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This thesis highlights the complexity of Quality investing and the underlying large dispersion in Quality definitions. Indeed, there exists a fundamental difference in the perceptions of Quality between practitioners and academicians. Moreover, since academic studies appear to focus on Quality measures that have significant predictive power for stock returns, their Quality definitions tend to constantly outperform Quality definitions emanating from the industry.
In an attempt to first reconcile practitioners and then impulse a convergence towards academic definitions, a survey has been carried out on a sample of practitioners with the aim of designing a generally accepted Quality definition made out of Quality measures supported by academic studies. Globally this Quality definition encompasses four dimensions – i.e. Profitability (captured by ROIC), Quality Earnings (captured by low accruals), Growth (captured by 3-year growth in cash flow over assets and 3-year growth in gross margin) and Safety (captured by low leverage).The Quality Minus Junk factor constructed on this new definition experiences, in fact, poor return performance in comparison to purely academic measures over a time period spanning from 2005 to 2015. This suggests that even when confronted to what exists in the academic side, practitioners stick to their comprehensive and pragmatic vision of Quality and do not improve the predictive power of their definition.
In the light of these findings, one can expect the convergence towards a unique and effective Quality definition to be extremely complex so that funds which offer exposure to the quality factor should be cautious about their returns expectations and the way they market their strategy.

factor investing --- quality investing --- investment --- asset pricing --- Quality minus junk --- quality --- junk --- portfolio management --- Sciences économiques & de gestion > Finance

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Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

risk assessment --- mortgage portfolio --- insider trade --- contagion effect --- risk capital --- liquidity risk --- hedonic modeling --- rolling wavelet correlation --- inverse coefficient of variation --- exchange traded funds --- sovereign risk/debt --- securitized real estate and local stock markets --- portfolio optimization --- portfolio analysis --- risk premium --- performance measurement --- risk analysis --- contagion --- outperformance probability --- Sharpe ratio --- probability of default --- small and medium enterprises --- RAROC --- sovereign defaults --- risk attribution --- multiresolution analysis --- credit ratings --- debt maturity structure --- herding --- asset-backed securities --- modern portfolio theory --- housing segments --- analytic hierarchy process --- African countries --- Asian firms --- decentralization --- credit scoring --- dependence --- mutual funds --- spillover effect --- capital allocation --- copulas --- matched filter --- institutional holding --- crop insurance --- factor investing --- wavelet coherence and phase difference --- risk --- value-at-risk --- rearrangement algorithm