运用财务报表分析方法在低账面市值比股票中区别赢家和输家

运用财务报表分析方法在低账面市值比股票中区别赢家和输家内容摘要：

egory of signals attempts to identify the firms that have low BM because of conservative accounting. I refer to the signals developed in this paper as “growth” fundamental signals, as they measure the fundamental strength of these firms in a context appropriate for growth firms.The maintained assumption implicit in the selection of these signals is that the BM effect for low BM firms is a mispricing effect and not a risk effect. The success or failure of the strategy will, in a large part, be determined by whether or not this is a valid assumption. What this implies is that the success of failure of this strategy also addresses whether the BM effect for low BM firms is caused by risk or mispricing.The first three signals used in this paper are based on profitability, measured either in terms of earnings or cash flows. Firms that are currently profitable are likely to be fundamentally strong and maintain their fundamental strength in the future if current profits have any implications for future profits.Profitability is measured in two ways. The first measure of profitability is Return on Assets (ROA), defined as the ratio of net ine before extraordinary items scaled by beginning total assets. I pare the ROA of a given firm to the ROA of all other low BM firms in the same 2 digit SIC code at the same time. This signal, and all signals used in this paper, will be based on industry contextual information, consistent directly with Soliman (2003) who illustrates the importance of industry adjustment in Dupont analysis, and indirectly with Beneish, Lee and Tarpley (2001) who highlight the importance of context in fundamental analysis. I define the first growth signal, G1, to equal 1 if a firm’s ROA is greater than the contemporaneous industry median and 0 otherwise.Earnings may be less meaningful than cash flows for early stage firms which are likely to be relatively overrepresented among low BM firms. This may especially be true because of large depreciation or amortization charges that firms making large investments in fixed or intangible assets. Hence, I also use an additional measure of profitability by calculating ROA with cash flow operations instead of net ine. I define the second growth signal, G2, to equal 1 if a firm’s cash flow ROA exceeds the contemporaneous industry median and 0 otherwise. Sloan and others have shown the importance of accruals by demonstrating that firms with a greater accrual ponent in their earnings generally underperform in the future, potentially because of the lower quality of their earnings. Accordingly, G3 is defined to equal 1 if a firm’s cash flow from operations exceeds net ine and 0 otherwise.Exante, it is unclear as to how well these three signals will perform for the sample of low BM firms. Conventional wisdom indicates that these signals may not be as effective as they would be in the general population of firms, as growth firms are less likely to be in a state where the current financials have important implications for the future. Further, it is unclear in the accrual anomaly will manifest itself at the aggregate level for growth firms, which are likely to have large negative accruals because of their rapid growth. However, a counter argument can be made that if some of the firms are temporarily overvalued, then current fundamentals may help separate the solid growth firms from firms that are overvalued because of hype. The effectiveness of G1:G3 is hence an open question.In this paper, I test whether a fundamentals driven strategy can separate out expost winners and losers amongst low booktomarket or growth stocks. I use an approach。