Limits-to-arbitrage, investment frictions, and the asset growth anomaly

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The Asset Growth Effect: Insights from International Equity Markets (2013, methodology): “In their recent studies based on the U.S. individual stock data, Li and Zhang (2010), Lam and Wei (2011), and Lipson, Mortal, and Schill (2011) find that the negative effect of asset growth rates on subsequent stock returns is stronger for firms with severer limits to arbitrage.”
The Investment Manifesto (2013, background): “Lam and Wei (2011) expand Li and Zhang’s analysis by using a broader set of limits-to-arbitrage proxies.”
A diagnostic criterion for approximate factor structure (2016, background): “ 60), Bai and Ng (2002) ﬁnd only two latent factors. As observed in GOS, measures of limits-to-arbitrage and missing factor impact (not reported here) like those in Pontiff (2006), Ang et al. (2009), Lam and Wei (2011), Stambaugh et al. (2015) decrease with the 24 number of observable factors. Conce”
Market Development and the Asset Growth Effect: International Evidence (2013, background): “6In addition to Li and Zhang (2010), Lam and Wei (2011) examine the empirical evidence in the United States on the predictions of q-theory with investment frictions and the mispricing with limits to arbitrage.”