IDEAS home Printed from https://ideas.repec.org/a/rsk/journ6/2461640.html
   My bibliography  Save this article

The excess returns of “quality†stocks: a behavioral anomaly

Author

Listed:
  • do not use
  • Stefano Ciliberti
  • Augustin Landier
  • Guillaume Simon
  • David Thesmar

Abstract

ABSTRACT This paper investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets.We explore two potential explanations. The "risk view", whereby investing in high-quality firms is somehow riskier, so that the higher returns of a quality portfolio are a compensation for risk exposure, is consistent with the efficient market hypothesis. The "behavioral view" states that some investors persistently underestimate the true value of high-quality firms. We find no evidence in favor of the "risk view": the returns from investing in quality firms are abnormally high on a risk-adjusted basis, and are not prone to crashes.We provide novel evidence;in favor of the "behavioral view": in their forecasts of future prices, and while being overall over-optimistic, analysts systematically underestimate the future returns of;high-quality firms compared with those of low-quality firms.

Suggested Citation

Handle: RePEc:rsk:journ6:2461640
as

Download full text from publisher

File URL: https://www.risk.net/system/files/import/protected/digital_assets/9862/The_excess_returns_of_quality_stocks.pdf
Download Restriction: no
---><---

More about this item

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsk:journ6:2461640. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-investment-strategies .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.