Research On The Asset Growth Anomaly Of Chinese Stock Market

The asset growth anomaly is that the growth of the company's asset will have anegative impact on the future stock returns.Finance is the core of modern economy,and the important part of modern financial system is stock market.Therefore,people pay more and more attention to the important role of stock market in economic development.How the change of the company's asset affects the stock returns has been a hot issue in the theoretical circle.For the sake of realizing transformation and development,listed companies will issue additional shares or increase bank loans,and their investment scale and investment area will continue to expand,and the company's asset size will also increase.Therefore,under the environment of continuous development of China's national economy and the transformation and development of listed companies,it is more practical to explore whether there are asset growth anomaly and the causes of asset growth anomaly in China's stock market.Though the anomaly of asset growth is a common phenomenon existing in foreign stock market,however,there are relatively few researches on the asset growth anomaly in China's stock market.Scholars usually explain the causes of asset growth anomaly from the two angles of "rational expectation hypothesis" and "mispricing hypothesis".The "rational expectation hypothesis" requires the market to have a higher pricing efficiency,and the "false pricing hypothesis" is based on the low efficiency of the market pricing.Related scholars' research shows that the pricing efficiency of China's stock market has been significantly improved after the implementation of margin trading system,and the pricing efficiency of the short selling company is significantly higher than that of the non selling company.Therefore,based on the requirements of the two hypotheses on the pricing efficiency of stock market and the influence of margin trading system on the pricing efficiency of China's stock market,this paper studies the causes of asset growth anomaly in China's stock market.This paper uses the growth rate of operating assets to measure asset growth,China Shanghai and Shenzhen two cities A share listed companies from 2005 to 2016 as the research object,using the grouping method and Fama-Macbeth cross-section regression method to empirically test whether there are asset growth anomaly in China's stock market,and on the basis of in-depth study of the causes of asset growth anomalyin Chinese stock market.The empirical results show that(1)The empirical results of the whole sample show that there is a asset growth anomaly in China's stock market;(2)After the implementation of margin trading system in China(from 2011 to 2016),China's stock market has a significant asset growth anomaly,but there is no obvious evidence of asset growth anomaly in the stage before the implementation of margin trading system(from2005 to 2010);(3)After the implementation of margin financing,short selling companies have significant growth anomaly,but there is no obvious asset growth anomaly in the non short selling companies;(4)After the implementation of the margin trading system,whether the company can sell short or not,the three factors related to the wrong pricing,such as over investment,timing financing and earnings management,do not affect the asset growth anomaly.The results can be seen from the above results,the asset growth anomaly in China's stock market is only in the short selling company after the implementation of the margin system,the pricing efficiency will affect the asset growth anomaly,the higher the pricing efficiency is,the more obvious the asset growth anomaly is.Over investment,timing financing and earnings management,the three factors related to the error pricing do not affect the asset growth anomaly.Therefore,the "rational expectation hypothesis" is the reason of asset growth anomaly in China's stock market.Generally speaking,the research conclusions obtained in this paper make us have a deeper understanding and grasp of the asset growth anomaly of A share market in China.It helps enterprises to make more reasonable investment decisions,and provides a reference for the government to strengthen supervision and decision-making.