New insights on the asset growth anomaly: evidence from Europe*

Artikis, Panagiotis G.; Diamantopoulou, Lydia; Papanastasopoulos, Georgios A.

doi:10.1080/1351847x.2021.2020145

Cited by 3 publications

(1 citation statement)

References 52 publications

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“…One of the most pervasive and robust asset pricing puzzles is the well-documented asset growth anomaly 1 . While both rational 2 and mispricing explanations 3 of the asset growth anomaly have been proposed, given the mixed evidence to date, the 1 See Chan et al, 2006;Fama and French, 2008;Lam and Wei, 2011;Lipson et al, 2011;Maio, 2019a, 2019b for U.S. stock market evidence and Titman et al, 2013;Watanabe et al, 2013;Wang et al, 2015;Artikis et al, 2021Artikis et al, , 2022 for international stock markets as well.…”

Section: Introductionmentioning

confidence: 99%

Do Fictitiously High Asset Growth Rates Drive the Asset Growth Anomaly?

Artikis,

Asopoulos,

Sfakianakis

et al. 2023

TEL

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Purpose: This paper investigates whether the well-documented asset growth anomaly can be related to information uncertainty due to earnings management. Design/Methodology/Approach: We perform both portfolio-based and regression-based analyses. We employ the 5 Variable Version of the Beneish model (Beneish, 1999) as an earnings management proxy and Piotroski's (2000) FSCORE as a proxy for firms' fundamental strength. Findings: Overall, our evidence suggests that the asset growth anomaly can be driven by high asset growth firms, manipulating their accounting figures. Originality: Given the implicit inferences that attribute the phenomenon to earnings management mainly by employing country-level proxies, we provide new insights by employing variables measured at the firm level.

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