2013
DOI: 10.1177/0312896213501180
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Quality investing in an Australian context

Abstract: This study extends an examination of Quality investing in the US to the Australian market. Specifically, a Quality score is computed as the aggregate of eight fundamental accounting metrics. An investment strategy investing in the highest (lowest) quality stock quintile, that is, Quintile 5 (1) generates an average annual Daniel, Grinblatt, Titman and Wermers (DGTW)-adjusted alpha of 6.37% (−7.98%), which is significant at the 5% level over April 2000-March 2010. A two-way segmentation based on size first, and… Show more

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Cited by 16 publications
(12 citation statements)
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References 55 publications
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“…Focusing on the ‘large’ stock results of Gallagher et al . () – the only category comparable to our sample – they find high‐quality stocks outperform lower quality stocks, but that the difference is not statistically significant. The evidence for a quality return premium in their fund‐level analysis – which involves larger stocks – is also weak.…”
Section: Introductioncontrasting
confidence: 57%
See 1 more Smart Citation
“…Focusing on the ‘large’ stock results of Gallagher et al . () – the only category comparable to our sample – they find high‐quality stocks outperform lower quality stocks, but that the difference is not statistically significant. The evidence for a quality return premium in their fund‐level analysis – which involves larger stocks – is also weak.…”
Section: Introductioncontrasting
confidence: 57%
“…The study most closely related to ours is Gallagher et al . (), who construct a quality signal for the Australian market using (among others) some of the same ratios contained in the F ‐score: return on assets (ROA), ΔROA, operating cash flow, Δ asset turnover and net equity issuance. There are four key methodological differences between the two studies, largely reflecting a more practitioner‐focused approach in this study.…”
Section: Introductionmentioning
confidence: 99%
“…Efficient volatility forecasts are of practical importance to market participants including investors and market makers. They can be an important factor for the purpose of investment timing decisions, return prediction, risk management and portfolio insurance strategies (see Do, ; Bollen and Whaley, ; Benson et al ., ; Gallagher et al ., ,b; In et al ., ; Jun et al ., ; Lee et al ., ; Watson et al ., ).…”
Section: Introductionmentioning
confidence: 99%
“…The choice of quintile portfolios is made in light of the breadth of the cross section, after taking the intersection across four databases of stocks having the requisite data. The deployment of quintile portfolios is common (see, for example, Galariotis ; Brailsford et al ; Gallagher et al ; Gharghori et al ; Gallagher et al ; Huynh and Smith ).…”
mentioning
confidence: 99%