Matthias Hanauer won the ACATIS Value Prize 2021 (1st place) for his paper "Does earnings growth drive the quality premium?" (joint work with Georgi Kyosev, Joop Huij, and Simon Lansdorp). The paper has been published in the Journal of Banking & Finance.
Paper abstract
High (low) quality stocks generate anomalously high (low) returns above and beyond expected returns based on betas, market sizes, valuations, and momentum. We provide a comprehensive overview of commonly used quality definitions and test their predictive power for stock returns. We show that quality measures predict stock returns if and only if they forecast earnings growth, and that this information is not contained in other characteristics that have been shown to drive expected stock returns. At the same time, we find that the quality premium is unrelated to different measures of distress risk, and therefore inconsistent with a risk-based interpretation. Finally, our results are robust across different regions and carry over to the corporate bond market.
About the ACATIS Value Prize
ACATIS actively fosters the value investing approach in Germany. Therefore, ACATIS honours academic research on the subject of value investing with the ACATIS Value Prize. For more information about the "ACATIS Value Prize", please click here.
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