文章基本信息

标题：Analyzing the quality factor for Brazil
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作者：Adriana Bruscato Bortoluzzo ; Gustavo Nascimento Pistili ; MAURICIO MESQUITA BORTOLUZZO 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2021
卷号：19
期号：3
页码：31-52
DOI：10.12660/rbfin.v19n3.2021.83068
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：Investments in Brazil are increasingly allocated to the stock market, at the expense of more conservative investments. Would finding higher-quality assets allow investors to increase their risk-return ratio? We analyze quality with several metrics, including the quality-minus-junk (QMJ) factor for Brazil. We find that quality companies are valued more by investors, with a higher price-to-book ratio. A portfolio of shares of higher quality shows a significant positive return over the period analyzed, adjusted for several risk factors. The sample members classified as quality companies remained within this classification over time.
关键词：Quality minus junk; Asset pricing models; Portfolio choice; Investment decisions