Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/3844
Type: Artigo Científico
Title: Analyzing the quality factor for Brazil
Author: Bortoluzzo, Adriana Bruscato
Pistil, Gustavo Nascimento
Bortoluzzo, Mauricio Mesquita
Publication Date: 2021
Abstract: 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.
Keywords (english terms): Quality minus junk
Asset pricing models
Portfolio choice
Investment decisions
Language: Inglês
CNPq Area: Ciências Sociais Aplicadas
URI: https://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/83068
Copyright: O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR;
Appears in Collections:Coleção de Artigos Científicos

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