written by Cheung Man-Chun Doris. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 121-125). / Abstracts in English and Chinese. / ACKNOWLEDGEMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF APPENDICES --- p.v / Chapter CHAPTER 1 --- INTRODUCTION --- p.1 / Chapter CHAPTER 2 --- BACKGROUND OF AGEING IN SELECTED COUNTRIES / Chapter A. --- "Demographic Facts: World, More Developed and Less Developed Regions" --- p.6 / Chapter B. --- "Demographic Facts: Germany, US, Japan, Singapore and Hong Kong" --- p.9 / Chapter C. --- Demographic Changes of Hong Kong --- p.12 / Chapter D. --- Fertility-dominated or Mortality-dominated ageing? --- p.14 / Chapter CHAPTER 3 --- LITERATURE REVIEW / Chapter A. --- Ageing measurements --- p.16 / Chapter B. --- Relationship between Savings and Investment --- p.17 / Chapter C. --- Relationship between Ageing and Savings --- p.19 / Chapter D. --- Relationship between Ageing and Growth --- p.23 / Chapter E. --- Relationship between Savings and Growth --- p.24 / Chapter F. --- Summary --- p.26 / Chapter CHAPTER 4 --- EMPIRICAL SPECIFICATIONS AND DATA / Chapter A. --- Expectations of variables in Savings equation andin Growth equation --- p.30 / Chapter B. --- Specifications for Panel Data Analysis / Chapter (i) --- The Data --- p.36 / Chapter (ii) --- Methodology --- p.36 / Chapter (iii) --- Specifications --- p.38 / Chapter C. --- Specifications for Cross-sectional Analysis --- p.39 / Chapter D. --- Pros and Cons of Using Panel and Cross-sectional Data --- p.40 / Chapter CHAPTER 5 --- ESTIMATATION RESULTS / Chapter A. --- Cross-sectional Data Analysis / Chapter (i) --- How does Ageing Affect Savings? --- p.45 / Chapter (ii) --- How does Ageing Affect Economic Growth? --- p.47 / Chapter B. --- Panel Data Analysis / Chapter (i) --- How does Ageing Affect Savings? --- p.48 / Chapter (ii) --- How does Ageing Affect Economic Growth? --- p.54 / Chapter C. --- Comparison between the Results from the Analyses of the Cross-sectional Data and the Panel Data --- p.56 / Chapter D. --- Reconciliation between the Conflicts --- p.57 / Chapter (i) --- Difference in the Length of Estimation Periods --- p.59 / Chapter (ii) --- Cross-sectional Effect vs. Time Series Effect --- p.60 / Chapter (iii) --- Sampling Problems --- p.66 / Chapter a) --- Results from Cutting Outliers (Full Samples) --- p.67 / Chapter b) --- Results from Cutting Outliers (Non-poor Country Samples) --- p.69 / Chapter c) --- Results from Entering both Ageing Variables Together (Full Samples) --- p.72 / Chapter d) --- Results from Entering both Ageing Variables Together (Non-poor Countries Samples) --- p.73 / Chapter E. --- Further Examination on the Impact of Ageing on the Economic Growth --- p.74 / Chapter CHAPTER 6 --- CONCLUSION --- p.78 / TABLES --- p.82 / APPENDIX --- p.113 / BIBLIOGRAPHY --- p.121

Mode of access: World Wide Web. / Thesis (Ph. D.)--University of Hawaii at Manoa, 2004. / Includes bibliographical references (leaves 186-194). / Electronic reproduction. / Also available by subscription via World Wide Web / xi, 194 leaves, bound ill., 29 cm

Made available in DSpace on 2015-04-16T14:49:14Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 4788479 bytes, checksum: 64e049150075a77dc6145b4279f96e2f (MD5) Previous issue date: 2013-12-04 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / This research aimed to examine the relationship between the asset growth and stock returns in the Brazilian stock market. Initially, we attempted to investigate whether the asset growth effect exists in the Brazilian stock market, as well as ascertain whether the asset growth effect exists when it adjusts the return to the three-factor model of Fama and French (1993) and the four-factor model of Carhart (1997). Then, we sought to verify whether the asset growth separately influences stock returns after controlling other determinants. Finally, we attempted to verify if the asset growth is a risk factor for the explanation of stock returns. The sample consists of all non-financial companies listed on the Stock Exchange in Sao Paulo between June 1995 and July 2013. All accounting data and market were collected in Economatica. To the study development, we used five measures of asset growth and we opted for the employment of both portfolios as well stock-level analysis. For the analysis of the existence of the asset growth anomaly, it was found a difference of portfolios returns with low and high asset growth. Thus, it was found that there is asset growth anomaly, since the difference in returns were positive and significant. Then, the portfolios returns were adjusted to the risk, in order to ascertain the permanence of the effect. It was noticed that neither the three-factor model, neither the four-factor model can capture the asset growth anomaly. To verify if the asset growth is a determinant variable of the return, besides the size, book-to-market and momentum variables, we performed Fama and MacBeth (1973) cross-section regressions methodology. The results indicate that the asset growth is a variable that influences negatively the future return of the stocks in the Brazilian stock market. Finally, to test whether the asset growth is a priced risk factor, we used the common two-stage cross-sectional regression methodology. It has been found that, in three of the five proxies used for asset growth, there is evidence that the asset growth factor is a risk factor priced. / Esta dissertação teve por objetivo analisar a relação entre o crescimento do ativo e o retorno das ações no mercado de ações brasileiro. Incialmente, buscou-se investigar se existe o efeito asset growth no mercado de ações brasileiro, bem como averiguar se o efeito asset growth existe quando se ajusta o retorno ao modelo de três fatores de Fama e French (1993) e ao modelo de quatro fatores de Carhart (1997). Em seguida, procurou-se verificar se o crescimento do ativo influencia separadamente o retorno das ações após controlar outros determinantes. Por fim, buscou-se verificar se o crescimento do ativo é um fator de risco para explicação dos retornos das ações. A amostra consiste de todas as empresas não financeiras listadas na Bolsa de Valores de São Paulo entre junho de 1995 a julho de 2013. Todos os dados contábeis e de mercado foram coletados no Economática. Para o desenvolvimento do estudo, foram utilizadas cinco medidas de crescimento do ativo e optou-se pelo emprego tanto de carteiras, quanto de ativos individuais. Para a análise da existência da anomalia asset growth, verificou-se a diferença dos retornos das carteiras com baixo e alto crescimento do ativo. Assim, constatou-se que existe a referida anomalia, pois a diferença dos retornos foram positivos e significativos. Em seguida, os retornos das carteiras foram ajustados ao risco, com a finalidade de averiguar a permanência do efeito. Percebeu-se que nem o modelo de três fatores, nem o modelo de quatro fatores conseguem capturar a anomalia asset growth. Para verificar se o crescimento do ativo é uma variável determinante do retorno, além das variáveis tamanho, índice book-to-market e momento, realizou-se regressões em cross-section a partir da metodologia de Fama e MacBeth (1973). Os resultados indicam que crescimento do ativo é uma variável que influencia negativamente o retorno futuro das ações no mercado de ações brasileiro. Finalmente, para testar se crescimento do ativo é um fator de risco precificado, utilizou-se a metodologia de regressão em duas etapas. Verificou-se que, em três das cinco proxies utilizadas para crescimento do ativo, há evidências de que o fator crescimento do ativo seja um fator de risco precificado.