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This research aims to examine the effect of asset growth on the equity returns in the Stock Exchange of Thailand in different economic stages and industry group portfolios. Data of this study comprise the listed common stocks in the Stock Exchange of Thailand between January 1996 and December 2014 and exclude financial firms. The 35 economic stage and industry-based portfolios are constructed and tested the asset growth effect on equity returns controlled by market risk, firm’s size, and book-to-market equity value factors. The results show that both positive and negative asset growths and the equity returns in alternative economic periods and industry groups occurred. Furthermore, this study finds that the asset growth significantly and statistically explains the equity returns only in 10 of 35 tested cases. This evidence suggests that asset growth is a non-systematic risk in asset pricing.
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