Year: 2025
Type: article
Abstract: Against the backdrop of China's A-share market transitioning from an emerging to a more mature stage over the past decade, characterized by increasing institutional participation yet persistent retail investor dominance, understanding market anomalies remains critical for both academic research and investment practice. Asset growth anomaly, a well-documented phenomenon in global markets where high asset growth firms underperform their low-growth counterparts, has garnered limited systematic scrutiny in China’s unique institutional setting. This paper fills the gap by utilizing Fama-MacBeth cross-sectional regression on a decade of listed company data to examine the anomaly’s existence and drivers. Findings reveal a significant negative correlation between asset growth rates and future stock returns during the period, with mispricing identified as the root cause—evidenced by return reversals around earnings announcements and stronger anomaly effects in high idiosyncratic volatility portfolios.
Author: Shiyue Su
Institution: Nanjing University of Science and Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4414155678