Abstract: We test for firm-level asset investment effects in returns by examining the cross-sectional relation between firm asset growth and subsequent stock returns. As a test variable, we use the year-on-year percentage change in total assets. Asset growth rates are strong predictors of future abnormal returns. Asset growth retains its forecasting ability even on large capitalization stocks, a subgroup of firms for which other documented predictors of the cross-section lose much of their predictive ability. When we compare asset growth rates with the previously documented determinants of the cross-section of returns (i.e., book-to-market ratios, firm capitalization, lagged returns, accruals, and other growth measures), we find that a firm's annual asset growth rate emerges as an economically and statistically significant predictor of the cross-section of U.S. stock returns.
These are based on custom formulas though there is "BV5YCGr%" - book value growth over 5 years... again, I can't seem to replciate the findings in this paper...
You may get high(low) ranks for companies that merged or split up. If the company doesn't restate previous statemens you'll see huge jumps. For example Freeport-McMoRan Copper & Gold Inc(FCX) total assets jumped to 40000 from 5390 the previous year. There must have been a merger.
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