Investment-related anomalies in Australia

evidence and explanations

Research output: Contribution to journalArticleResearchpeer-review

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.

Original languageEnglish
Pages (from-to)97-109
Number of pages13
JournalInternational Review of Financial Analysis
Volume61
DOIs
Publication statusPublished - Jan 2019

Keywords

  • Anomalies
  • Asset growth
  • Asset tangibility
  • Investment
  • Mispricing
  • Net operating assets
  • q -Theory

Cite this

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Investment-related anomalies in Australia : evidence and explanations. / Cao, Viet Nga; Gray, Philip; Zhong, Angel.

In: International Review of Financial Analysis, Vol. 61, 01.2019, p. 97-109.

Research output: Contribution to journalArticleResearchpeer-review

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