文档介绍：本科毕业论文(设计)
外文翻译
原文
Separating Winners from Losers among Low Book-to-Market
Stocks using Financial Statement Analysis
This paper tests whether a strategy based on financial statement analysis of low book-to-market (growth) stocks is essful in differentiating between winners and losers in terms of future stock performance. I create an index (G_SCORE) based on bination of traditional fundamentals such as earnings and cash flows and measures appropriate for growth firms such as the stability of earnings and growth and the intensity of R&D, capital expenditure and advertising. A strategy based on buying high G_SCORE firms and shorting low G_SCORE firms consistently earns significant excess returns. The results are robust across partitions based on size, stock price, analyst following, exchange listing and prior performance and are not affected
by the inclusion or omission of IPO firms. The excess returns persist after controlling for well documented risk and anomaly factors such as momentum, book-to-market, accruals and size. The stock market in general and analysts in particular are much more likely to be positively surprised by firms whose growth oriented fundamentals are strong, indicating that the stock market fails to grasp the future implications of current fundamentals. Further, the results do not support a risk based explanation for the book-to-market effect as the str