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Investing in the Asset Growth Anomaly Across the Globe

Investing in the Asset Growth Anomaly Across the Globe PDF Author: Li, Xi
Publisher:
ISBN:
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Languages : en
Pages : 33

Book Description
We document the existence of an anomalous asset growth effect globally and find that it comprises some combination of a market mispricing and some pervasive global systematic risk. To support our findings, we explore a battery of tests to include how country-level governance and market characteristics explain the cross-country differences in the effect. We also find evidence that any profits to a trading strategy based on the asset growth effect globally are somewhat diminished by high arbitrage costs.
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