رشد دارایی و سهام بازده: شواهدی از بازارهای مالی آسیا

This study examines the effect of corporate asset growth on stock returns using data on nine equity markets in Asia. For the period from 1981 to 2007, we find a pervasive negative relation between asset growth and subsequent stock returns. Such relation is weaker in markets where firms' asset growth rates are more homogeneous and persistent and in markets where firms rely more on bank financing for growth. On the other hand, corporate governance, investor protection, and legal origin do not influence the magnitude of the asset growth effect in Asian markets.

The relationship between finance and growth has been long debated in academic research, and there has been ample evidence that a well-functioning financial system contributes positively to a country's economic growth (see, e.g., Demirgüç-Kunt and Levine (2008) for an extensive survey of the literature). At the micro-economic level, an important channel for the financial systems to facilitate economic growth is to efficiently coordinate financing and investment activities across firms, to the effect that capital flows from firms with low investment opportunities to firms with highly profitable prospects. Using U.S. data, however, many studies have found evidence discordant with micro-level financial efficiency: firms experiencing rapid growth by raising external financing and making capital investments and acquisitions, subsequently have poor operating performance and disappointing stock returns, whereas firms experiencing contraction via divesture, share repurchase, and debt retirement, subsequently report good operating results and high stock returns. Recently, Cooper et al. (2008, hereafter CGS) summarize the synergistic effects of investments and financing on stock returns by a simple measure of total asset growth. They show that in U.S. high asset-growth stocks underperform low asset-growth stocks and attribute this finding to over-investments by corporate managers and an excessive-extrapolation bias by investors when they value stocks based on firms' past growth. In this study, we explore the asset growth effect in an international setting — specifically, in nine Asian markets: Japan (a well-developed economy), China (one of the most rapidly growing economies), Hong Kong, Taiwan, Korea, Malaysia, Singapore, Thailand, and Indonesia. We focus on the asset growth effect in the Asian financial markets for the following reasons. The Asian economies have generally experienced fast economic growth during recent decades, which is accompanied by rapid asset growth at firm level and active capital market activities (e.g., Shaffer, 2002). Further, corporate ownership and governance characteristics in Asian financial markets are very different from the U.S. — such as highly concentrated ownership of public corporations and complicated, pyramid-like systems of corporate control (Claessens et al., 2000). The looming corporate governance concern is the expropriation of minority shareholders by controlling shareholders, instead of the conflicts of interest between managers and diverse shareholders — the latter is believed to be a source of the asset growth effect in the U.S. (Cooper et al., 2008). More importantly, in contrast to the well-developed capital markets of the U.S., many Asian economies (notably China, Japan, Taiwan, Korea, Thailand, and Indonesia) primarily rely on bank-based financial systems. Even for firms operating in Asian economies with well-developed capital markets, bank financing is often a major source of asset growth. Capital market-based and bank-based financial systems could affect firms' financing behavior and investment efficiency differently. For example, in these two types of financial systems, the mechanisms to bond the interests of firms and investors can be quite different (Datta et al., 1998, Puri, 1996 and Puri, 1999). There are at least two channels through which a bank-based system may affect the asset growth effect. First, banks have direct access to corporate financial information and bank financing may have an important monitoring effect on a firm's business performance (Townsend, 1979, Diamond, 1984, Diamond, 1991, Puri, 1996 and Puri, 1999). Thus bank financing may effectively curb firms' overinvestment tendency. Second, the banking system may underfund firms' growth opportunities, resulting in capital rationing and causing firms to underinvest and grow more homogeneously. Weinstein and Yafeh (1998), for example, show that banks could discourage firms from investing in risky but profitable projects, as banks are the major debtholders and tend to be more risk averse than equityholders. Thus, we are interested in whether the economic growth, corporate governance characteristics, and in particular, the prominence of the bank system, make a difference in explaining the growth–return relation between the U.S. and Asian markets, and across the Asian markets.1 Using financial and stock data from PACAP and DataStream, we first document a pervasive negative relation between asset growth and stock returns in the Asian financial markets during the period from 1981 to 2007. When stocks are first ranked within each market and then the resulting portfolios are combined across the nine Asian markets, the annualized return spread between top and bottom asset growth deciles is − 12.48%. This spread is however lower than that for the U.S., where the equal-weighted stock return spread between the top and bottom asset growth deciles is − 23.64% per year. The weaker magnitude of the asset growth effect in Asia is interesting and somewhat puzzling if one believes that this form of stock return predictability is mainly driven by investor sophistication and market efficiency. Arguably, the U.S. stock market is more efficient and the U.S. investors are more sophisticated, especially in terms of institutional investors. An immediately-noted pattern is that asset growth rates among Asian firms are more homogenous, relative to U.S. firms. Such homogeneity, which mechanically leads to a weak asset growth anomaly, could be either due to that Asian firms are exposed to similar economic shocks, or due to that firm growth is pervasively underfunded in bank-based financial systems. However, the sensitivity of future stock return to per unit asset growth is also significantly lower in Asia relative to that in the U.S. Therefore, while the homogeneity in asset growth rates may provide an explanation to the weaker asset growth anomaly in Asia, it is not the whole explanation. A further explanation for the weaker asset growth effect in Asia is that there is less overinvestment tendency. To examine this hypothesis, we follow Cooper et al. (2008) to break down asset growth into growth of various asset components. We find that in the Asia markets (relative to the U.S.), capital expenditure is less important in driving asset growth, and there is a higher degree of cross-sectional homogeneity in capital expenditure as well as in the growth of other asset components (cash, non-cash current assets, and other assets). In both Asia and the U.S., capital expenditure (as well as the growth of other asset components) is negatively correlated with future stock returns. However, capital expenditure is more homogeneously distributed across firms in Asia, and stock returns are less sensitive to capital expenditure. Further, the standardized return spread in capital expenditure is only marginally different between the U.S. and Asian markets. Therefore, there is some evidence, albeit not in preponderance, that overinvestment is less severe in Asia. To see whether sources of financing affect the magnitude of the asset growth anomaly, we break down firms' asset growth from the financing side of balance sheet. Consistent with the observation that in some Asian economies the capital markets are less developed and the banking systems often dominate capital markets in providing capital, Asian firms rely more on internal financing (i.e., retained earnings) than external financing (i.e., equity and debt financing) to achieve asset growth; further, when raising external financing, they rely more on debt (and likely more in the form of bank loans) than equity. Most interestingly, we find that various financing sources (internal vs. external financing and debt vs. equity financing) contribute quite differently to the asset growth effect. The sensitivities of stock returns to debt and internal financing — the two sources of financing that are more important for Asian firms — are less negative than those in the U.S., suggesting that the greater reliance on debt (bank loans) and internal financing is an important factor explaining the weaker asset growth effect in Asia. Finally, using panel regressions we specifically examine the effects of banking system and corporate governance characteristics on the asset growth anomaly. To quantify a country's reliance on banking system and capital markets, we consider the ratio of bank loan to GDP, the ratio of total stock market capitalization to GDP, and a measure of the relative importance of equity market as per Pincus et al. (2007). For corporate governance characteristics, we use a set of measures from the existing literature, based on legal origin, corruption index, and investors' right (La Porta et al., 1997, La Porta et al., 1998, La Porta et al., 1999, La Porta et al., 2000 and La Porta et al., 2002, hereafter LLSV; Djankov et al., 2002 and Wurgler, 2000). Our analysis shows that the reliance on bank financing has the effects of reducing average firm growth, increasing growth homogeneity, increasing the persistence of firm growth as well as the impact of growth on profitability, and finally, reducing the magnitude of the negative growth–return relation. In contrast, we find a minimal effect of corporate governance, in terms of firm growth, growth persistence, profitability, or the growth–return relation. Overall, our results suggest that reliance on bank financing plays an important role in explaining the weaker asset growth effect in the Asian markets relative to the U.S. market, as well as in explaining the differential asset growth effects across the Asian markets. Recall that bank financing may affect the asset growth anomaly via two channels — banks may serve as efficient monitors to reduce overinvestment; they may also limit credit provision and thus cause firms' under-investments. Some of our results are indicative of the second channel — for example, reliance on bank financing results in homogeneity in the growth rates across firms. However, on many other aspects, the two channels may produce quite similar effects and therefore difficult to identify separately. Specifically, consider their effects on growth persistence and profitability. First, by reducing firms' overinvestment tendency, bank financing may result in persistent growth and profitability. Second, if the dominance of the banking system results in frequent credit rationing and thus simply limiting the growth of all firms, we may also observe persistent growth and profitability. This is because facing financing constraints, firms may rank their investments and only invest in those most profitable ones given their available capital. The bottom line is that, unless an optimal firm-level investment could be identified, it is difficult to separate the overinvestment-curbing effect from the financing constraint effect. Our finding on the role of bank-based financial systems in the asset growth effect is consistent with, and complements, several studies on bank-based economies in this region. For example, Ferris et al. (1995) show that the reliance on bank financing for Japanese keiretsu firms mitigates the agency conflicts and creates more efficient information channel between these members. Kang and Shivdasani (1999) find that bank-affiliated firms tend to have lower equity ownership by management and larger boards. In a recent study, Baik et al. (2010) find that in a bank-based economies such as Japan, the positive impact of accounting quality on firm investment efficiency is least pronounced. The remainder of the paper is organized as follows. Section 2 discusses the data and the stock sample. Section 3 reports our main empirical results on the asset growth effect. Section 4 analyzes factors affecting cross-market differences in the asset growth effect, with a focus on the role of banking financing on the effect. Section 5 concludes.

Using nine Asian financial markets as an out-of-sample laboratory for examining the asset growth anomaly, we report a weaker, but pervasive and negative relation between asset growth and future stock returns. This finding suggests the presence of significant inefficiencies in the region's financial system in terms of allocating financial resources across firms and in terms of valuing investment opportunities. In the exploration of relative magnitude of asset growth anomaly effects in Asian and the U.S. markets, we find that homogeneity of asset growth and its components may alleviate the anomaly effect. We also find some supportive, although not conclusive, evidence that there is less overinvestment behavior in the Asian region. The most relevant factors for explaining the differential asset growth effect turn out to be the characteristics of the financial systems — the dominance of banking system in the region significantly weakens the negative correlation between asset growth and subsequent stock returns. This could be due to either an effective monitoring role banks play, or firms' under-investment typically observed in bank-based financial systems.