Figures & data
Table 1. Sample countries. This table reports the number of observations and the mean values of annual holding period return, the asset growth as well as two investor protection indices; shareholder protection index and creditor rights. The sample of emerging countries is identified based on the development status of countries by the IFC. Firms’ stock returns are computed for a year holding period from beginning of January to end of December in year t. Asset growth rate is represented by the percentage change in total assets from the end of year t-2 to the end of year t-1. Shareholder rights and creditor rights are two proxies to measure investor protection. For both indices, the value of 0 stands for the weakest governance, and 5 for shareholder protection and 3 for creditor rights refer to the strongest governance. The sample period is from 2005 to 2013.
Table 2. Sample descriptive statistics by year. This table reports summary statistics with the number of observations, mean, median and standard deviation per year for the following variables: Returnt is firms’ stock returns computed for a year holding period from beginning of January to end of December in year t; Asset growth (AGt−1) is the percentage change in total assets from the end of year t–2 to the end of year t–1; LnMVt−1 the natural logarithm of firms’ market capitalization; LnBMt−1 is the natural logarithm of the ratio of the book value of equity to the market value of equity; MOMt−1 is the momentum effect, which is the five month firms’ holding period return from July until November; MARKETt is the annual holding period market return. All variables are measured in the currency of US Dollar. The sample period is from 2005 to 2013.
Table 3. Asset growth effect. This table reports pooled OLS regression results to obtain the effect of asset growth on firms’ stock returns (Returnt), which is computed for a year holding period from beginning of January to end of December in year t. LnMVt−1 the natural logarithm of firms’ market capitalization. LnBMt−1 is the natural logarithm of the ratio of the book value of equity to the market value of equity. MOMt−1 is the momentum effect, which is the five month firms’ holding period return from July until November. MARKETt is the annual holding period market return. Asset growth (AGt−1) is the percentage change in total assets from the end of year t–2 to the end of year t–1. All variables are measured in the currency of US Dollar. The sample period is from 2005 to 2013. ***, **, * denote statistical significance at 1%, 5%, and 10% levels, respectively.
Table 4. Crisis period and asset growth effect. This table reports pooled OLS regression results with country, industry and year fixed effects to obtain the effect of asset growth during the crisis periods on firms’ stock returns (Returnt), which is computed for a year holding period from beginning of January to end of December in year t. Asset growth (AGt−1) is the percentage change in total assets from the end of year t–2 to the end of year t–1. Crisis is a dummy variable to identify the crisis period. LnMVt−1 the natural logarithm of firms’ market capitalization. LnBMt−1 is the natural logarithm of the ratio of the book value of equity to the market value of equity. MOMt−1 is the momentum effect, which is the five month firms’ holding period return from July until November. MARKETt is the annual holding period market return. All variables are measured in the currency of US Dollar. The sample period is from 2005 to 2013. ***, **, * denote statistical significance at 1%, 5%, and 10% levels, respectively.
Table 5. Crisis period and asset growth effect: The role of stock turnover ratio, firm size and industry. This table reports pooled OLS regression results with country, industry and year fixed effects to obtain the roles of several firm characteristics in the effect of asset growth during the crisis periods on firms’ stock returns (Returnt), which is computed for a year holding period from beginning of January to end of December in year t. Stock turnover ratio is the ratio of the value of total shares traded to market capitalization, and firm size is based on market capitalization in US Dollar. Firms are classified into three groups using the 30th and 70th percentiles. The list of high R&D industries is provide in footnote 1. June of Asset growth (AGt−1) is the percentage change in total assets from the end of year t–2 to the end of year t–1. Crisis is a dummy variable to identify the crisis period, which includes years 2008 and 2011. LnMVt−1 the natural logarithm of firms’ market capitalization; LnBMt−1 is the natural logarithm of the ratio of the book value of equity to the market value of equity. MOMt−1 is the momentum effect, which is the five month firms’ holding period return from July until November. MARKETt is the annual holding period market return. All variables are measured in the currency of US Dollar. The sample period is from 2005 to 2013. ***, **, * denote statistical significance at 1%, 5%, and 10% level, respectively.
Table 6. Shareholder and creditor protection, crisis period and asset growth effect. This table reports pooled OLS regression results with country, industry and year fixed effects to obtain the role of protection provided for shareholders and creditors at the country level in the effect of asset growth during the crisis periods on firms’ stock returns (Returnt), which is computed for a year holding period from beginning of January to end of December in year t. Asset growth (AGt−1) is the percentage change in total assets from the end of year t–2 to the end of year t–1. Crisis is a dummy variable to identify the crisis period, which includes years 2008 and 2011. LnMVt−1 the natural logarithm of firms’ market capitalization; LnBMt−1 is the natural logarithm of the ratio of the book value of equity to the market value of equity. MOMt−1 is the momentum effect, which is the five month firms’ holding period return from July until November. MARKETt is the annual holding period market return. All variables are measured in the currency of US Dollar. Low (High) shareholder protection countries are those whose indices are lower or equal to (higher) than the median of investor protection index. The sample period is from 2005 to 2013. ***, **, * denote statistical significance at 1%, 5%, and 10% level, respectively.