Reexamining the Asset Growth Anomaly in Taiwan Stock Market
| Autor: | LI-HAN HUANG, 黃莉涵 |
|---|---|
| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 Cooper, Gulen, and Schill (2008) find that there are negative relation between asset growth and subsequent stock return in the US market, which is asset growth anomaly. They further refer the anomaly from underpricing managers' overinvestment. In Asia, Yao, Yu, Zhang, and Chen (2011) indicate that all of the markets, except Taiwan, exists asset growth anomaly. Lam and Wei (2012) suggest that the method above can only examine the anomaly in market-wide view, and it cannot recognize the resource of anomaly precisely. They propose examining the reason with subsequent asset growth, and it can distinguish the hypotheses, overinvestment hypothesis, real option hypothesis, style investing hypothesis and q-theory of investment hypothesis, to two predictions. Our study is aimed to reexamine Taiwan asset growth anomaly, so we take the new manner. Consequently, overall there is still no asset growth anomaly in Taiwan stock market. But when we sort all the stock with asset growth level and subsequent asset growth, we find that there is significant abnormal return in reversal growth level sample. Besides, with examination of dynamic q-theory, we find that the anomaly is consistent with style investing hypothesis in Taiwan. And all the results above are consistent with abnormal return characteristic adjusted, abnormal return factor adjusted and sub period sample. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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