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Master thesis does quality matter (in emerging countries)? a cross-country analysis of different quality-based trading strategies and the evaluation of the price of quality with a focus on emerging markets.

Behringer, Ann-Kathrin Petra
Master thesis
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URI
http://hdl.handle.net/11250/2621392
Date
2019
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  • Master of Science [1116]
Abstract
Given the theoretical foundation, as well as empirical support from previous studies,

especially by Asness, Frazzini and Pedersen (2019), this research examines the effect

of firm quality on scaled prices. The research is conducted using a sample of developed

markets, as well as developing markets. The price of quality is significant across

developed and developing markets. The second part of this research establishes a

trading strategy of going long in high-quality firms and shorting low-quality firms. The

strategy yields significant, positive alphas across all countries, but is subject to large tail

risks. Thus, combining this strategy with other factor strategies improves risk-adjusted

returns, and greatly reduces tail risks. The quality factor is found to be more

pronounced in developing markets.

Key words: Factor investing, trading strategies, asset pricing, momentum, quality,

quality minus junk
Description
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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