资产增长度量指标新论--经营资产增长率指标的提出与实证分析.

The effect of asset growth poses a challenge for the efficient market hypothesis, which has drawn the attention of financial circles in recent years. Scholars have proposed a variety of empirical measures of asset growth that either only cover parts of asset growth or roughly examine the total asset growth without eliminating the noisy components, which leads to some limitations in the conclusions about the previous research. Based on this, the paper aims to put forward the operating assets growth for measuring the asset changes of listed companies by eliminating noisy asset components and incorporating more asset components negatively correlated to future stock returns into the construction of measures. Also, with the sample of non-financial listed companies in A stock market during the period of 1994 to 2012, the paper gives an empirical analysis of the relationship between the various asset growth measures and the stock returns by sorting, Fama-MacBeth cross-section regression, time series regression and nonoverlap hedge strategy. It shows in the study that the operating asset growth, the standard measure of asset growth, can serve as a comprehensive measure of the asset changes of listed companies and give a full reflection of the asset growth effect in stock market; the hedging portfolio from this measure can ensure the biggest return and offer a more precise criteria for investment decisions. [ABSTRACT FROM AUTHOR]