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What explains the investment growth anomaly?

  • Prombutr, Wikrom
  • Phengpis, Chanwit
  • Zhang, Ying
Registered author(s):

    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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    File URL: http://www.sciencedirect.com/science/article/pii/S0378426612001380
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Jonathan Berk & Richard C. Green & Vasant Naik, . "Optimal Investment, Growth Options and Security Returns," GSIA Working Papers 64, Carnegie Mellon University, Tepper School of Business.
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