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Dissecting The Gross Profitability Anomaly

thesis
posted on 14.11.2017 by CHIN WEI CHIAH
Novy-Marx (2013) documents that there is a positive relation between firms’ gross profitability (GP) and average stock returns. This finding contradicts prior literature that finds a weak relation between profitability and stock returns, when other measures of profitability are adopted. He contends that a positive relation between expected profitability and average stock returns is consistent with valuation theory. As such, GP is potentially a superior proxy of expected profitability, whereby firms with high current GP are expected to have high profitability in the future. This thesis further examines the drivers that cause a positive relation between GP and stock returns.

History

Campus location

Australia

Principal supervisor

Philip Gharghori

Additional supervisor 1

Daniel Chai

Year of Award

2017

Department, School or Centre

Banking and Finance

Course

Doctor of Philosophy

Degree Type

DOCTORATE

Faculty

Faculty of Business and Economics

Exports

Exports