Table 1 Summary statistics and asset...

Table 1

Summary statistics and asset growth premia across countries

					Equally-weighted returns				Value-weighted returns
Country	Period	N	IDV	UAI	AG1	AG10	AG1-AG10		AG1	AG10	AG1-AG10
Argentina	1989–2013	43	46	86	0.841	−0.039	0.881	(1.23)	0.269	0.017	0.253	(0.30)
Australia	1982–2013	588	90	51	1.505	0.321	1.183***	(4.22)	1.128	0.342	0.785**	(2.34)
Austria	1982–2013	66	55	70	0.293	−0.181	0.474	(0.86)	1.236	−0.159	1.395**	(2.12)
Bangladesh	2007–2013	31	20	60	2.452	0.422	2.030	(1.23)	2.386	0.874	1.512	(0.80)
Belgium	1982–2013	103	78	97	0.740	−0.051	0.791**	(2.52)	0.682	0.622	0.060	(0.14)
Brazil	1991–2013	154	38	76	0.474	1.084	−0.610	(-0.82)	1.792	0.837	0.955	(0.82)
Canada	1982–2013	618	80	48	1.292	0.899	0.393	(1.24)	1.294	0.301	0.993**	(2.28)
Chile	1989–2013	107	23	86	0.311	0.862	−0.550	(−1.55)	0.120	1.109	−0.989*	(−1.82)
China	1991–2013	733	20	30	2.476	1.866	0.609	(1.17)	2.404	1.612	0.792	(1.39)
Denmark	1982–2013	144	74	23	0.966	0.190	0.776***	(2.80)	1.130	0.233	0.898***	(2.61)
Finland	1987–2013	109	63	59	0.816	0.224	0.593	(1.25)	0.037	0.101	−0.065	(−0.10)
France	1982–2013	554	71	86	0.982	0.030	0.952**	(2.27)	1.428	−0.452	1.880***	(3.15)
Germany	1982–2013	477	67	65	0.404	−0.738	1.142**	(2.13)	1.011	−0.306	1.317*	(1.70)
Greece	1988–2013	183	35	112	0.141	−0.292	0.432	(0.94)	−0.397	−0.156	−0.241	(−0.30)
Hong Kong	1982–2013	474	25	29	1.471	0.827	0.644**	(2.01)	0.672	0.708	−0.036	(−0.10)
India	1991–2013	268	48	40	1.854	0.142	1.711***	(3.27)	1.328	−0.748	2.076***	(2.61)
Indonesia	1991–2013	221	14	48	0.985	0.646	0.339	(0.86)	−0.031	−0.193	0.162	(0.27)
Ireland	1982–2013	152	70	35	0.319	0.381	−0.063	(−0.16)	1.361	−0.353	1.714*	(1.69)
Israel	1994–2013	186	54	81	0.246	0.506	−0.261	(−0.69)	0.669	0.556	0.113	(0.19)
Italy	1982–2013	220	76	75	0.361	0.229	0.132	(0.45)	−0.011	0.237	−0.249	(−0.55)
Japan	1982–2013	1,808	46	92	0.712	0.406	0.306	(1.53)	0.403	0.329	0.075	(0.27)
South Korea	1984–2013	613	18	85	0.489	0.538	−0.050	(−0.14)	−0.148	0.778	−0.926**	(−2.07)
Malaysia	1982–2013	418	26	36	1.104	1.034	0.070	(0.24)	0.889	0.958	−0.069	(−0.20)
Mexico	1988–2013	91	30	82	0.038	1.038	−1.000**	(−2.09)	0.407	0.705	−0.299	(−0.49)
Netherlands	1982–2013	116	80	53	0.352	0.106	0.246	(0.49)	0.976	1.014	−0.038	(−0.05)
New Zealand	1986–2013	83	79	49	0.413	1.846	−1.432	(−1.24)	1.965	3.299	−1.334	(−1.20)
Norway	1982–2013	133	69	50	0.893	0.567	0.326	(0.88)	0.471	0.835	−0.364	(−0.79)
Pakistan	1992–2013	95	14	70	1.649	0.173	1.476***	(3.12)	1.281	−0.197	1.478**	(2.26)
Philippines	1990–2013	143	32	44	1.132	0.921	0.211	(0.41)	0.124	0.527	−0.404	(−0.59)
Poland	1994–2013	117	60	93	2.016	0.448	1.568	(1.12)	1.978	0.840	1.138	(0.82)
Portugal	1988–2013	58	27	104	0.043	−0.093	0.135	(0.22)	−0.011	−0.251	0.240	(0.36)
Singapore	1982–2013	245	20	8	1.067	1.022	0.045	(0.17)	0.838	0.792	0.046	(0.15)
South Africa	1982–2013	198	65	49	1.498	0.546	0.952***	(2.91)	0.921	0.619	0.302	(0.83)
Spain	1986–2013	116	51	86	0.415	0.432	−0.017	(−0.05)	0.042	0.332	−0.290	(−0.54)
Sweden	1982–2013	248	71	29	0.959	0.226	0.733**	(2.43)	1.185	0.349	0.836*	(1.87)
Switzerland	1982–2013	207	69	56	0.656	0.256	0.400*	(1.83)	1.029	0.814	0.215	(0.63)
Taiwan	1990–2013	709	17	69	0.570	0.550	0.021	(0.04)	−0.093	0.776	−0.869	(−1.61)
Thailand	1989–2013	351	20	64	0.470	0.451	0.019	(0.05)	−0.907	0.289	−1.196	(−1.65)
Turkey	1989–2013	158	37	85	6.102	6.613	−0.511	(−0.73)	5.797	6.538	−0.742	(−0.86)
UK	1982–2013	1,168	89	35	0.542	−0.307	0.849***	(5.03)	0.777	0.218	0.559*	(1.72)
USA	1982–2013	3,581	91	46	2.081	0.348	1.734***	(6.66)	1.187	0.598	0.589**	(2.48)
Average	–	392	50	62	1.028	0.596	0.431***	(3.60)	0.918	0.618	0.299**	(2.14)

					Equally-weighted returns				Value-weighted returns
Country	Period	N	IDV	UAI	AG1	AG10	AG1-AG10		AG1	AG10	AG1-AG10
Argentina	1989–2013	43	46	86	0.841	−0.039	0.881	(1.23)	0.269	0.017	0.253	(0.30)
Australia	1982–2013	588	90	51	1.505	0.321	1.183***	(4.22)	1.128	0.342	0.785**	(2.34)
Austria	1982–2013	66	55	70	0.293	−0.181	0.474	(0.86)	1.236	−0.159	1.395**	(2.12)
Bangladesh	2007–2013	31	20	60	2.452	0.422	2.030	(1.23)	2.386	0.874	1.512	(0.80)
Belgium	1982–2013	103	78	97	0.740	−0.051	0.791**	(2.52)	0.682	0.622	0.060	(0.14)
Brazil	1991–2013	154	38	76	0.474	1.084	−0.610	(-0.82)	1.792	0.837	0.955	(0.82)
Canada	1982–2013	618	80	48	1.292	0.899	0.393	(1.24)	1.294	0.301	0.993**	(2.28)
Chile	1989–2013	107	23	86	0.311	0.862	−0.550	(−1.55)	0.120	1.109	−0.989*	(−1.82)
China	1991–2013	733	20	30	2.476	1.866	0.609	(1.17)	2.404	1.612	0.792	(1.39)
Denmark	1982–2013	144	74	23	0.966	0.190	0.776***	(2.80)	1.130	0.233	0.898***	(2.61)
Finland	1987–2013	109	63	59	0.816	0.224	0.593	(1.25)	0.037	0.101	−0.065	(−0.10)
France	1982–2013	554	71	86	0.982	0.030	0.952**	(2.27)	1.428	−0.452	1.880***	(3.15)
Germany	1982–2013	477	67	65	0.404	−0.738	1.142**	(2.13)	1.011	−0.306	1.317*	(1.70)
Greece	1988–2013	183	35	112	0.141	−0.292	0.432	(0.94)	−0.397	−0.156	−0.241	(−0.30)
Hong Kong	1982–2013	474	25	29	1.471	0.827	0.644**	(2.01)	0.672	0.708	−0.036	(−0.10)
India	1991–2013	268	48	40	1.854	0.142	1.711***	(3.27)	1.328	−0.748	2.076***	(2.61)
Indonesia	1991–2013	221	14	48	0.985	0.646	0.339	(0.86)	−0.031	−0.193	0.162	(0.27)
Ireland	1982–2013	152	70	35	0.319	0.381	−0.063	(−0.16)	1.361	−0.353	1.714*	(1.69)
Israel	1994–2013	186	54	81	0.246	0.506	−0.261	(−0.69)	0.669	0.556	0.113	(0.19)
Italy	1982–2013	220	76	75	0.361	0.229	0.132	(0.45)	−0.011	0.237	−0.249	(−0.55)
Japan	1982–2013	1,808	46	92	0.712	0.406	0.306	(1.53)	0.403	0.329	0.075	(0.27)
South Korea	1984–2013	613	18	85	0.489	0.538	−0.050	(−0.14)	−0.148	0.778	−0.926**	(−2.07)
Malaysia	1982–2013	418	26	36	1.104	1.034	0.070	(0.24)	0.889	0.958	−0.069	(−0.20)
Mexico	1988–2013	91	30	82	0.038	1.038	−1.000**	(−2.09)	0.407	0.705	−0.299	(−0.49)
Netherlands	1982–2013	116	80	53	0.352	0.106	0.246	(0.49)	0.976	1.014	−0.038	(−0.05)
New Zealand	1986–2013	83	79	49	0.413	1.846	−1.432	(−1.24)	1.965	3.299	−1.334	(−1.20)
Norway	1982–2013	133	69	50	0.893	0.567	0.326	(0.88)	0.471	0.835	−0.364	(−0.79)
Pakistan	1992–2013	95	14	70	1.649	0.173	1.476***	(3.12)	1.281	−0.197	1.478**	(2.26)
Philippines	1990–2013	143	32	44	1.132	0.921	0.211	(0.41)	0.124	0.527	−0.404	(−0.59)
Poland	1994–2013	117	60	93	2.016	0.448	1.568	(1.12)	1.978	0.840	1.138	(0.82)
Portugal	1988–2013	58	27	104	0.043	−0.093	0.135	(0.22)	−0.011	−0.251	0.240	(0.36)
Singapore	1982–2013	245	20	8	1.067	1.022	0.045	(0.17)	0.838	0.792	0.046	(0.15)
South Africa	1982–2013	198	65	49	1.498	0.546	0.952***	(2.91)	0.921	0.619	0.302	(0.83)
Spain	1986–2013	116	51	86	0.415	0.432	−0.017	(−0.05)	0.042	0.332	−0.290	(−0.54)
Sweden	1982–2013	248	71	29	0.959	0.226	0.733**	(2.43)	1.185	0.349	0.836*	(1.87)
Switzerland	1982–2013	207	69	56	0.656	0.256	0.400*	(1.83)	1.029	0.814	0.215	(0.63)
Taiwan	1990–2013	709	17	69	0.570	0.550	0.021	(0.04)	−0.093	0.776	−0.869	(−1.61)
Thailand	1989–2013	351	20	64	0.470	0.451	0.019	(0.05)	−0.907	0.289	−1.196	(−1.65)
Turkey	1989–2013	158	37	85	6.102	6.613	−0.511	(−0.73)	5.797	6.538	−0.742	(−0.86)
UK	1982–2013	1,168	89	35	0.542	−0.307	0.849***	(5.03)	0.777	0.218	0.559*	(1.72)
USA	1982–2013	3,581	91	46	2.081	0.348	1.734***	(6.66)	1.187	0.598	0.589**	(2.48)
Average	–	392	50	62	1.028	0.596	0.431***	(3.60)	0.918	0.618	0.299**	(2.14)

Note(s): Our sample consists of individual stocks from 41 equity markets. We report the sample period and average numbers of firms (N) for each country and its scores on individualism (IDV) and uncertainty avoidance index (UAI). Within each country, we first rank individual stocks in ascending order based on their asset growth (TAG) calculated at the end of the previous fiscal year. We classify firms into deciles, with TAG values ranked in the bottom 10% assigned to the AG1 portfolio and those ranked in the top 10% assigned to the AG10 portfolio. The portfolios are held with equal or value weights from July of each year to June of the next year and are rebalanced at the end of June every year. The asset growth premium of a country is defined as the difference in returns between AG1 and AG10 portfolios within the country. In addition to country-specific statistics, we also report country-average statistics. Numbers in the parentheses are the t-statistics calculated using Newey and West's (1987) robust standard errors. ***, ** and * denote significance at the 1%, 5% and 10% levels, respectively

Source(s): Author's work

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