دانلود رایگان مقاله مزیت رقابتی پایدار یک مزیت برای سرمایه گذاران سهام است؟

ABSTRACT

Investing in stocks of companies with sustainable competitive advantage, the moat, does not earn higher raw returns. These companies tend to be larger, financially stronger, and have lower book-to-market ratios (growth stocks). After controlling for size, book-to-market ratio and other risk factors, sustainable competitive advantages is a positive factor affecting cross-section of stock returns. Firms with sustainable competitive advantage also seem to be shielded from mean reversion of higher profitability better than non-wide moat firms.

VII. Conclusion

We asked three questions at the beginning of the paper: 1) Do firms with wide moat have higher raw returns on average? 2) Do they have higher risk-adjusted returns? 3)Is the high profitability of wide moat firms better shielded from the general principle of profitability mean reverting than non-wide moat firms?

The answer to the first question is no. The compounded annual return of the wide moat portfolio is more than 6 percent lower than the none-wide moat portfolio from 1945 to 2012. For investors looking for absolute return, holding a portfolio with a wide moat will be disappointing. The answer to the second question is yes. Wide moat portfolio strategy is oriented towards growth and large market capitalization strategy. Wide moat firms are larger, and have lower book-to-market ratios, and such firms tend to have lower stock return. However, after controlling for factors that affect cross-sectional variation of stock returns (Table 13), wide moat is a significant positive factor describing cross-section of average returns. Model 4 of Table 13 suggests that, on average, wide moat firms have 0.25 percent higher monthly stock return than non-wide moat firms. The answer to the third question is also yes. Wide moat firms have consistently higher operating margin, profit margin, and return on equity than non-wide moat firms three years after portfolio formation. The speed of reverting to mean is much lower for wide moat firms. Our result is difficult to reconcile with risk-based explanations. The wide moat portfolio has lower time-series standard deviation and beta. It is difficult to contribute the positive excessive stock return of wide moat to higher risk. It is possible that moat, which captures sustainable competitive advantage and sustainable high profitability, is difficult to measure for average investors. If the merits of wide moat have not been fully priced in the market, wide moat firms could deliver higher return than non-wide moat firms with similar size and book-to-market ratios.