نوع مقاله : مقاله علمی پژوهشی
نویسنده
استادیار گروه مدیریت مالی، دانشکدۀ مدیریت و حسابداری دانشگاه شهید بهشتی، تهران، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسنده [English]
This paper investigates asset growth pricing in firm-level cross section stock return in Tehran Stock Exchange for the period from 1379 to 1389. In order to test cross section stock return predictability by the firm's asset growth, the relation between asset growth rate and subsequent stock return is examined in a sample of 280 firms using portfolio analysis approach and Fama-Macbeth (1973) regression model. Unlike previous findings in developed and developing markets, the results of this study suggest that stocks with high past asset growth rate experience high future return. However, by contraction of total sample to the big firms, the relation is positive and statistically insignificant. The results of this paper are robust for different future stock return time horizons.
کلیدواژهها [English]