Firm quality and stock returns: Evidence from India

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2021-07-03 DOI:10.1080/10293523.2021.1991130

S. Sehgal, Asheesh Pandey

引用次数: 1

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.

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公司质量和股票回报:来自印度的证据

通过对1848家公司的数据分析，我们发现驱动印度股票收益的不是质量而是质量的提高。盈利能力和安全性似乎是衡量质量的相关属性。我们的横断面测试表明，质量在预测收益中的作用部分被短期持有期的动量所包含。理性来源不能解释质量溢价。我们发现，质量溢价源于投资者的过度反应。与此同时，动量利润是投资者反应不足的结果，这表明投资者更关注基本面，而不是过去的价格趋势。机构投资的高额投资可能是造成这种行为的原因。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

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.