Quality Minus Junk

Clifford S. Asness, Andrea Frazzini, Lasse Heje Pedersen

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

We define a quality security as one that has characteristics that, all-else-equal, an investor should be willing to pay a higher price for: stocks that are safe, profitable, growing, and well managed. High-quality stocks do have higher prices on average, but not by a very large margin. Perhaps because of this puzzlingly modest impact of quality on price, high-quality stocks have high risk-adjusted returns. Indeed, a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally across 24 countries. The price of quality – i.e., how much investors pay extra for higher quality stocks – varies over time, reaching a low during the internet bubble. Further, a low price of quality predicts a high future return of QMJ. Finally, controlling for quality resurrects the otherwise moribund size effect.
OriginalsprogEngelsk
Publikationsdato2015
Antal sider65
DOI
StatusUdgivet - 2015
BegivenhedThe 75th Annual Meeting of American Finance Association. AFA 2015 - Westin Copley, Boston, USA
Varighed: 3 jan. 20155 jan. 2015
Konferencens nummer: 75
http://www.afajof.org/details/page/6815081/2015-Meeting-Program.html

Konference

KonferenceThe 75th Annual Meeting of American Finance Association. AFA 2015
Nummer75
LokationWestin Copley
LandUSA
ByBoston
Periode03/01/201505/01/2015
Internetadresse

Emneord

  • Quality investing
  • Quality Minus Junk
  • QMJ

Citationsformater