scholarly journals Information content of asset growth for future firm performance

2020 ◽  
Author(s):  
Λυδία Διαμαντοπούλου
Keyword(s):  
Firm Performance ◽  
Stock Returns ◽  
Information Content ◽  
Negative Relationship ◽  
The Other ◽  
Growth Effect ◽  
Two Stage ◽  
Cross Sectional ◽  
Asset Growth

Η ανωμαλία ανάπτυξης περιουσιακών στοιχείων και ο σχετικός παράγοντας αύξησης του ενεργητικού αποτελεί βασικό χαρακτηριστικό των σύγχρονων εμπειρικών μοντέλων αποτίμησης περιουσιακών στοιχείων. Παρόλο που υπάρχουν εκτεταμένες μελέτες σχετικά με την ευρεία ύπαρξη της ανωμαλίας ανάπτυξης περιουσιακών στοιχείων παγκοσμίως, συναίνεση δεν έχει ακόμη επιτευχθεί για το τι προκαλεί την εν λόγω ανωμαλία. Η υπάρχουσα βιβλιογραφία την αποδίδει σε δύο σημαντικά κανάλια που μπορούν να οδηγήσουν αυτή την αρνητική σχέση μεταξύ της ανάπτυξης περιουσιακών στοιχείων και των μελλοντικών αποδόσεων των μετοχών: το πρώτο προτείνει κάποιος μορφής λανθασμένης αποτίμησης και το δεύτερο είναι πιο συμβατό με ορθολογικές εξηγήσεις. Για να ερευνήσουμε το κατά πόσο η ανωμαλία αποδίδεται σε κάποιας μορφής λανθασμένη αποτίμηση αναπροσαρμόζουμε την μεθοδολογία των Bali et al. (2010) και των Piotroski και So (2012). Στην συνέχεια για να εξετάσουμε σε βάθος το κατά πόσο ο παράγοντας αύξησης του ενεργητικού αποτελεί παράγοντα κινδύνου, ενσωματώνουμε την μεθοδολογία two-stage cross-sectional regression (Gray και Johnson, 2011). Εν συνόλω τα αποτελέσματά μας συνάδουν περισσότερο με μιας μορφής ορθολογική εξήγηση για την ανωμαλία ανάπτυξης περιουσιακών στοιχείων στην Ευρώπη. Επειδή η αύξηση των περιουσιακών στοιχείων είναι το άθροισμα των «υποσυνόλων» ανάπτυξης από την αριστερή ή δεξιά πλευρά του ισολογισμού, θα μπορούσε κανείς να υποστηρίξει ότι ορισμένα συστατικά της συνολικής ανάπτυξης περιουσιακών στοιχείων υπόκεινται στην ελευθεριότητα απεικόνισης λογιστικών μεγεθών από την διοίκηση της εκάστοτε εταιρείας. Οι Barton και Simko (2002) υποστηρίζουν ότι ο ισολογισμός ενσωματώνει όλες τις προηγούμενες λογιστικές επιλογές, οπότε το επίπεδο των περιουσιακών στοιχείων μπορεί στη συνέχεια να αντικατοπτρίζει τη όποια προηγούμενη λογιστική ελευθεριότητα στη διαχείριση των κερδών. Έτσι, η φυσική ερώτηση που ανυψώνεται είναι: υπάρχουν ορισμένες δυνάμεις οδήγησης που μπορούν να συμβάλουν στην ανάπτυξη του ισολογισμού εκτός από την πραγματική αύξηση των επενδύσεων; Πράγματι, η αύξηση των λογαριασμών του ισολογισμού μπορεί να οδηγείται από λογιστικές στρεβλώσεις και / ή μειωμένη απόδοση (Richardson et αl., 2006, Doukakis και Παπαναστασόπουλος, 2014, Watanabe et al 2013). Για το σκοπό αυτό, χρησιμοποιούμε και αναπροσαρμόζουμε την αλγεβρική «διάσπαση» των Richarkson et αl. (2006), ώστε να είναι εφαρμόσιμη στην ανωμαλία ανάπτυξης περιουσιακών στοιχείων. Τέλος, σύμφωνα με τον Δουκάκη και Παπαναστασόπουλο (2014), διερευνούμε πώς θα μπορούσαν να σχετίζονται με τα «υποστοιχεία» πραγματικής ανάπτυξης και αποτελεσματικότητας της συνολικής αύξησης των περιουσιακών στοιχείων στις αποδόσεις των μετοχών. Using regression- and portfolio-based analysis, we show that both asset growth components contribute to the negative relationship between asset growth and stock returns. Hedge portfolios formed on the magnitude of either the growth component or accounting distortions and/or the efficiency component generate large positive and highly significant monthly size adjusted stock returns. We also show that neither component subsumes nor dominates the other in predicting future returns. Notably, accounting- and growth-based factors appear to complement each other in driving the asset growth effect. Χρησιμοποιώντας ανάλυση παλινδρομήσεων και χαρτοφυλακίων, τα αποτελέσματά μας δείχνουν ότι ο παράγοντας πραγματικής ανάπτυξης έχει ισχυρότερη επίδραση επί των αποδόσεων των μετοχών σε χώρες με ισχυρότερη αποτελεσματικότητα αγορών, λιγότερες δυσκολίες για εξισορροπητική κερδοσκοπία και χαμηλότερο βαθμό ελευθεριότητας επί λογιστικών πρακτικών από την πλευρά της διοίκησης των εταιρειών. Ο βαθμός ανάπτυξης των αγορών, ο όγκος συναλλαγών, η δραστηριότητα των αναλυτών, τα κόστη συναλλαγών και η λογιστική διαχείριση των κερδών έχουν τον πιο σημαντικό αντίκτυπο στον παράγοντα πραγματικής ανάπτυξης. Τα αποτελέσματα αυτά υποστηρίζουν ότι η επίδραση του εν λόγω παράγοντα, που αντιπροσωπεύει την επίδραση της ανάπτυξης επενδύσεων στις μελλοντικές αποδόσεις, είναι πιο συμβατική με μία ορθολογική εξήγηση του φαινομένου. Η προγνωστική ικανότητα του παράγοντα αποδοτικότητας επί των μελλοντικών αποδόσεων είναι ισχυρότερη σε χώρες με χαμηλότερο βαθμό αποτελεσματικότητας της αγοράς, ισχυρότερα εμπόδια στην εξισορροπητική κερδοσκοπία, ασθενέστερη εταιρική διακυβέρνηση και μεγαλύτερο βαθμό ελευθεριότητας απεικόνισης των οικονομικών μεγεθών από την διοίκηση των εταιρειών. Τα αποτελέσματα των παλινδρομήσεων οδηγούν στο ότι σχεδόν όλες οι μεταβλητές που αντιπροσωπεύουν διάφορα χαρακτηριστικά των αγορών της Ευρώπης (ο βαθμός της αποτελεσματικότητας των αγορών αποτελεί την μόνη εξαίρεση), παρουσιάζουν ισχυρό αντίκτυπο στην προβλεψιμότητα του παράγοντα της αποδοτικότητας επί των αποδόσεων των μετοχών. Αυτά τα ευρήματα υποδεικνύουν ότι η επίδραση του παράγοντα που αντιπροσωπεύει τις λογιστικές στρεβλώσεις και / ή την μειωμένη απόδοση διαχείρισης των στοιχείων του Ενεργητικού είναι πιθανότερο να οφείλεται σε λανθασμένη αποτίμηση από πλευρά των επενδυτών. Συνολικά, η ανάλυση σε επίπεδο χαρακτηριστικών μιας χώρας μας υποδεικνύει ότι η ανωμαλία ανάπτυξης περιουσιακών στοιχείων μπορεί να οφείλεται πιθανότατα σε ένα μείγμα ορθολογικών και μη εξηγήσεων, επιβεβαιώνοντας την διττή φύση της και τη συνεχιζόμενη έρευνα για το τι εν τέλει «δημιουργεί» την εν λόγω ανωμαλία.

The Post-Acquisition Returns of Stock Deals: Evidence of the Pervasiveness of the Asset Growth Effect

2015 ◽  
Vol 50 (3) ◽  
pp. 477-507 ◽  
Author(s):  
Sandra Mortal ◽  
Michael J. Schill
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Growth Rates ◽  
Growth Effect ◽  
Distinguishing Characteristic ◽  
Cross Sectional ◽  
The Poor ◽  
Asset Growth ◽  
High Valuation

AbstractA growing literature finds that firm asset growth rates are negatively correlated with subsequent stock returns. We show that the poor post-deal returns that have been documented for stock acquisitions are more precisely explained by the return effects associated with systematically larger asset growth rates for stock deals. We find a similar result for other cross-sectional and time-series acquisition effects, including poor returns for glamour deals, weakly monitored deals, and deals done during high-valuation periods. We suggest that the distinguishing characteristic associated with poor performing acquisitions is simply their tendency to grow assets.

The Asset Growth Effect in Stock Returns

2009 ◽  
Author(s):  
Michael J. Cooper ◽  
Huseyin Gulen ◽  
Michael J. Schill
Keyword(s):  
Stock Returns ◽  
Growth Effect ◽  
Asset Growth

scholarly journals Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

2017 ◽  
Vol 20 (1) ◽  
pp. 47
Author(s):  
Muhammad Iqbal ◽  
Buddi Wibowo
Keyword(s):  
Risk Factor ◽  
Stock Returns ◽  
Cross Section ◽  
Stock Prices ◽  
Stock Exchange ◽  
High Growth ◽  
Growth Effect ◽  
Market Anomalies ◽  
Growth Anomaly ◽  
Asset Growth

Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum), confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973), the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

Conventional procedure vis-à-vis bootstrap-based corrections of efficiency analyses

2020 ◽  
Vol 13 (3) ◽  
pp. 505-536
Author(s):  
Vipin Valiyattoor ◽  
Anup Kumar Bhandari
Keyword(s):  
Firm Performance ◽  
Serial Correlation ◽  
Global Market ◽  
Export Intensity ◽  
Two Stage ◽  
Cross Sectional ◽  
Content Type ◽  
Negative Relation ◽  
Conventional Procedure ◽  
Using Data

Purpose This paper aims to evaluate the performance of basic metals industry in India and analyze its determinants, using data envelopment analysis (DEA) method. It also intends to compare the results through conventional two-stage and bootstrap-based inferences. Design/methodology/approach Considering technical efficiency as a measure of performance, this paper specifically investigates whether the participation of a firm in the global market affects its performance. The conventional two-stage procedure is used to test the export intensity and firm performance nexus. The bootstrap-based algorithms (by Simar and Wilson, 2007) are used to correct the bias and serial correlation issues involved in the conventional approach. Findings The result shows a negative relation between export intensity and firm performance while following the conventional procedure. Even after accounting for serial correlation, the relation remains more or less similar to that of conventional analysis. However, a strong negative relation between export intensity and firm performance is not observed in a more reliable inference obtained after correcting for possible bias as well as serial correlation. Research limitations/implications This paper is based on cross-sectional analysis, and a more reliable result can be obtained by considering a larger sample and longer period. Originality/value This paper shows how the conventional two-stage procedure may result in misleading inferences due to bias in the estimation of efficiency scores and the serial correlation during the second stage inferential analysis. This paper also empirically exemplifies how the double bootstrap DEA procedure can overcome these limitations of the conventional two-stage approach.

Market Development and the Asset Growth Effect: International Evidence

2013 ◽  
Vol 48 (5) ◽  
pp. 1405-1432 ◽  
Author(s):  
Sheridan Titman ◽  
K. C. John Wei ◽  
Feixue Xie
Keyword(s):  
Financial Markets ◽  
Stock Returns ◽  
Growth Effect ◽  
Market Development ◽  
International Evidence ◽  
Q Theory ◽  
Asset Growth ◽  
Financial Market Development ◽  
Cross Country ◽  
The Cost

AbstractA number of studies of U.S. stock returns document what is referred to as the investment or asset growth effect. Specifically, firms that increase investment or total assets subsequently earn lower risk-adjusted returns. This study finds substantial cross-country differences in the asset growth effect. In particular, the asset growth effect is stronger in countries with more developed financial markets, but it does not seem to be associated with corporate governance or the costs of trading. Overall, the evidence is consistent with a q-theory where financial market development captures either managers’ willingness or ability to align investment expenditures to the cost of capital, but it is inconsistent with the hypothesis that the asset growth effect is due to bad governance and overinvestment.

scholarly journals Capital Structure and Firm Performance in Nigerian-Listed Companies

2016 ◽  
Vol 8 (3(J)) ◽  
pp. 54-74 ◽  
Author(s):  
Matthew Adeolu Abata ◽  
Stephen Oseko Migiro
Keyword(s):  
Firm Performance ◽  
Capital Structure ◽  
Negative Relationship ◽  
Debt Financing ◽  
Descriptive Statistics ◽  
The Other ◽  
Listed Firms ◽  
Business Failures ◽  
The Relationship

a number of business failures have not been reported in Nigeria arising from inability to payback nor does service debts .This paper empirically investigate the relationship between capital structure and firm performance in the Nigerian listed firms. A sample of 30listed firms out of a population of 173 were examined from 2005 to 2014 using multiple regression tools. Two hypotheses were formulated and tested using descriptive statistics and an econometric panel data technique to analyze the gathered data. An insignificantly negative correlation was found between financial leverage and ROA on one hand and a significantly negative relationship between debt/equity mix and ROE on the other hand. It is therefore recommended that firms should use long term liabilities to finance firm’s activities and mix debt/equity appropriately by ensuring that debt financing ratio is lower to enhance corporate performance and survival.

scholarly journals Factors Affecting Agriculture in Response to Climate Change in Bangladesh

2019 ◽  
Author(s):  
Abul Khayer ◽  
Fatiha Sultana Eti ◽  
Md. Mohibul Hasan ◽  
Md. Khairul Bashar Biplob ◽  
Rabiul Haq Chowdhury ◽  
...  
Keyword(s):  
Climate Change ◽  
Crop Production ◽  
Negative Relationship ◽  
The Other ◽  
Green Economy ◽  
Crop Diversification ◽  
Cross Sectional Survey ◽  
Cross Sectional ◽  
Factors Affecting ◽  
Lack Of Information

An opinion dependent cross sectional survey was conducted among charland peoples of Noakhali, Bangladesh with a view to identify the factors that affect green economy. Nijhumdwip Island and Tamaruddi union are highly affected by cyclone and soil salinity. Unpredictable rainfall is the most acute in Nijhumdwip. Lack of information the main problem in Nijhumdwip Island. Farmers are found less interest in integrated farming and crop diversification. Few farmers from Sonadia Union are involved in homestead gardening. Regression analysis have shown a negative relationship (p<0.001) between education of stockholders and decrease of crop production. On the other hand education level of stockholders is to be found positively (p<0.05) varied with decrease of food insecurity. So it can be said that educated farmers are more adaptive against climate change.

scholarly journals Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

2017 ◽  
Vol 19 (3) ◽  
Author(s):  
Muhammad Iqbal ◽  
Buddi Wibowo
Keyword(s):  
Risk Factor ◽  
Stock Returns ◽  
Cross Section ◽  
Stock Prices ◽  
Stock Exchange ◽  
High Growth ◽  
Growth Effect ◽  
Market Anomalies ◽  
Growth Anomaly ◽  
Asset Growth

Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum), confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973), the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

scholarly journals The Effect of Firm Specific Variables on Stock Returns of Nepalese Banks

2020 ◽  
Vol 9 (1) ◽  
pp. 1-12
Author(s):  
Jeetendra Dangol ◽  
Bidhan Acharya
Keyword(s):  
Panel Data ◽  
Stock Returns ◽  
Cash Flow ◽  
Firm Size ◽  
Total Yield ◽  
Negative Relationship ◽  
Cross Sectional ◽  
Relationship Of ◽  
The Relationship

This study focuses to examine the firm specific fundamental variables impact on the stock returns in the context of Nepali banks. The study uses cross sectional panel data of 12 banks for the duration of ten years. The study finds the existence a negative relationship between stock returns (total yield) and firm size. Likewise, the study shows that the book to market equity has negative relationship with stock returns. However, the study reveals that the relationship of earnings yield and cash flow yield with the stock returns is contradicted in comparison to previous studies.

Stock return predictability when growth and accrual measures are negatively correlated

2019 ◽  
Vol 9 (3) ◽  
pp. 401-422 ◽  
Author(s):  
Miao Luo ◽  
Tao Chen ◽  
Jun Cai
Keyword(s):  
Stock Returns ◽  
Negative Correlation ◽  
Abnormal Returns ◽  
High Growth ◽  
Cross Sectional ◽  
Content Type ◽  
Positive Correlation ◽  
Short Sale ◽  
Asset Growth ◽  
Fama And French

Purpose For most companies, growth measures such as asset growth are positively correlated with accrual measures. Just like investment in fixed assets, current accrual represents one form of investment and is an integral part of a firm’s business growth. This makes it difficult to distinguish between the growth-based and earnings quality-based interpretations of the accrual effects, because high accruals can represent both high growth and inflated earnings. The purpose of this paper is to add to the literature by examining an issue that has not received much attention: the correlation between asset growth and accruals and its implication on stock return predictability. The authors address the issue using Fama and Macbeth’s (1973) cross-sectional regressions that are conditional on the correlations between the two variables. Design/methodology/approach The authors partition firms based on whether the correlation between current accrual and asset growth in the past five years is positive (ρ+) or negative (ρ−). The authors refer to these two types of firms such as “positive correlation” and “negative correlation” groups. For both groups, the authors examine whether firms with higher asset growth and higher accruals are associated with lower future stock returns. The authors implement Fama and MacBeth’s cross-sectional regressions incorporating the effect of correlations between growth and accrual measures. In addition, the authors regress hedge portfolio returns on Fama and French (1993) three-factor and Fama and French (2015) five-factor models to see if the intercepts (a’s) from these regressions are significantly different from 0. Findings For each year, the authors partition firms based on whether the correlation between asset growth and current accrual is positive or negative. For both the “positive correlation” and “negative correlation” firms, the authors examine the association between accruals and future stock returns. The authors find that accruals remain strong in predicting future stock returns for both groups. The accrual effects from the “negative correlation” group cannot be attributed to the growth-based hypothesis because for these firms, when accruals are high, growth measures tend to be relatively low and vice versa. The effects are most likely driven by the alternative hypothesis that investors overvalue the accrual part of earnings. Research limitations/implications There exist a few issues when investors actually implement these strategies. These include liquidity costs, institutional holdings and short sale constraints. Lesmond (2008) concludes that the bulk of the trading profits is derived from the short side of the trade, but that this position suffers from high liquidity costs that reduces institutional holdings with consequent short sale constraints. The net gains after taking into account these issues remain an open question be addressed in the future. Practical implications The empirical results indicate that investors can do an implementable portfolio strategy of going long for a year on an initially equally weighted lowest asset growth (accrual) decile portfolio and going short for a year on an initially equally weighted highest asset growth (accrual) decile portfolio, which produces significant abnormal returns. The results further show that these abnormal returns can be improved if investors classify stocks into “the positive correlation” and “negative correlation” groups and implement trading similar trading strategies. Originality/value The empirical evidence finds that firm-year observations that exhibit a negative correlation between growth and accrual measures represents a significant 30 percent of the total firm-year observations during the sample period from July 1974 to June 2017. This highlights the necessity to undertake a detailed analysis on the issue. The authors continue to find accrual effects among these groups of firms. Therefore, the accrual effect cannot be attributed to the diminishing marginal return hypothesis. This is the main contribution of the paper.

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