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Document type:
Zeitschriftenaufsatz 
Author(s):
Kyosev, Georgi; Hanauer, Matthias X.; Huij, Joop; Lansdorp, Simon 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Does earnings growth drive the quality premium? 
Abstract:
High (low) quality stocks generate anomalously high (low) returns above and beyond expected returns based on betas, market sizes, valuations, and momentum. We provide a comprehensive overview of commonly used quality definitions and test their predictive power for stock returns. We show that quality measures predict stock returns if and only if they forecast earnings growth, and that this information is not contained in other characteristics that have been shown to drive expected stock returns....    »
 
Keywords:
Quality Factor premiums; Earnings growth; Return-on-equity; Profit margins; Leverage; Earnings variability; Operating accruals; Investments; Gross profitability 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Banking & Finance 
Journal listet in FT50 ranking:
nein 
Year:
2020 
Journal volume:
114 
Pages contribution:
Publisher:
Elsevier BV 
E-ISSN:
0378-4266 
Accepted:
21.02.2020 
Date of publication:
25.02.2020 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein