THE LIMITS-TO-ARBITRAGE AND ASSET GROWTH ANOMALY COMPANIES

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BOZORG ASL MOUSA; MARFOU MOHAMMAD; ARABI MEHRAN

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Journal: The Financial Accounting and Auditing Researches Year:2018 | Volume:10 | Issue:39 Page(s): 65-79

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Title

THE LIMITS-TO-ARBITRAGE AND ASSET GROWTH ANOMALY COMPANIES

Author(s)

BOZORG ASL MOUSA | MARFOU MOHAMMAD | ARABI MEHRAN | Issue Writer Certificate

Keywords

ASSET GROWTH ANOMALYQ1

LIMITS-TO-ARBITRAGEQ1

STOCK RETURN VOLATILITYQ1

ILLIQUIDITYQ2

Abstract

Achieving maximum return is the desirable and satisfactory objective of every investor. In this regard, knowledge of the factors affecting stock return is very important. One of the most important factors is asset grow rate that it’ s inverse relationship with stock return (asset grow anomaly) have been examined in several studies. The purpose of this paper is to investigate the relationship between LIMITS-TO-ARBITRAGE and asset grow anomaly in listed company in Tehran stock exchange market from the period of 1388-1392. In order to measure LIMITS-TO-ARBITRAGE, two indicators have been used; including STOCK RETURN VOLATILITY and Amihud’ s measure of ILLIQUIDITY. In each year, the sample of this year has been sorted by each of two factors in ascending order, then they have been divided into five categories and the results of test hypothesis have been examined in the first one-fifth and terminal one-fifth. The findings of this paper show that in companies with low STOCK RETURN VOLATILITY and also in companies with low liquidity level, the asset grow anomaly is more than other companies.

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APA: Copy

BOZORG ASL, MOUSA, MARFOU, MOHAMMAD, & ARABI, MEHRAN. (2018). THE LIMITS-TO-ARBITRAGE AND ASSET GROWTH ANOMALY COMPANIES. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 10(39 ), 65-79. SID. https://sid.ir/paper/198203/en

Vancouver: Copy

BOZORG ASL MOUSA, MARFOU MOHAMMAD, ARABI MEHRAN. THE LIMITS-TO-ARBITRAGE AND ASSET GROWTH ANOMALY COMPANIES. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2018;10(39 ):65-79. Available from: https://sid.ir/paper/198203/en

IEEE: Copy

MOUSA BOZORG ASL, MOHAMMAD MARFOU, and MEHRAN ARABI, “THE LIMITS-TO-ARBITRAGE AND ASSET GROWTH ANOMALY COMPANIES,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 10, no. 39 , pp. 65–79, 2018, [Online]. Available: https://sid.ir/paper/198203/en

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