全球智库信息集成服务系统(G2TT): A Return Based Measure of Firm Quality

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w27859
来源ID	Working Paper 27859
	A Return Based Measure of Firm Quality
	Ravi Jagannathan; Yang Zhang
发表日期	2020-09-28
出版年	2020
语种	英语
摘要	We show that superior performance relative to peers during stressful times identifies higher quality firms as measured by conventional historical financial statement based measures as well as default probability measures. Quality measured this way is persistent, but different from price momentum. Further, a managed portfolio that takes a long position in top quintile (Stable) firms and a short position in bottom quintile (Vulnerable) firms earns superior risk adjusted returns in excess of the risk-free rate. The portfolio has an annualized Fama and French three-factor alpha of 5.2% (t=5.04) and a five-factor alpha of 3.3% (t=3.38)
主题	Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w27859
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/585533
推荐引用方式 GB/T 7714	Ravi Jagannathan,Yang Zhang. A Return Based Measure of Firm Quality. 2020.