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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/321401
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- Title
- Quality investing in an Australian context
- Related
- Australian journal of management, Vol. 39, No. 4, (2014), p.615-643
- DOI
- 10.1177/0312896213501180
- Publisher
- Sage Publications
- Date
- 2014
- Author/Creator
- Gallagher, David R
- Author/Creator
- Gardner, Peter A
- Author/Creator
- Schmidt, Camille H
- Author/Creator
- Walter, Terry S
- Description
- 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 quality second, reveals that the strong positive quality effect is primarily driven by small stocks, as the average DGTW-alpha for the top-quality tercile of small stocks is 14.02%, significant at the 5% level. Statistically significant positive DGTW-alphas are also determined for quality micro and large stocks. The quality analysis is also applied to a sample of Active Equity Mutual Funds' stock holdings. Weak evidence of the quality return premium is detected at the fund level.
- Description
- 29 page(s)
- Subject Keyword
- Active management
- Subject Keyword
- fundamental analysis
- Subject Keyword
- investment performance
- Subject Keyword
- mutual funds
- Subject Keyword
- quality
- Subject Keyword
- stock holdings
- Resource Type
- journal article
- Organisation
- Macquarie University. Macquarie Graduate School of Management
- Identifier
- http://hdl.handle.net/1959.14/321401
- Identifier
- mq:35388
- Identifier
- ISSN:0312-8962
- Identifier
- mq-rm-2013008055
- Identifier
- mq_res-ext-2-s2.0-84911080498
- Language
- eng
- Reviewed
Macquarie University ResearchOnline
