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Investment anomalies and the growth risk premium

David J. Ashton & Pengguo Wang

Accounting and Business Research2025https://doi.org/10.1080/00014788.2025.2533468article
AJG 3ABDC A
Weight
0.37

What the paper says

The interaction between the risky growth of investment and future earnings plays a central role in predicting stock returns, giving rise to an investment puzzle associated with the risk inherent in growth. Our parsimonious theoretical model provides a connection between stock returns and uncertainties in investment growth, company profitability, book-to-market ratio, and earnings systematic risk. This analytic approach to the determinants of stock returns contrasts with conventional factor models that augment the simple CAPM model with empirically determined accounting variables. Our analysis sheds light on several empirical anomalies resulting from interactions between explanatory variables used in empirical analysis and offers insights into the nature and structure of the book-to-market factor.

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https://doi.org/https://doi.org/10.1080/00014788.2025.2533468

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@article{david2025,
  title        = {{Investment anomalies and the growth risk premium}},
  author       = {David J. Ashton & Pengguo Wang},
  journal      = {Accounting and Business Research},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1080/00014788.2025.2533468},
}

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Investment anomalies and the growth risk premium

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.