Research On The Impact Of Asset Growth Effect On Stock Returns Of Listed Companies

In recent years,the "asset growth effect" has become a hot topic in the field of accounting and finance.On the one hand,the asset growth effect is an abnormal phenomenon of the stock market,that is,a negative correlation between asset growth and future stock returns,the stock market is a barometer of the macro economy.On the other hand,the asset growth effect is a market reflection of the operating behavior of listed companies,and is highly correlated with the investment decisions of listed companies.It is of great practical significance to study the theory of asset growth effect.Based on the method of Cooper et.al(2008)and Sean(2016),which are the most representative studies of asset growth effect.The main explanatory variables of this paper are constructed by using the asset classification and financing channels on both sides of the balance sheet,and the stock purchase and holding income are calculated by the two dimensions of the annual window and the announcement period window.And then,this paper takes the grouping the difference method,Fama-MacBeth two-step regression method,portfolio hedging analysis,etc.On the basis of examining the relationship between the components of assets and the future earnings of Chinese stocks,we focus on the differences of the effect of the net assets growth and the total assets growth.The empirical results show that:Firstly,there is a significant negative correlation between the growth rate of total assets,the growth rate of net operating assets and stock returns in Chinese stock market,that is,asset growth effect is obvious in Chinese stock market.Further,this paper demonstrates that not all types of asset growth have the same impact on future stock returns.That is,the growth rate of operating assets financed by operating liabilities and the growth rate of financial assets have a non-negative impact on future stock returns,which means they need to be separated from the total asset growth rate.And then,after the disturbance factor is removed from the total asset growth rate,a relatively perfect indicator of the growth rate of net operating assets is generated.This paper shows that the growth effect of net operating assets is stronger than the effect of total assets growth,the latter is only the manifestation of the former.That means the effect of total asset growth is essentially the result of the growth of net operating assets.This result is significant for long-term return(annual window)and short-term return(announcement window),equal-weighted portfolios and value-weighted portfolios and the factor of risk.