Our findings are consistent with a mispricing-based explanation for the asset growth effect in which arbitrage costs allow the effect to persist.