Fundamental Analysis: Combining the Search for Quality with the Search for Value

• 成果类型: Article
• 署名作者: Li, Kevin; Mohanram, Partha
• 署名单位: University of California System; University of California Riverside; University of Toronto
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.12466
• 发表日期: 2019
• 页码: 1263-1298
• 关键词: IMPLIED COST; INFORMATION; INVESTMENT; performance; expectation; persistence; accruals; returns; winners; prices

摘要

Using cross-sectional forecasts, we combine fundamental analysis strategies based on quality, such as the FSCORE from Piotroski (2000) and the GSCORE from Mohanram (2005), with strategies based on value, such as the V/P ratio from Frankel and Lee (1998) and the PEG ratio. While all four strategies generate significant hedge returns, combining quality-driven and value-driven approaches substantially improves the efficacy of fundamental analysis. Our parsimonious two-dimensional approach can be applied to a wide cross section of stocks and outperforms common practitioner approaches that require a lengthy time series of data. The improvements in hedge returns hold for a variety of partitions and are robust to controls for risk factors and other determinants of stock returns. While the efficacy of fundamental analysis has declined in recent years, this can partially be attributed to investors arbitraging away excess returns by investing in fundamental strategies.