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作者：Piotroski, JD
作者单位：University of Chicago
摘要：The conference paper by Mohanram (2005) provides evidence on the success of contextual financial statement analysis in the low book-to-market (i.e., glamour) stock setting. The economic benefits of the strategy are concentrated in the identification of glamour firms that will ultimately underperform the market. In contrast to traditional accounting-based anomalies, Mohanram's growth-based trading strategy is stronger among large, heavily followed firms, suggesting that the mechanism behind the...
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作者：Ohlson, JA
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This paper considers accounting-based valuation formulae. Its initial focus is on two problems related to residual income valuation (RIV). First, insofar valuation depends on theresent value of expected dividends per share, applying RIV requires clean surplus accounting on a per share basis. Awkwardly, equity transactions that change the number of shares outstanding generally imply eps not equivalent to Delta bvps - dps. A clean surplus equality holds only if one re-conceptualizes either end-o...
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作者：Mohanram, PS
作者单位：Columbia University
摘要：This paper combines traditional fundamentals, such as earnings and cash flows, with measures tailored for growth firms, such as earnings stability, growth stability and intensity of R&D, capital expenditure and advertising, to create an index - GSCORE. A long-short strategy based on GSCORE earns significant excess returns, though most of the returns come from the short side. Results are robust in partitions of size, analyst following and liquidity and persist after controlling for momentum, bo...
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作者：Jiang, GH; Lee, CMC; Zhang, Y
作者单位：Peking University; Cornell University; Barclays
摘要：This study examines the role of information uncertainty (IU) in predicting cross-sectional stock returns. We define IU in terms of value ambiguity, or the precision with which firm value can be estimated by knowledgeable investors at reasonable cost. Using several different proxies for IU, we show that (1) on average, high-IU firms earn lower future returns (the mean effect), and (2) price and earnings momentum effects are much stronger among high-IU firms (the interaction effect). These findi...
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作者：Zhang, XJ
作者单位：University of California System; University of California Berkeley
摘要：This paper discusses Monahan's empirical study of how conservative accounting of R&D affects the relations (i) between earnings and stock return; (ii) between estimates of value using the residual income valuation model and equity market value. My discussion focuses on the underlying mechanism of why growth matters and how the growth rate should be measured. In particular, I argue that different aspects of growth (e.g., short-term growth versus long-term growth) matter under different circumst...
