作者：Asness, Clifford S.; Frazzini, Andrea; Pedersen, Lasse Heje
作者单位：New York University; Copenhagen Business School; Centre for Economic Policy Research - UK
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. Indee...
作者：Campbell, John L.; Cecchini, Mark; Cianci, Anna M.; Ehinger, Anne C.; Werner, Edward M.
作者单位：University System of Georgia; University of Georgia; University of South Carolina System; University of South Carolina Columbia; Wake Forest University; State University System of Florida; Florida State University; Rutgers University System; Rutgers University New Brunswick; Rutgers University Camden
摘要：Prior research finds that mandatory risk factor disclosures are informative in that they increase investors' assessments of the volatility of a firm's cash flows. However, the literature is silent as to whether these disclosures provide information about the level of future cash flows and, ultimately, their implications for firm value. We address this question by examining the association between Form 10-K risk factor disclosures and future cash flows levels and stock returns. We use the setti...
