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Titel:

Does earnings growth drive the quality premium?

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kyosev, Georgi; Hanauer, Matthias X.; Huij, Joop; Lansdorp, Simon
Nicht-TUM Koautoren:
ja
Kooperation:
international
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....     »
Stichworte:
QualityFactor premiumsEarnings growthReturn-on-equityProfit marginsLeverageEarnings variabilityOperating accrualsInvestmentsGross profitability
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Banking & Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2020
Band / Volume:
114
Jahr / Monat:
2020-05
Seitenangaben Beitrag:
-
Volltext / DOI:
doi:10.1016/j.jbankfin.2020.105785
WWW:
https://www.sciencedirect.com/science/article/pii/S0378426620300534
Print-ISSN:
0378-4266
Angenommen (von Zeitschrift):
21.02.2020
Publikationsdatum:
25.02.2020
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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