運用財務報表分析方法在低賬面市值比股票中區(qū)別贏家和輸家【外文翻譯】

1、本科畢業(yè)論文（設計）外文翻譯原文原文SeparatingWinnersfromLosersamongLowBooktoMarketStocksusingFinancialStatementAnalysisThispapertestswhetherastrategybasedonfinancialstatementanalysisoflowbooktomarket(growth)stocksissuccessfulindifferenti

2、atingbetweenwinnerslosersintermsoffuturestockperfmance.Icreateanindex(G_SCE)basedonacombinationoftraditionalfundamentalssuchasearningscashflowsmeasuresappropriatefgrowthfirmssuchasthestabilityofearningsgrowththeintensity

3、ofR&Dcapitalexpenditureadvertising.AstrategybasedonbuyinghighG_SCEfirmsshtinglowG_SCEfirmsconsistentlyearnssignificantexcessreturns.Theresultsarerobustacrosspartitionsbasedonsizestockpriceanalystfollowingexchangelistingp

4、riperfmancearenotaffectedbytheinclusionomissionofIPOfirms.Theexcessreturnspersistaftercontrollingfwelldocumentedriskanomalyfactssuchasmomentumbooktomarketaccrualssize.Thestockmarketingeneralanalystsinparticulararemuchmel

5、ikelytobepositivelysurprisedbyfirmswhosegrowthientedfundamentalsarestrongindicatingthatthestockmarketfailstograspthefutureimplicationsofcurrentfundamentals.Furthertheresultsdonotsupptariskbasedexplanationfthebooktomarket

6、effectasthestrategyreturnspositivereturnsinallyearsfirmsthatexanteappearlessriskyhavebetterfuturereturns.Toconcludeonecanuseamodifiedfundamentalanalysisstrategytoidentifymispricingearnsubstantialabnmalreturns.Thispaperex

7、amineswhetherapplyingfinancialstatementanalysiscanhelpinvestsearnexcessreturnsonabroadsampleofgrowthlowbooktomarket(BM)firms.TheBMeffectiswelldocumentedinresearchinfinance.OnaveragefirmswithlowBMearnsignificantnegativeex

8、cessreturnswhilefirmswithhighBMearnsignificantpositiveexcessreturns.LowBMfirmsalsoreferredtoasgrowthglamourstockshaveexperiencedverystrongstockperfmanceinpriperiodswhilehighBMfirmsalsoreferredtoasvaluestockshavetypically

9、underperfmedinpriperiods.Thereisconsiderabledisagreementamongstresearchersastothecauseofthebooktomarketeffect.FamaFrench(1992)claimthatunobservedriskfactscausethebooktomarketeffectwhileLakonishokShleiferVishny(1994)attri

10、butetheeffecttomispricing.FinancialstatementanalysisattemptstoidentifyexpostwinnerslosersonthebasisofinfmationinthefinancialstatementsthatarenotcompletelyperfectlyItisawellknownempiricalphenomenonthatlowBMstocksunderperf

11、mintheperiod(s)afterptfoliofmation.HoweverthereisconsiderablevariationinstockperfmanceamongstthelowBMfirm.Theaimofthispaperistoapplyfinancialstatementanalysistothesampleofgrowthlowbooktomarketstocksinanattempttoseparatel

12、ikelywinnersfromlosers.Theptfoliostrategyoutlinedinthispaperreliesentirelyonpubliclyavailablehisticalfinancialswithoutusingmarketbasedindicatsotherinfmationsuchasanalystfecaststhatmayrelyimplicitlyonnonfinancialprivateso

13、urcesofinfmation.ThesignalsusedinthispapertoseparatethelowBMfirmsintocategiesofpotentialwinnersloserscanbeclassifiedintothreegroups.Thefirstconsistsoftraditionalfundamentalsignalspertainingtoafirm’sprofitabilitycashflowp

14、erfmance.ThesecondcategyofsignalstriestoseparateoutthosefirmsthatarelikelytobeinthelowBMcategybecausetheirmarketvaluationappearstobehighfromothersbyutilizinginsightsfromresearchthathasfocusedonthetendencyofmarketstoextra

15、polatenaivelyfromthepresent.ThethirdcategyofsignalsattemptstoidentifythefirmsthathavelowBMbecauseofconservativeaccounting.Irefertothesignalsdevelopedinthispaperas“growth”fundamentalsignalsastheymeasurethefundamentalstren

16、gthofthesefirmsinacontextappropriatefgrowthfirms.ThemaintainedassumptionimplicitintheionofthesesignalsisthattheBMeffectflowBMfirmsisamispricingeffectnotariskeffect.Thesuccessfailureofthestrategywillinalargepartbedetermin

17、edbywhethernotthisisavalidassumption.WhatthisimpliesisthatthesuccessoffailureofthisstrategyalsoaddresseswhethertheBMeffectflowBMfirmsiscausedbyriskmispricing.Thefirstthreesignalsusedinthispaperarebasedonprofitabilitymeas

18、uredeitherintermsofearningscashflows.Firmsthatarecurrentlyprofitablearelikelytobefundamentallystrongmaintaintheirfundamentalstrengthinthefutureifcurrentprofitshaveanyimplicationsffutureprofits.Profitabilityismeasuredintw

19、oways.ThefirstmeasureofprofitabilityisReturnonAssets(ROA)definedastheratioofincomebefeextradinaryitemsscaledbybeginningtotalassets.IcomparetheROAofagivenfirmtotheROAofallotherlowBMfirmsinthesame2digitSICcodeatthesametime

20、.ThissignalallsignalsusedinthispaperwillbebasedonindustrycontextualinfmationconsistentdirectlywithSoliman(2003)whoillustratestheimptanceofindustryadjustmentinDupontanalysisindirectlywithBeneishLeeTarpley(2001)whohighligh

21、ttheimptanceofcontextinfundamentalanalysis.IdefinethefirstgrowthsignalG1toequal1ifafirm’sROAisgreaterthanthecontempaneousindustrymedian0otherwise.Earningsmaybelessmeaningfulthancashflowsfearlystagefirmswhicharelikelytobe

22、relativelyoverrepresentedamonglowBMfirms.Thismayespeciallybetruebecauseoflargedepreciationamtizationgesthatfirmsmakinglargeinvestmentsinfixedintangibleassets.HenceIalsouseanadditionalmeasureofprofitabilitybycalculatingRO