Agnostic fundamental analysis works

• 成果类型: Article
• 署名作者: Bartram, Sohnke M.; Grinblatt, Mark
• 署名单位: University of Warwick; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.11.008
• 发表日期: 2018
• 页码: 125-147
• 关键词: Valuation; asset pricing; market efficiency; Fundamental analysis; Point-in-time; Theil-Sen

摘要

To assess stock market informational efficiency with minimal data snooping, we take the view of a statistician with little knowledge of finance. The statistician uses techniques such as least squares to estimate peer-implied fair values from the market values of replicating portfolios with the same accounting statements as the company being valued. Divergence of a company's peer-implied value estimate from its market value represents mispricing, motivating a convergence trade that earns risk-adjusted returns of up to 10% per year and is economically significant for both large and small cap firms. The rate of convergence decays to zero over the subsequent 34 months. (C) 2017 Elsevier B.V. All rights reserved.