A behavioural trading strategy in the Singapore stock market.
The study by Cooper, Gulen, and Schill [2009] documented a strong negative relation between the growth in firms’ total assets and stock returns, often referred to as the “asset growth effect”. In our study, we seek to explore the asset growth effect in Singapore. Our study indicates that while the U...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/48085 |
| _version_ | 1826121592674975744 |
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| author | Chen, Zhang Rui. Quah, Joel Shenghui. Lim, Han Zhen. |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Chen, Zhang Rui. Quah, Joel Shenghui. Lim, Han Zhen. |
| author_sort | Chen, Zhang Rui. |
| collection | NTU |
| description | The study by Cooper, Gulen, and Schill [2009] documented a strong negative relation between the growth in firms’ total assets and stock returns, often referred to as the “asset growth effect”. In our study, we seek to explore the asset growth effect in Singapore. Our study indicates that while the U.S. market possesses both price-to-book (P/B) and size effect, we fail to observe a similar phenomenon in Singapore. Our cross-section regression analysis finds no relationship between the variables. This cross-country asset growth variation is a hotly debated topic in finance literature. This phenomenon can be explained by either risk or behavioral based approaches. Cooper, Gulen, and Schill [2009] attributed the asset growth effect in U.S. to over-investment tendency of corporate managers and excessive extrapolation on past growth by investors when valuing firms, hence supporting the behavioral based explanations. We conducted a secondary research and concluded that behavioral based explanations, i.e. asset homogeneity and reliance on internal financing, provide the best explanation for the lack of an asset growth anomaly in Singapore. |
| first_indexed | 2024-10-01T05:35:02Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/48085 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T05:35:02Z |
| publishDate | 2012 |
| record_format | dspace |
| spelling | ntu-10356/480852023-05-19T05:41:39Z A behavioural trading strategy in the Singapore stock market. Chen, Zhang Rui. Quah, Joel Shenghui. Lim, Han Zhen. Nanyang Business School Stephen Geoffrey Dimmock DRNTU::Business::Finance::Portfolio management The study by Cooper, Gulen, and Schill [2009] documented a strong negative relation between the growth in firms’ total assets and stock returns, often referred to as the “asset growth effect”. In our study, we seek to explore the asset growth effect in Singapore. Our study indicates that while the U.S. market possesses both price-to-book (P/B) and size effect, we fail to observe a similar phenomenon in Singapore. Our cross-section regression analysis finds no relationship between the variables. This cross-country asset growth variation is a hotly debated topic in finance literature. This phenomenon can be explained by either risk or behavioral based approaches. Cooper, Gulen, and Schill [2009] attributed the asset growth effect in U.S. to over-investment tendency of corporate managers and excessive extrapolation on past growth by investors when valuing firms, hence supporting the behavioral based explanations. We conducted a secondary research and concluded that behavioral based explanations, i.e. asset homogeneity and reliance on internal financing, provide the best explanation for the lack of an asset growth anomaly in Singapore. BUSINESS 2012-03-15T06:11:34Z 2012-03-15T06:11:34Z 2012 2012 Final Year Project (FYP) http://hdl.handle.net/10356/48085 en Nanyang Technological University 50 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Portfolio management Chen, Zhang Rui. Quah, Joel Shenghui. Lim, Han Zhen. A behavioural trading strategy in the Singapore stock market. |
| title | A behavioural trading strategy in the Singapore stock market. |
| title_full | A behavioural trading strategy in the Singapore stock market. |
| title_fullStr | A behavioural trading strategy in the Singapore stock market. |
| title_full_unstemmed | A behavioural trading strategy in the Singapore stock market. |
| title_short | A behavioural trading strategy in the Singapore stock market. |
| title_sort | behavioural trading strategy in the singapore stock market |
| topic | DRNTU::Business::Finance::Portfolio management |
| url | http://hdl.handle.net/10356/48085 |
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