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Title:

Does earnings growth drive the quality premium?

Document type:
Zeitschriftenaufsatz
Author(s):
Kyosev, Georgi; Hanauer, Matthias X.; Huij, Joop; Lansdorp, Simon
Non-TUM Co-author(s):
ja
Cooperation:
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....     »
Keywords:
QualityFactor premiumsEarnings growthReturn-on-equityProfit marginsLeverageEarnings variabilityOperating accrualsInvestmentsGross profitability
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Banking & Finance
Journal listet in FT50 ranking:
nein
Year:
2020
Journal volume:
114
Year / month:
2020-05
Pages contribution:
-
Fulltext / DOI:
doi:10.1016/j.jbankfin.2020.105785
WWW:
https://www.sciencedirect.com/science/article/pii/S0378426620300534
Print-ISSN:
0378-4266
Accepted:
21.02.2020
Date of publication:
25.02.2020
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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