Conditional Pricing of Earnings Quality
Quality and profitability factors in equities, studied by Hughes and Zhang in 2008 with a linear factor model. The abstract mentions excess returns and a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Similar to the procedure described by Lettau and Ludvigson (2001), we employ a two-stage regression estimation procedure in which excess returns on factor-mimicking portfolios are interacted with scaling variables previously shown to be predictive of future returns.”
AssetEquities
StrategyQuality factors
TechniqueLinear factor model
ClaimExcess return
Also stated: Fundamentals, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodQuality and profitability factors by year
FamilyQuality and profitability factors25Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 977
AssetEquities18
AuthorsHughes, Zhang2
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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