Asset Growth Anomaly & Future Stock Return; Evidence from Tehran Stock Exchange

Document Type : Research Paper

Author

Assistant Prof., Finance, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran

Abstract

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.

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References

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Financial Research Journal
Volume 16, Issue 2 - Serial Number 2
Autumn & Winter
October 2015
Pages 235-252

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