Quality minus junk

• 成果类型: Article
• 署名作者: Asness, Clifford S.; Frazzini, Andrea; Pedersen, Lasse Heje
• 署名单位: New York University; Copenhagen Business School; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-018-9470-2
• 发表日期: 2019
• 页码: 34-112
• 关键词: cross-section; FINANCIAL RATIOS; share issuance; RISK; returns; valuation; winners; price; expectations; persistence

摘要

We define quality as characteristics that investors should be willing to pay a higher price for. Theoretically, we provide a tractable valuation model that shows how stock prices should increase in their quality characteristics: profitability, growth, and safety. Empirically, we find that high-quality stocks do have higher prices on average but not by a 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 United States and across 24 countries. The price of quality varies over time, reaching a low during the internet bubble, and a low price of quality predicts a high future return of QMJ. Analysts' price targets and earnings forecasts imply systematic quality-related errors in return and earnings expectations.