자산증가와 주식수익률간의 관계

This paper analyzes the relationship between asset growth and subsequent stock return for non-financial firms listed in KOSPI over 1990-2010. Theoretical backgrounds are as follows: First, growth option is more risky than asst in place from mixed condition with growth option and asset in place because the expected returns related to growth option, average systematical risk, interest rate, the number and value of growth option depend on their effects. Also systematical risk reduction from the exercise of growth option suggests that investment and subsequent return are negatively related each other. Second, it should be negative relationship between asset growth and subsequent return if firms experience adjustment cost on firm investment. Based on these theories, in this paper, the results of empirical test are as follows. First, this paper finds that there is a significantly negative value from portfolio based on asset growth. Second, I also provide the evidence that asset growth has the negative effect significantly from cross-sectional regression. Third, after firm classification based on size, I find that firms with medium size have more significantly asset growth effect on subsequent stock return. These results are robust after controlling for characteristic variable of firms. As a result, these findings suggest that firms with high asset growth tend to have low subsequent stock return, supporting the theoretical result from previous paper. The results from the empirical test in this paper imply that stock market participants could make important strategies in operating their funds to enhance investment return.