Asset Growth and the Cross‐Section of Stock Returns
检验公司资产增长率能否预测未来股票回报，发现资产增长率是未来异常回报的强预测因子，即使对大盘股也有效，且其预测能力超过已知的其他因素。
ABSTRACT We test for firm‐level asset investment effects in returns by examining the cross‐sectional relation between firm asset growth and subsequent stock returns. Asset growth rates are strong predictors of future abnormal returns. Asset growth retains its forecasting ability even on large capitalization stocks. When we compare asset growth rates with the previously documented determinants of the cross‐section of returns (i.e., book‐to‐market ratios, firm capitalization, lagged returns, accruals, and other growth measures), we find that a firm's annual asset growth rate emerges as an economically and statistically significant predictor of the cross‐section of U.S. stock returns.