Asset growth anomaly in the UK stock market

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi Slotte, Pontus 2011-11-14T11:24:12Z 2011-11-14T11:24:12Z 2011
dc.description.abstract ASSET GROWTH ANOMALY IN THE UK STOCK MARKET PURPOSE OF THE STUDY This study examines the existence and the characteristics of the asset growth anomaly in the UK stock market. Especially I concentrate on the asset pricing impact of asset growth on cross-sectional stock returns in the stock market. This study is the first to investigate the asset growth anomaly in this scope in another major stock market, i.e. UK stock market. DATA The sample data consists of all UK stocks listed in London stock exchange between January 1982 and June 2009. All financial companies are excluded from the sample. The market data and accounting information are collected from Thomson Reuters Datastream. The final sample consists of 3218 individual stocks. RESULTS The results indicate a negative relation between the growth in total assets and expected stock returns in the UK stock market. However the observed impact is not as strong and persisting as the previous studies have shown it to be in the US stock market. The portfolio sorts reveal strikingly the anomaly profits were strongest among the large companies, though the anomaly was also visible among the small companies. Only among medium sized companies the anomaly are not economically viable. The regression analysis on the individual stock level indicates that the total asset growth is significant determinant of the cross-sectional stock returns. In addition to this the results also indicate that the past performance affects the anomaly profits and the stock prices are strongly reverting among high and low asset growth companies. KEYWORDS Asset growth anomaly, asset pricing, total asset growth, expected stock returns en
dc.format.extent 70
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Asset growth anomaly in the UK stock market en
dc.type G2 Pro gradu, diplomityö fi Kauppakorkeakoulu fi School of Economics en
dc.contributor.department Department of Finance en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword asset growth anomaly
dc.subject.keyword asset pricing
dc.subject.keyword total asset growth
dc.subject.keyword expected stock returns
dc.identifier.urn URN:NBN:fi:aalto-201111181689
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon osakemarkkinat
dc.subject.helecon stock markets
dc.subject.helecon kasvu
dc.subject.helecon growth
dc.subject.helecon Iso-Britannia
dc.subject.helecon United Kingdom
dc.ethesisid 12645 2011-11-01
dc.location P1 I

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