Investment-related anomalies in Australia: Evidence and explanations

Cao, V, Gray, P and Zhong, A 2019, 'Investment-related anomalies in Australia: Evidence and explanations', International Review of Financial Analysis, vol. 61, pp. 97-109.


Document type: Journal Article
Collection: Journal Articles

Title Investment-related anomalies in Australia: Evidence and explanations
Author(s) Cao, V
Gray, P
Zhong, A
Year 2019
Journal name International Review of Financial Analysis
Volume number 61
Start page 97
End page 109
Total pages 13
Publisher Elsevier BV
Abstract This paper documents the existence of five investment-related anomalies in the Australian market. Cross-sectional stock returns are negatively related to each of asset growth, net operating assets, inventory growth and investment-to-assets, and positively related to asset tangibility. While the investment-return relation is theoretically motivated by q-theory, there is only support for the q-theory explanation in relation to the investment-to-assets effect. Limits to arbitrage appear to be a factor in the asset-tangibility effect, where the mispricing can be traced to the over-pricing of stocks with high levels of goodwill.
Subject Finance
Keyword(s) Anomalies
Asset growth
Asset tangibility
Investment
Mispricing
Net operating assets
q -Theory
DOI - identifier 10.1016/j.irfa.2018.10.007
Copyright notice © 2018 Elsevier
ISSN 1057-5219
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