دانلود رایگان مقاله انگلیسی تقویت استراتژی های سرمایه گذاری ارزش براساس متغیرهای صورتهای مالی - اسپرینگر 2018

Abstract

This paper examines the added-value of combining traditional valuation ratios with each other as well as with some financial statement variables in the German stock markets during the 2000–2015 period. The results show that combination pays off and, moreover, that the benefits of combination are greater in Germany than in most other developed stock markets. Particularly, we find strong evidence of the added-value of using Piotroski’s F-score as a supplementary selection criterion for value stocks as well as for low-accrual stocks. Our results show further that the F-score also boosts the efficacy of other valuation ratios besides the book-to-price ratio. In addition, the inclusion of F-score besides a relative value measure tends to increase the average market equity of portfolio firms. The decomposition of the full-sample-period performance into separate bull- and bear-period performance shows clearly that the better performance of F-score-boosted portfolios is mostly attributable to their outperformance during bearish periods, even though on average, they also generate higher bull-period returns than the comparable value portfolios formed without F-score. The use of F-score as a supplementary criterion also increases the proportion of stocks that earn above-market-average returns during the subsequent holding period. For the first time in the financial literature, we also document a strong relationship between high F-score stocks and momentum stocks.

 Conclusions

The results show that value anomalies exist in the German stock market during the 2000–2015 period. However, the individual valuation ratios are not the best way to profit from these anomalies, as investors would have benefitted remarkably from combining valuation ratios or using financial statement variables as a basis for a supplementary criterion. According to the results, Piotroski’s F-score is particularly useful for the latter purpose. Comparing equal-sized quantile portfolios formed with and without F-score, the performance of the former is better in every pairwise comparison of the 12 comparable cases in terms of both raw returns and the standard Sharpe ratios. The same also holds in terms of the SKASRs, except for the combination portfolio formed on S/P and CFO/P, for which the SKASR is outstandingly higher than the Sharpe ratio, due to its positively skewed and exceptionally leptokurtic return distribution. In terms of the 4-factor alphas, there are two similar exceptions: the combinations of S/P and CFO/P, and S/P and E/P, which generate both the highest SKASRs and the highest 4-factor alphas among the quantile portfolios formed without F-scores. Compared to the performance of the value portfolios formed without F-scores, the performance of the F-score-boosted quantile portfolios is more even in terms of all three employed performance metrics, implying that adding F-score enhances the efficacy of such portfolio-formation criteria, for which the relative performance is poor without F-score. In this respect, our results suggest that the applicability of F-score is much wider than originally suggested by Piotroski (2000), who used it for selecting the financially strong firms among the high B/P ones.