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030 Department Bulletin Papers = 本学紀要論文
*Hitotsubashi journal of commerce and management
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Identifier to cite or link to this item: https://doi.org/10.15057/18701
Identifier to cite or link to this item: https://hdl.handle.net/10086/18701
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Title
Value Investing and Financial Statement Analysis
Creator
Creator Name
Noma, Mikiharu
Noma, Mikiharu
野間, 幹晴
野間, 幹晴
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Value Investing
Financial Statement Analysis
Market Efficiency
Life Cycle Hypothesis
Abstract
This study investigates whether a simple accounting-based fundamental analysis can outperform the market. In this study, I use a fundamental signal (F_SCORE) to discriminate between eventual winners and losers. F_SCORE is based on a combination of traditional fundamentals such as ROA, cash flow from operations, and operating margin. I demonstrate that the mean return can be increased by at least 7.8% through hedging strategy that buys high F_SCORE firms and that shorts low F_SCORE firms. In particular, an investment strategy that buys high book-to-market (BM) firms with high F_SCORE and shorts low BM firms with low F_SCORE earns a 17.6% annual return. In other words the results are robust across a variety of partitions including size, share price, and trading volume. This study reveals that F_SCORE can predict future earnings. Further, empirical results do not support a risk-based explanation for the investment strategy. Overall, the results of the present study suggest that life cycle hypothesis advocated by Lee and Swaminathan[2000] holds true.
Publisher
Hitotsubashi University
Issued Date
2010-10
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/18701
ISSN
0018-2796
NCID
AA00207536
Source Title
Hitotsubashi journal of commerce and management
Volume Number
44
Issue Number
1
Page Start
29
Page End
46
Appears in Collections
Vol. 44, no. 1 (Oct. 2010)
URL
https://hdl.handle.net/10086/18701
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