Research dissertation
The academic backbone of this project — a master's research dissertation submitted at ESLSCA Business School Paris in 2026.
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Can an enhanced quality-based stock selection model, inspired by the quality investing framework of Asness, Frazzini and Pedersen, systematically outperform market benchmarks over the long term?
Master's research dissertation · MBA2 Quantitative Trading · ESLSCA Business School Paris · 2026
Outline
General introduction Benjamin Graham, GEICO, and why quality matters
The introduction opens with Benjamin Graham's investment in GEICO and traces the
intellectual lineage from value investing to modern quality factor research.
Part I — Literature review & conceptual framework
Chapter 1: Literature review covering the quality paradigm (CAPM to multi-factor models), the profitability debate (gross profits vs bottom-line earnings), the long-only rationale, and momentum synergy.
Chapter 2: Conceptual framework with five nested research hypotheses.
Part II — Empirical study
Chapter 3: Methodology, data sources, sample construction, algorithm specification, backtesting framework.
Chapter 4: Backtest results, econometric validation (Fama-French regressions), discussion and managerial recommendations.
General conclusion, references, glossary, annexes
Key references
- Asness, C., Frazzini, A., & Pedersen, L. H. (2019). Quality minus junk. Review of Accounting Studies, 24(1), 34-112.
- Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
- Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 38, 1-41.
- Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589-609.
- Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.