Anatomy of Asset Growth Anomaly; Evidence from Tehran Stock Exchange

The main purpose of this paper is analysis of total asset growth anomaly in Tehran Stock Exchange that emphasizes on the test of relation between total asset growth and net operating asset. On account Scrutiny in asset growth understanding, an anatomic approach is used to break down total asset growth to its three components and its effect on cross-section stock return is investigated using dual portfolio analysis and Fama-MacBeth (1973) two step regression from 1379 to 1389. The results confirm asset growth positive effect and reject the effect of net operating asset growth because the latter effect depending on weighting scheme and time horizon of subsequent stock return can be positive, negative or even statistically insignificant. The research Evidences indicate asset growth is self-inclusive and its explanatory power of is not appertained by anyone of its subcomponents. So, it cannot seek the reasons of the asset growth anomaly appearance in net operating asset anomaly. It seems that the source of asset growth financing (Criterion of asset growth decomposition) does not matter in asset growth anomaly occurrence.