Exploring the Asset Growth Anomaly: An Empirical Investigation of the Swedish Market
(2025) IBUH19 20251Department of Business Administration
- Abstract
- This thesis investigates the asset growth anomaly in the Swedish stock market (Nasdaq Stockholm) from 2012 to 2023, with a focus on whether extrapolation bias can help explain the anomaly. Although prior research has documented a negative relationship between asset growth and future stock returns, most international studies have overlooked investor-side behavioural explanations such as extrapolation bias. Using a dataset of listed and delisted Swedish non-financial firms, the study applies both portfolio-level sorting and firm-level Fama-MacBeth regressions. The results provide mixed support for the anomaly overall but reveal that it is significantly more pronounced among firms with low institutional ownership, suggesting that less... (More)
- This thesis investigates the asset growth anomaly in the Swedish stock market (Nasdaq Stockholm) from 2012 to 2023, with a focus on whether extrapolation bias can help explain the anomaly. Although prior research has documented a negative relationship between asset growth and future stock returns, most international studies have overlooked investor-side behavioural explanations such as extrapolation bias. Using a dataset of listed and delisted Swedish non-financial firms, the study applies both portfolio-level sorting and firm-level Fama-MacBeth regressions. The results provide mixed support for the anomaly overall but reveal that it is significantly more pronounced among firms with low institutional ownership, suggesting that less sophisticated investors are more prone to extrapolating past performance. Through the examination of extrapolation bias as an explanatory mechanism, this study offers an underexplored behavioural perspective on asset pricing and contributes to the existing asset growth literature. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9206891
- author
- Bodén, Anna LU ; Lee, Cheng-Tao LU and Martell Roggero, Emma LU
- supervisor
- organization
- course
- IBUH19 20251
- year
- 2025
- type
- M2 - Bachelor Degree
- subject
- keywords
- Asset Growth Anomaly, Extrapolation Bias, Behavioural Finance, Efficient Market Hypothesis, Fama-MacBeth Regression
- language
- English
- id
- 9206891
- date added to LUP
- 2025-06-30 10:27:03
- date last changed
- 2025-06-30 10:27:03
@misc{9206891, abstract = {{This thesis investigates the asset growth anomaly in the Swedish stock market (Nasdaq Stockholm) from 2012 to 2023, with a focus on whether extrapolation bias can help explain the anomaly. Although prior research has documented a negative relationship between asset growth and future stock returns, most international studies have overlooked investor-side behavioural explanations such as extrapolation bias. Using a dataset of listed and delisted Swedish non-financial firms, the study applies both portfolio-level sorting and firm-level Fama-MacBeth regressions. The results provide mixed support for the anomaly overall but reveal that it is significantly more pronounced among firms with low institutional ownership, suggesting that less sophisticated investors are more prone to extrapolating past performance. Through the examination of extrapolation bias as an explanatory mechanism, this study offers an underexplored behavioural perspective on asset pricing and contributes to the existing asset growth literature.}}, author = {{Bodén, Anna and Lee, Cheng-Tao and Martell Roggero, Emma}}, language = {{eng}}, note = {{Student Paper}}, title = {{Exploring the Asset Growth Anomaly: An Empirical Investigation of the Swedish Market}}, year = {{2025}}, }