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.
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2621392Utgivelsesdato
2019Metadata
Vis full innførselSamlinger
- Master of Science [1622]
Sammendrag
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
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2019