FRIDAY SEMINAR
Speaker: Dr. Parthajit Kayal
Assistant Professor
Madras
Date: 2 May 2025 [Friday]
Time: 04:30 PM
Venue: Seminar Hall [Management Studies]
Title: “Beyond Junk: Evaluating Quality Premium’s Influence on Stock Prices and Returns in India Before and After COVID”
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Abstract:
As a leading destination for investment among emerging markets, India’s unique governance challenges and evolving securities regulations make researching the quality factor in Indian firms crucial for informed investment, predominantly during an unparalleled crisis like the COVID-19 pandemic. This study investigates the impact of the Quality Minus Junk (QMJ) factor developed by Asness et al. (2019) on stock returns and prices in the Indian market. We observe a strong positive relationship between stock quality scores and the price-to-book (P/B) ratio, indicating that higher quality stocks command a premium. Notably, the QMJ factor shows a significant positive impact on returns overtime and during the pre-COVID period. However, a negative impact is observed in the post-COVID period. This study contributes valuable insights into the performance of quality factor across different time periods, a context with scarce research in the Indian market.
Keywords: Quality; Fama-French; Returns; CAPM; Portfolio
Brief Profile: Dr. Parthajit Kayal is an Assistant Professor at the Madras School of Economics and the Chairperson of the PGDM program. He holds a Ph.D. in Finance from the Institute for Financial Management and Research (IFMR), an M.Sc. in Economics from Madras School of Economics, and a B.Sc. (Hons.) in Economics from Ramakrishna Mission Vidyamandira, University of Calcutta. Before joining academia, he worked at Cognizant Technology Solutions in G10 Forex & Precious Metals Research.
Dr. Kayal’s research interests span investing, asset pricing, corporate finance, and quantitative finance. He has published in several reputed international journals and serves as a referee and on the editorial boards of various academic journals.
ALL ARE WELCOME