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What explains the investment growth anomaly?

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  • Prombutr, Wikrom
  • Phengpis, Chanwit
  • Zhang, Ying
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    Abstract

    We examine if an existing asset pricing model in an unconditional or conditional setting can explain the investment growth anomaly, as represented by higher returns on stocks of the firms with lower growth in capital expenditures. Our results indicate that the conditional Fama–French 3-factor model that allows factor loadings to be time-varying and further linked to firm-level characteristics and the business cycle can explain the anomaly.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 36 (2012)
    Issue (Month): 9 ()
    Pages: 2532-2542

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    Handle: RePEc:eee:jbfina:v:36:y:2012:i:9:p:2532-2542

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Investment growth; Risk; Characteristic; Conditional asset pricing model;

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