Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Pusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi (PPPM STIE)
2017-03-01
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| Series: | Journal of Economics, Business & Accountancy |
| Subjects: | |
| Online Access: | https://journal.perbanas.ac.id/index.php/jebav/article/view/515 |
| _version_ | 1818537264381165568 |
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| author | Muhammad Iqbal Buddi Wibowo |
| author_facet | Muhammad Iqbal Buddi Wibowo |
| author_sort | Muhammad Iqbal |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-11T18:48:32Z |
| format | Article |
| id | doaj.art-4daec60b5465482ba7690d6ae1bae128 |
| institution | Directory Open Access Journal |
| issn | 2087-3735 2088-785X |
| language | English |
| last_indexed | 2024-12-11T18:48:32Z |
| publishDate | 2017-03-01 |
| publisher | Pusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi (PPPM STIE) |
| record_format | Article |
| series | Journal of Economics, Business & Accountancy |
| spelling | doaj.art-4daec60b5465482ba7690d6ae1bae1282022-12-22T00:54:23ZengPusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi (PPPM STIE)Journal of Economics, Business & Accountancy2087-37352088-785X2017-03-0119310.14414/jebav.v19i3.515537Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock ExchangeMuhammad Iqbal0Buddi Wibowo1Graduate school of Management University of IndonesiaGraduate school of Management University of IndonesiaAssorted 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.https://journal.perbanas.ac.id/index.php/jebav/article/view/515Asset Growth AnomalyStock Returns PredictabilityEfficient Market |
| spellingShingle | Muhammad Iqbal Buddi Wibowo Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange Journal of Economics, Business & Accountancy Asset Growth Anomaly Stock Returns Predictability Efficient Market |
| title | Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange |
| title_full | Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange |
| title_fullStr | Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange |
| title_full_unstemmed | Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange |
| title_short | Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange |
| title_sort | analysis of asset growth anomaly on cross section stock returns evidence from indonesia stock exchange |
| topic | Asset Growth Anomaly Stock Returns Predictability Efficient Market |
| url | https://journal.perbanas.ac.id/index.php/jebav/article/view/515 |
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