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Investigating quality minus junk : the role of shorting, market beta, firm size and value in the quality minus junk anomaly

Masood, Rabia
Master thesis
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http://hdl.handle.net/11250/2560512
Utgivelsesdato
2018
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  • Master Thesis [3749]
Sammendrag
The quality factor of Asness, Frazzini and Pedersen (2013) combines several quality

dimensions, identified in previous literature, into one strategy which presents an asset pricing

puzzle of quality being positively correlated with prices yet very weakly describing them,

and at the same time quality minus junk being significantly profitable. I document similar

results by following their construction methodology and observe QMJ profits to be

dominated by the short side. I find that quality and value are hedges and higher returns can

be achieved by combining the two strategies. I also find evidence of a robust size effect and

the beta anomaly by sorting quality within size and market beta portfolios. Lastly, I observe

that a managed volatility portfolio, which limits risk exposure when volatility is high,

produces a significant alpha for quality.

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