THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION

被引：14

作者：

Turtle, H. J. ^{[1
]}

Wang, Kainan ^{[2
]}

机构：

[1] Colorado State Univ, Ft Collins, CO 80523 USA

[2] Univ Toledo, 2801 W Bancroft St, Toledo, OH 43606 USA

来源：

JOURNAL OF FINANCIAL RESEARCH | 2017年 / 40卷 / 01期

关键词：

STOCK RETURNS; CROSS-SECTION; INVESTOR SENTIMENT; MARKET; RISK; FORECAST; PROFITABILITY; PERFORMANCE; EXPECTATION; PREDICTION;

D O I：

10.1111/jfir.12119

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the role of fundamental accounting information in shaping portfolio performance. Using a conditional performance approach, we address the concern that the positive relation between Piotroski's F Score and ex post returns is due to risk compensation. Our results show that portfolios of firms with strong fundamental underpinnings generate significant positive and time-varying performance. One potential source of these performance gains is an underreaction to public information (such as momentum and F Score) when information uncertainty (proxied by size, illiquidity, and idiosyncratic volatility) is high. In addition, conditional performance benefits seem prevalent in periods of high investor sentiment.

引用

页码：113 / 140

页数：28

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