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1、JournalofAccountingEconomics11(1989)295329.NthHollFINANCIALSTATEMENTANALYSISTHEPREDICTIONOFSTOCKRETURNSJaneA.OUSantaClarauniversitySantaClaraCA95053USAStephenH.PENMANUniversi(vofCalifniaBerkeleyCA94720USAReceivedJanuary1

2、988finalversionreceivedApril1989Thispaperperfmsafinancialstatementanalysisthatcombinesalargesetoffinancialstatementitemsintoonesummarymeasurewhichindicatesthedirectionofoneyearaheadearningschanges.Positionsaretakeninstoc

3、ksonthebasisofthismeasureduringtheperiod19731983whichinvolvecancellinglongshtpositionswithzeroinvestment.Thetwoyearholdingperiodreturntothelongshtpositionsisinthederof12.5%.Afteradjustmentfsizeeffectsthereturnisabout7.0%

4、.Thesereturnscannotbeexplainedbynominatedfirmriskacteristics.1.IntroductionFinancialstatementanalysisidentifiesaspectsoffinancialstatementsthatarerelevanttoinvestmentdecisions.Onegoaloftheanalysisistoassessfirmvaluefromf

5、inancialstatements.Muchempiricalaccountingresearchhasattemptedtodiscovervaluerelevantaccountingattributesindertoenhancefinancialstatementanalysis.Theapproachtakeninthiswkassumesthatmarketpriceissufficientfdeterminingfirm

6、svaluesthusservesasabenchmarkagainstwhichtoevaluatetheinfmationinaccountingmeasures.Accountingattributesareinferredtobevaluerelevantbecausetheyarecontempaneouslystatisticallyassociatedwithstockprices.Fexampletheseminalwk

7、ofBallBrown(1968)themanysuccessiveinfmationcontentpapersindicatethataccountingearningssomeofitscomponentscaptureinfmationthatiscontainedinstockprices.WehavebenefitedfrommanyconversationswithJimOhlson.Thecommentsofpartici

8、pantsintheStanfdUniversity1987summeraccountingconferencewkshopsatBerkeleytheUniversityofChicagoMichiganStateUniversitytheUniversityofTexasatAustinarealsoappreciated.InparticularRayBallDanCollinsGegeFosterPremJainLaurenti

9、usMaraisMaureenMcNicholsRidSansingKatherineSchipperPeterWilsonRossWattsMarkWolfsonRobertHolthausen(thereferee)providedhelpfulcomments.0165410189$3.50?1989ElsevierSciencePublishersB.V.(NthHoll)J.A.OuS.H.PenmanFinancialsta

10、tementanalysis297thissectionwedescribethefinancialstatementanalysisthatproducesthismeasureoutlinefeaturesofthetradingstrategythatemploysit.2.1.ThefinancialstatementanalysisFundamentalanalysismaintainsthatfirmsvaluesarein

11、dicatedbyinfmationinfinancialstatements.Howeverthemethodsbywhichthesevaluesareextractedfromfinancialstatementsareunclear.Traditionalfinancialstatementanalysisprovideslittleguidancefthistask.Textbooksdescribethecalculatio

12、noffinancialstatementratiosbutprovidescantpreionastohowtheseshouldbeused.Ratiosareidentifiedwithsuchconstructsasprofitabilityturnoverliquiditybuttherelationshipoftheseoperatingacteristicstovalueisnotapparent.Ourfinancial

13、statementanalysisisanattempttooperationalizethenotionofextractingvaluesfromfinancialstatements.Thelargearrayoffinancialstatementitemsarecombinedintoascalarthatmapsfromthefinancialstatementstothepayoffstosecurities.Asimpl

14、evaluationmodelcanbeexpressedasV=E(d)r(1)whereVisastocksvalue(equaltopriceinanefficientmarket)E(d)isexpectedfuturedividendsrtherateatwhichfuturedividendsarediscounted.Thediscountratereflectssecurityrisk.BothE(d)rareasses

15、sedonthebasisoffinancialstatementotherinfmationavailable.Thusfdeterminingfirmvalues[ftakingmarketpositionsonthebasisofinfmationabouteitherE(d)r]theanalystdesirestodistinguishthoseaccountingattributesthatindicatepositivev

16、alueexpectedpayoffsinthenumeratof(1)fromthosethatindicatenegativevalueriskacteristicsinthedenominat.2Wehaveinmindanaccountingindicatofthenumerat.Thusweidentifythosefinancialstatementattributesthatarecrelatedwithfuturepay

17、offscombinetheseintoonepositivevaluemeasure.ThisapproachisincontrasttobutcomplementsthefinancialstatementanalysisofBeaverKettlerScholes(1970)RosenbergMarathe(1975)whichseekstodiscoverfinancialstatementmeasuresthatarerela

18、tedtorisk[inthedenominatof(1)]whichthuspredictexpectedstockreturns.Asfirmriskisnotwellunderstoodonecannotguaranteethatourmeasurewillnotreflectriskbuttheprocedureislikelytoreducethepossibility.3Asacheckwe2Thereissomelicen

19、setakenwithterminologyhere.Inthetheyofvaluationunderuncertainty[Rubinstein(1976)]riskadjustmentsappearinthenumeratratherthanthedenominat.SeealsoOhlson(1988).3Analternativewaytoproceedmightbetodiscoverthosefinancialstatem

20、entitemsthatpredictfuturestockreturnsdirectly[asinMcKibbon(1972)fexample].Thishoweverposesanidentificationproblem:iftheseitemspredictcrosssectionaldifferencesinstockreturnsonecannotertainwhethertheydistinguishdifferentia

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