Essays about: "Quality minus junk"
Found 4 essays containing the words Quality minus junk.
-
1. Returning to Quality: An Empirical Investigation of Short Sale Constraints Effect on a Quality Investment Strategy
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper examines an investment strategy relying on underlying characteristics of stocks and how market efficiency drives its returns. By using the recently published quality-minus-junk factor this paper attempts to explain the abnormal performance of portfolios sorted on their quality score by using a natural experiment which interferes with market efficiency. READ MORE
-
2. Is there a Swedish Size Effect? Controlling for Quality
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Whether size affects a firm's expected return or not has been widely disputed in asset pricing literature. However, recent evidence suggests there is a size premium in the United States. Despite this, whether a size effect exists or not remains unclear in many countries, for example in Sweden. READ MORE
-
3. Quality's relationship to the idiosyncratic volatility puzzle
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper examines the well documented relationship between idiosyncratic volatility and mean returns. By using the recently published quality-minus-junk factor this paper attempts to explain both the abnormal performance of portfolios sorted on idiosyncratic volatility as well as the crosssectional pricing of idiosyncratic volatility. READ MORE
-
4. Introduction of the Academic Factor Quality Minus Junk to a Commercial Factor Model and its Effect on the Explanatory Power. An OLS Regression on Stock Returns
University essay from KTH/Matematisk statistikAbstract : The ability to predict stock returns is an ability many wish to possess, and in an accurate way as possible. For many years there has been an interest in the field of factor models explaining the returns, with the aim to increase the explanatory power. READ MORE