{"title":"公司质量和股票回报:来自印度的证据","authors":"S. Sehgal, Asheesh Pandey","doi":"10.1080/10293523.2021.1991130","DOIUrl":null,"url":null,"abstract":"ABSTRACT Using data for 1 848 companies, we find that quality increases, not quality, drive stock returns in India. Profitability and safety seem to be relevant attributes for measuring quality. Our cross-sectional tests show that the role of quality in predicting returns is partially subsumed by momentum in short holding periods. Rational sources are not able to explain quality premiums. We find that quality premiums result from investor overreaction. At the same time, momentum profits are an outcome of investor underreaction, suggesting that investors pay more attention to fundamentals than past price trends. High investments by institutional investing may account for such behaviour.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"189 - 208"},"PeriodicalIF":1.2000,"publicationDate":"2021-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Firm quality and stock returns: Evidence from India\",\"authors\":\"S. Sehgal, Asheesh Pandey\",\"doi\":\"10.1080/10293523.2021.1991130\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"ABSTRACT Using data for 1 848 companies, we find that quality increases, not quality, drive stock returns in India. Profitability and safety seem to be relevant attributes for measuring quality. Our cross-sectional tests show that the role of quality in predicting returns is partially subsumed by momentum in short holding periods. Rational sources are not able to explain quality premiums. We find that quality premiums result from investor overreaction. At the same time, momentum profits are an outcome of investor underreaction, suggesting that investors pay more attention to fundamentals than past price trends. High investments by institutional investing may account for such behaviour.\",\"PeriodicalId\":44496,\"journal\":{\"name\":\"Investment Analysts Journal\",\"volume\":\"50 1\",\"pages\":\"189 - 208\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2021-07-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Investment Analysts Journal\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/10293523.2021.1991130\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Investment Analysts Journal","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/10293523.2021.1991130","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Firm quality and stock returns: Evidence from India
ABSTRACT Using data for 1 848 companies, we find that quality increases, not quality, drive stock returns in India. Profitability and safety seem to be relevant attributes for measuring quality. Our cross-sectional tests show that the role of quality in predicting returns is partially subsumed by momentum in short holding periods. Rational sources are not able to explain quality premiums. We find that quality premiums result from investor overreaction. At the same time, momentum profits are an outcome of investor underreaction, suggesting that investors pay more attention to fundamentals than past price trends. High investments by institutional investing may account for such behaviour.
期刊介绍：
The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.
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