Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/26518
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dc.contributor.authorJacob, Joshy-
dc.contributor.authorK.P., Pradeep-
dc.contributor.authorVarma, Jayanth R.-
dc.date.accessioned2023-06-02T06:19:49Z-
dc.date.available2023-06-02T06:19:49Z-
dc.date.issued2022-12-06-
dc.identifier.citationJacob, Joshy, K.P., Pradeep & Varma, Jayanth R. (2022). Performance of quality factor in Indian equity market. IIM Ahmedabad.en_US
dc.identifier.urihttp://hdl.handle.net/11718/26518-
dc.description.abstractWe study the characteristics of Quality factor (QMJ) in India, which is the sec- ond largest emerging market. Dimensions of quality factor are impacted by the weaker enforcement of corporate governance norms in emerging markets. Diversion of revenues by promoters would result in poor profitability, while tunneling of prof- its would result in lower payout and lower growth. Therefore, investors are likely to attach greater significance to the quality dimensions in stock pricing. Consistent with this hypothesis, the Quality factor is even more important for asset pricing in India than in developed markets. The QMJ factor earns a four factor alpha of 0.92% per month, significantly outperforming the other widely employed factors, market, size, value and momentum factors. A long-only Quality factor earns an alpha of 0.69% per month. The alpha of quality factors is highly significant, judged by the thresholds recommended by Harvey, Liu, and Zhu (2016). The key drivers of the alpha are profitability and payout, which are both consistent with the tunnelling hypothesis. Besides the alpha, the low portfolio churn, lower risk, shorter draw- downs, and viability of long-only strategies restricted to large capitalization stocks suggest that portfolios tilted towards high-quality stocks are highly attractive to institutional and retail investorsen_US
dc.language.isoen_USen_US
dc.publisherIndian Institute of Management Ahmedabaden_US
dc.subjectQuality factoren_US
dc.subjectAsset pricingen_US
dc.subjectIndiaen_US
dc.titlePerformance of quality factor in Indian equity marketen_US
dc.typeWorking Paperen_US
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