Style Investing Based on Asset Growth
碩士 === 國立交通大學 === 財務金融研究所 === 107 === In this paper we focus on the cause of the asset growth anomaly. Tere are two main explanations for the asset growth anomaly: risk-based theory and mis-pricing theory. This paper follows Lam & Wei (2011) using several factors related to risk-based theory and...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/5js6w6 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 107 === In this paper we focus on the cause of the asset growth anomaly. Tere are two main explanations for the asset growth anomaly: risk-based theory and mis-pricing theory. This paper follows Lam & Wei (2011) using several factors related to risk-based theory and mis-pricing theory as a style investment factors to analysis the relation between asset growth and the stock returns by the Fama-MacBeeth cross-section regression and found that the BenFord’s Law which is used to be the proxy of earnings management has the impact on the asset growth effect. Further, we establish an asset growth and style-investing independent sorting portfolio to compare the asset growth effect in different groups and make a long-short strategy to construct a style-investing factor. We also examine whether the new style-investing factor is different from the Fama-French 3 and 5 factors and the abnormal returns. Our papers found out the factors reflect the market information such as dollar trading volume and institution ownership has great impact on the abnormal returns and also support the asset growth anomaly should cause of mis-pricing explanation. Final, this papers use the principal component analysis to analyze the style-investing factors by the company. We find the proportion of style-investing factors in different company is different. It also confirms that the asset growth effect should not explained by a single factor. It is explained by a theory that different companies may also be subject to different reasons for asset growth.
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