Fundamental analysis of banks: the use of financial statement information to screen winners from losers

• 成果类型: Article
• 署名作者: Mohanram, Partha; Saiy, Sasan; Vyas, Dushyantkumar
• 署名单位: University of Toronto; University of Waterloo; University of Toronto; University Toronto Mississauga
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-017-9430-2
• 发表日期: 2018
• 页码: 200-233
• 关键词: future earnings; stock-prices; FULLY REFLECT; RISK; accruals; returns; CRISIS; persistence; valuation

摘要

This study investigates the efficacy of a fundamental analysis-based approach to screen U.S. bank stocks. We construct an index (BSCORE) based on fourteen bank-specific valuation signals. We document a positive association between BSCORE and future profitability changes, as well as current and one-year-ahead stock returns, implying that BSCORE captures forward looking information that the markets are yet to impound. A hedge strategy based on BSCORE yields positive hedge returns for all but two years during our 1994-2014 sample period. Results are robust to partitions of size, analyst following, and exchange listing, and persist after adjusting for risk factors. We further document a positive relation between BSCORE and future analyst forecast surprises as well as earnings announcement period returns, and a negative relation between BSCORE and future performance-based delistings. Overall, our results show that a fundamental analysis-based approach can provide useful insights for analyzing banks.