文献类型：期刊文献

英文题名：Limits-to-arbitrage and asset growth anomaly in Chinese stock market

作者：Ye, Jianhua[1,3];Li, WenFang[2]

第一作者：叶建华

通讯作者：Ye, JH[1]

机构：[1]Henan Univ Econ & Law, Zhengzhou, Henan, Peoples R China;[2]Huanghe Coll Sci & Technol, Sch Informat & Technol, Zhengzhou, Henan, Peoples R China;[3]Henan Univ Finance & Econ, Sch Accounting, Zhengzhou, Henan, Peoples R China

第一机构：河南财经政法大学

通讯机构：[1]corresponding author), Henan Univ Econ & Law, Zhengzhou, Henan, Peoples R China.|[10484]河南财经政法大学;

年份：2013

卷号：4

期号：3

起止页码：199-211

外文期刊名：NANKAI BUSINESS REVIEW INTERNATIONAL

收录：Scopus(收录号：2-s2.0-84959883972);WOS:【ESCI(收录号:WOS:000218954000002)】；

基金：This paper is supported by National Natural Science Foundation of China (71072084), National Social Sciences Fund of China (11BGL048) and Philosophy and Social Science Planning Fund of Anhui Province in China (AHSK11-12335).

语种：英文

外文关键词：Abnormal return; Asset growth anomaly; Investment; Limits-to-arbitrage

摘要：Purpose - This paper makes attempt to test the firm-level long-term asset growth (LAG) effects in returns by examining the cross-sectional relation between firm-level LAG and subsequent abnormal stock returns. The purpose of this paper is to investigate whether limits-to-arbitrage can explain this asset growth anomaly in Chinese stock market. Design/methodology/approach - Empirical research was carried out. Findings - The empirical results show that asset growth anomaly in A-share stock market is significant and robust. The conclusion provides more evidence for the existence of asset growth anomaly. Additionally, arbitrage risk indicated by idiosyncratic risk cannot explain the anomaly, arbitrage risk indicated by accounting information transparency can partly explain the anomaly, and arbitrage cost proxied by Amihud's measure of illiquidity indicator can completely explain the asset growth anomaly in A-share stock market. Research limitations/implications - The results of this paper imply that strengthening the disclosure of firm information and improving the liquidity of the market are important to improve the efficiency of the A-share stock market. Originality/value - The paper selects the sample of non-financial listed companies in A- share stock market to research the asset growth anomaly and investigates whether limits-to-arbitrage can explain this anomaly. This paper proves the existence of asset growth anomaly in A-share stock market and is a good reference for further researches.