کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
959643 | 929338 | 2011 | 23 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Limits-to-arbitrage, investment frictions, and the asset growth anomaly Limits-to-arbitrage, investment frictions, and the asset growth anomaly](/preview/png/959643.png)
We empirically evaluate the predictions of the mispricing hypothesis with limits-to-arbitrage suggested by Shleifer and Vishny (1997) and the q-theory with investment frictions proposed by Li and Zhang (2010) on the negative relation between asset growth and average stock returns. We conduct cross-sectional regressions of returns on asset growth on subsamples split by a given measure of limits-to-arbitrage or investment frictions. We show that: (i) proxies for limits-to-arbitrage and proxies for investment frictions are often highly correlated; (ii) the evidence based on equal-weighted returns shows significant support for both hypotheses, while the evidence from value-weighted returns is weaker; and (iii) in direct comparisons, each hypothesis is supported by a fair and similar amount of evidence.
Journal: Journal of Financial Economics - Volume 102, Issue 1, October 2011, Pages 127–149