Investing in the Asset Growth Anomaly Across the Globe
Volume 13, Number 4, 2015
Xi Li and Rodney N. Sullivan
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 reduced, though not eliminated, by arbitrage costs.