The growth-value and small-large scales are popular, but they suffer from two deficiencies: They are not grounded in theory, and they lack clear definition. Shefrin and Statman offered a remedy in a theory in which the quality scale--the scale that separates good companies from bad--plays a central role. Here, the ratings in the Fortune survey of company quality are used as direct measures of perceptions of company quality and a proxy for the Fortune quality ratings is constructed from the BARRA, Inc., list of company characteristics. This quality scale has applications in style selection and style rotation.
Read the Complete Article in Financial Analysts Journal
Financial Analysts Journal
CFA Institute Member ContentPublisher Information
Association for Investment Management and Research
5 pages doi.org/10.2469/faj.v50.n6.82ISSN/ISBN: 0015-198X
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