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A Return Based Measure of Firm Quality / Ravi Jagannathan, Yang Zhang.
- Format:
- Book
- Author/Creator:
- Jagannathan, Ravi.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w27859.
- NBER working paper series no. w27859
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- 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)
- Notes:
- Print version record
- September 2020.
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