کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973021 1479852 2016 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets
ترجمه فارسی عنوان
نمایش برندگان از بازندگان با استفاده از تجزیه و تحلیل بنیادی ساده در بازارهای سهام حوزه اقیانوس آرام
کلمات کلیدی
کتاب به بازار؛ اندازه؛بازگشت ریسک تعدیل شده ؛ نمونه کارها؛ مقطع بازده سهام
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• FSCORE can screen winners from losers in seven Pacific-Basin stock markets
• With a high FSCORE, value or small cap stocks earn significantly positive returns.
• FSCORE has better predictive ability in small cap stocks.

This paper explores whether a simple fundamental analysis strategy, FSCORE by Piotroski (2000), can discriminate between firms with strong financial strength and those with weak financial strength over the period of 2000 to 2015 in seven Pacific-Basin markets: Hong Kong, Australia, Singapore, South Korea, Malaysia, Thailand and Indonesia. Similar to Piotroski and So (2012), FSCORE can screen winners from losers in all book-to-market portfolios in most of the markets; the returns of portfolios with high FSCORE are significantly more than the returns of portfolios in the same category with low FSCORE. The portfolios that long value stocks (high book-to-market) with high FSCORE yield significantly positive risk-adjusted return. We find that FSCORE can also be applied to size portfolios. The portfolios of small cap stocks with high FSCORE give monthly risk-adjusted returns of 2.5289%, 3.3552%, 1.1081%, 1.0744%, 0.5762%, 0.9263%, and 1.7802% in Hong Kong, Australia, Singapore, South Korea, Malaysia, Thailand and Indonesia. The predictive ability of FSCORE in screening winners from losers is stronger in small cap stocks than value stocks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 39, September 2016, Pages 159–177
نویسندگان
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