1、本科毕业论文（设计）外文翻译原文SEPARATINGWINNERSFROMLOSERSAMONGLOWBOOKTOMARKETSTOCKSUSINGFINANCIALSTATEMENTANALYSISTHISPAPERTESTSWHETHERASTRATEGYBASEDONFINANCIALSTATEMENTANALYSISOFLOWBOOKTOMARKETGROWTHSTOCKSISSUCCESSFULINDIFFERENTIATINGBETWEENWINNERSANDLOSERSINTERMSOFFUTURESTOCKPERFORMANCEICREATEANINDEXG_SCOREBASE
2、DONACOMBINATIONOFTRADITIONALFUNDAMENTALSSUCHASEARNINGSANDCASHFLOWSANDMEASURESAPPROPRIATEFORGROWTHFIRMSSUCHASTHESTABILITYOFEARNINGSANDGROWTHANDTHEINTENSITYOFRD,CAPITALEXPENDITUREANDADVERTISINGASTRATEGYBASEDONBUYINGHIGHG_SCOREFIRMSANDSHORTINGLOWG_SCOREFIRMSCONSISTENTLYEARNSSIGNIFICANTEXCESSRETURNSTHER
3、ESULTSAREROBUSTACROSSPARTITIONSBASEDONSIZE,STOCKPRICE,ANALYSTFOLLOWING,EXCHANGELISTINGANDPRIORPERFORMANCEANDARENOTAFFECTEDBYTHEINCLUSIONOROMISSIONOFIPOFIRMSTHEEXCESSRETURNSPERSISTAFTERCONTROLLINGFORWELLDOCUMENTEDRISKANDANOMALYFACTORSSUCHASMOMENTUM,BOOKTOMARKET,ACCRUALSANDSIZETHESTOCKMARKETINGENERALA
4、NDANALYSTSINPARTICULARAREMUCHMORELIKELYTOBEPOSITIVELYSURPRISEDBYFIRMSWHOSEGROWTHORIENTEDFUNDAMENTALSARESTRONG,INDICATINGTHATTHESTOCKMARKETFAILSTOGRASPTHEFUTUREIMPLICATIONSOFCURRENTFUNDAMENTALSFURTHER,THERESULTSDONOTSUPPORTARISKBASEDEXPLANATIONFORTHEBOOKTOMARKETEFFECTASTHESTRATEGYRETURNSPOSITIVERETUR
5、NSINALLYEARS,ANDFIRMSTHATEXANTEAPPEARLESSRISKYHAVEBETTERFUTURERETURNSTOCONCLUDE,ONECANUSEAMODIFIEDFUNDAMENTALANALYSISSTRATEGYTOIDENTIFYMISPRICINGANDEARNSUBSTANTIALABNORMALRETURNSTHISPAPEREXAMINESWHETHERAPPLYINGFINANCIALSTATEMENTANALYSISCANHELPINVESTORSEARNEXCESSRETURNSONABROADSAMPLEOFGROWTH,ORLOWBOO
6、KTOMARKETBMFIRMSTHEBMEFFECTISWELLDOCUMENTEDINRESEARCHINFINANCEONAVERAGE,FIRMSWITHLOWBMEARNSIGNIFICANTNEGATIVEEXCESSRETURNS,WHILEFIRMSWITHHIGHBMEARNSIGNIFICANTPOSITIVEEXCESSRETURNSLOWBMFIRMS,ALSOREFERREDTOASGROWTHORGLAMOURSTOCKS,HAVEEXPERIENCEDVERYSTRONGSTOCKPERFORMANCEINPRIORPERIODS,WHILEHIGHBMFIRMS
7、,ALSOREFERREDTOASVALUESTOCKS,HAVETYPICALLYUNDERPERFORMEDINPRIORPERIODSTHEREISCONSIDERABLEDISAGREEMENTAMONGSTRESEARCHERSASTOTHECAUSEOFTHEBOOKTOMARKETEFFECTFAMAANDFRENCH1992CLAIMTHATUNOBSERVEDRISKFACTORSCAUSETHEBOOKTOMARKETEFFECT,WHILELAKONISHOK,SHLEIFERANDVISHNY1994ATTRIBUTETHEEFFECTTOMISPRICINGFINAN
8、CIALSTATEMENTANALYSISATTEMPTSTOIDENTIFYEXPOSTWINNERSANDLOSERSONTHEBASISOFINFORMATIONINTHEFINANCIALSTATEMENTSTHATARENOTCOMPLETELYORPERFECTLYIMPOUNDEDINPRICESEXANTE,ITISUNCLEARWHETHERFINANCIALSTATEMENTANALYSISWILLBEEFFECTIVEFORLOWBMFIRMS,EVENIFTHEYAREMISPRICED,FORTHEFOLLOWINGREASONSFIRST,LOWBMFIRMSTEN
9、DTOBEGROWTHSTOCKSTHATATTRACTTHEATTENTIONOFSOPHISTICATEDMARKETINTERMEDIARIESSUCHASANALYSTSANDINSTITUTIONALINVESTORSSECOND,SUCHFIRMSARELIKELYTOHAVEMANYSOURCESOFDISCLOSUREOTHERTHANFINANCIALSTATEMENTSTHIRD,THERAPIDGROWTHINMANYLOWBMFIRMSPOTENTIALLYMAKESCURRENTFUNDAMENTALSLESSIMPORTANTTHANOTHERNONFINANCIA
10、LMEASURESCOUNTERBALANCINGTHISISTHEFACTTHATMANYOFTHESESTOCKSMAYBEOVERVALUEDINDEPARTUREFROMTHEIRFUNDAMENTALSBECAUSEOFTHEHYPEOREXCITEMENTSURROUNDINGTHEIRRECENTSTRONGSTOCKMARKETPERFORMANCEFURTHER,WHILETRADITIONALFUNDAMENTALANALYSISMAYHAVELIMITEDAPPLICABILITYFORGROWTHFIRMS,OTHERINFORMATIONFROMTHEFINANCIA
11、LSTATEMENTSCANBEPOTENTIALLYUSEFULRESEARCHERSHAVESHOWNTHATTHESTOCKMARKETTENDSTONAIVELYEXTRAPOLATECURRENTFUNDAMENTALSOFGROWTHSTOCKSEGLAPORTA1996,DECHOWANDSLOAN1997,ORIGNORETHEIMPLICATIONSOFCONSERVATIVEACCOUNTINGFORFUTUREEARNINGSEGPENMANANDZHANG2002INTHISPAPER,IUSEFINANCIALSTATEMENTINFORMATIONTOCREATES
12、IGNALSRELATINGTONAVEEXTRAPOLATIONANDCONSERVATISMANDAUGMENTTRADITIONALFUNDAMENTALANALYSISOFEARNINGSANDCASHFLOWPROFITABILITYITHENTESTTHEABILITYOFTHESEGROWTHORIENTEDFUNDAMENTALSTOIDENTIFYWINNERSANDLOSERSINTERMSOFEXPOSTSTOCKRETURNSTHERESULTSINDICATETHATFINANCIALSTATEMENTANALYSIS,APPROPRIATELYTAILOREDFOR
13、GROWTHFIRMS,ISVERYSUCCESSFULINDIFFERENTIATINGBETWEENEXPOSTWINNERSANDLOSERSTHEENTIRELOWBMGROUPEARNEDMEANSIZEADJUSTEDANNUALRETURNSOF60AND42FORTHEFIRSTANDSECONDYEARAFTERPORTFOLIOFORMATIONTHEFIRMSTHATAREFUNDAMENTALLYSOUNDESTEARNEDASIZEADJUSTED33AND24INTHETWOYEARS,WHILETHEWEAKESTFIRMSEARNEDEXCESSRETURNSO
14、F179AND133RESPECTIVELYASTRATEGYOFBUYINGFIRMSWITHTHESTRONGEST“GROWTHFUNDAMENTALS”ANDSELLINGORSHORTINGTHEWEAKESTFIRMSEARNSVERYSIGNIFICANTABNORMALRETURNSTHERESULTSAREROBUSTACROSSAVARIETYOFPARTITIONSINCLUDINGSIZE,ANALYSTFOLLOWINGANDEXCHANGELISTINGANDALSOHOLDWHENRECENTIPOFIRMSAREEXCLUDEDINADDITION,THESTR
15、ATEGYWORKSEVENIFONEFOCUSESSOLELYONFASTGROWINGFIRMSORHIGHTECHNOLOGYFIRMSTHESTRATEGYISALSOROBUSTACROSSTIME,EARNINGPOSITIVERETURNSINALLYEARSINTHESAMPLETHESUCCESSOFTHEGROWTHFUNDAMENTALSSTRATEGYISLINKEDTOFUTUREPERFORMANCEFIRMSWITHSTRONGERGROWTHFUNDAMENTALSHAVEBETTERFUTUREREALIZATIONSOFEARNINGSANDARELESSL
16、IKELYTODELISTFORREASONSRELATEDTOPOORPERFORMANCESTRONGFIRMSAREMORELIKELYTOBEATEARNINGSFORECASTSANDEARNPOSITIVEABNORMALRETURNSAROUNDFUTUREEARNINGSANNOUNCEMENTS,INDICATINGTHATTHEMARKETIGNORESTHEIMPLICATIONSOFGROWTHFUNDAMENTALSFORFUTUREPERFORMANCEFINALLY,THEREISNOSUPPORTFORRISKBASEDEXPLANATIONSFORTHESUC
17、CESSOFTHESTRATEGYTHERESULTSOFTHISPAPERINDICATETHATFINANCIALSTATEMENTANALYSISCANBESUITABLYMODIFIEDTOBEVERYSUCCESSFULFORGROWTHFIRMSSPECIFICALLY,THISPAPERINTRODUCESANUMBEROFSIMPLEANDEASYTOIMPLEMENTTOOLS,BASEDSOLELYONFINANCIALSTATEMENTINFORMATION,WHICHCANHELPSEPARATEFUTUREWINNERSFROMLOSERSINTERMSOFSTOCK
18、PERFORMANCEITISAWELLKNOWNEMPIRICALPHENOMENONTHATLOWBMSTOCKSUNDERPERFORMINTHEPERIODSAFTERPORTFOLIOFORMATIONHOWEVER,THEREISCONSIDERABLEVARIATIONINSTOCKPERFORMANCEAMONGSTTHELOWBMFIRMTHEAIMOFTHISPAPERISTOAPPLYFINANCIALSTATEMENTANALYSISTOTHESAMPLEOFGROWTHORLOWBOOKTOMARKETSTOCKSINANATTEMPTTOSEPARATELIKELY
19、WINNERSFROMLOSERSTHEPORTFOLIOSTRATEGYOUTLINEDINTHISPAPERRELIESENTIRELYONPUBLICLYAVAILABLEHISTORICALFINANCIALS,WITHOUTUSINGMARKETBASEDINDICATORSOROTHERINFORMATIONSUCHASANALYSTFORECASTSTHATMAYRELYIMPLICITLYONNONFINANCIALORPRIVATESOURCESOFINFORMATIONTHESIGNALSUSEDINTHISPAPERTOSEPARATETHELOWBMFIRMSINTOC
20、ATEGORIESOFPOTENTIALWINNERSANDLOSERSCANBECLASSIFIEDINTOTHREEGROUPSTHEFIRSTCONSISTSOFTRADITIONALFUNDAMENTALSIGNALS,PERTAININGTOAFIRMSPROFITABILITYANDCASHFLOWPERFORMANCETHESECONDCATEGORYOFSIGNALSTRIESTOSEPARATEOUTTHOSEFIRMSTHATARELIKELYTOBEINTHELOWBMCATEGORYBECAUSETHEIRMARKETVALUATIONAPPEARSTOBEHIGHFR
21、OMOTHERS,BYUTILIZINGINSIGHTSFROMRESEARCHTHATHASFOCUSEDONTHETENDENCYOFMARKETSTOEXTRAPOLATENAIVELYFROMTHEPRESENTTHETHIRDCATEGORYOFSIGNALSATTEMPTSTOIDENTIFYTHEFIRMSTHATHAVELOWBMBECAUSEOFCONSERVATIVEACCOUNTINGIREFERTOTHESIGNALSDEVELOPEDINTHISPAPERAS“GROWTH”FUNDAMENTALSIGNALS,ASTHEYMEASURETHEFUNDAMENTALS
22、TRENGTHOFTHESEFIRMSINACONTEXTAPPROPRIATEFORGROWTHFIRMSTHEMAINTAINEDASSUMPTIONIMPLICITINTHESELECTIONOFTHESESIGNALSISTHATTHEBMEFFECTFORLOWBMFIRMSISAMISPRICINGEFFECTANDNOTARISKEFFECTTHESUCCESSORFAILUREOFTHESTRATEGYWILL,INALARGEPART,BEDETERMINEDBYWHETHERORNOTTHISISAVALIDASSUMPTIONWHATTHISIMPLIESISTHATTH
23、ESUCCESSOFFAILUREOFTHISSTRATEGYALSOADDRESSESWHETHERTHEBMEFFECTFORLOWBMFIRMSISCAUSEDBYRISKORMISPRICINGTHEFIRSTTHREESIGNALSUSEDINTHISPAPERAREBASEDONPROFITABILITY,MEASUREDEITHERINTERMSOFEARNINGSORCASHFLOWSFIRMSTHATARECURRENTLYPROFITABLEARELIKELYTOBEFUNDAMENTALLYSTRONGANDMAINTAINTHEIRFUNDAMENTALSTRENGTH
24、INTHEFUTUREIFCURRENTPROFITSHAVEANYIMPLICATIONSFORFUTUREPROFITSPROFITABILITYISMEASUREDINTWOWAYSTHEFIRSTMEASUREOFPROFITABILITYISRETURNONASSETSROA,DEFINEDASTHERATIOOFNETINCOMEBEFOREEXTRAORDINARYITEMSSCALEDBYBEGINNINGTOTALASSETSICOMPARETHEROAOFAGIVENFIRMTOTHEROAOFALLOTHERLOWBMFIRMSINTHESAME2DIGITSICCODE
25、ATTHESAMETIMETHISSIGNAL,ANDALLSIGNALSUSEDINTHISPAPER,WILLBEBASEDONINDUSTRYCONTEXTUALINFORMATION,CONSISTENTDIRECTLYWITHSOLIMAN2003WHOILLUSTRATESTHEIMPORTANCEOFINDUSTRYADJUSTMENTINDUPONTANALYSIS,ANDINDIRECTLYWITHBENEISH,LEEANDTARPLEY2001WHOHIGHLIGHTTHEIMPORTANCEOFCONTEXTINFUNDAMENTALANALYSISIDEFINETHE
26、FIRSTGROWTHSIGNAL,G1,TOEQUAL1IFAFIRMSROAISGREATERTHANTHECONTEMPORANEOUSINDUSTRYMEDIANAND0OTHERWISEEARNINGSMAYBELESSMEANINGFULTHANCASHFLOWSFOREARLYSTAGEFIRMSWHICHARELIKELYTOBERELATIVELYOVERREPRESENTEDAMONGLOWBMFIRMSTHISMAYESPECIALLYBETRUEBECAUSEOFLARGEDEPRECIATIONORAMORTIZATIONCHARGESTHATFIRMSMAKINGL
27、ARGEINVESTMENTSINFIXEDORINTANGIBLEASSETSHENCE,IALSOUSEANADDITIONALMEASUREOFPROFITABILITYBYCALCULATINGROAWITHCASHFLOWOPERATIONSINSTEADOFNETINCOMEIDEFINETHESECONDGROWTHSIGNAL,G2,TOEQUAL1IFAFIRMSCASHFLOWROAEXCEEDSTHECONTEMPORANEOUSINDUSTRYMEDIANAND0OTHERWISESLOANANDOTHERSHAVESHOWNTHEIMPORTANCEOFACCRUAL
28、SBYDEMONSTRATINGTHATFIRMSWITHAGREATERACCRUALCOMPONENTINTHEIREARNINGSGENERALLYUNDERPERFORMINTHEFUTURE,POTENTIALLYBECAUSEOFTHELOWERQUALITYOFTHEIREARNINGSACCORDINGLY,G3ISDEFINEDTOEQUAL1IFAFIRMSCASHFLOWFROMOPERATIONSEXCEEDSNETINCOMEAND0OTHERWISEEXANTE,ITISUNCLEARASTOHOWWELLTHESETHREESIGNALSWILLPERFORMFO
29、RTHESAMPLEOFLOWBMFIRMSCONVENTIONALWISDOMINDICATESTHATTHESESIGNALSMAYNOTBEASEFFECTIVEASTHEYWOULDBEINTHEGENERALPOPULATIONOFFIRMS,ASGROWTHFIRMSARELESSLIKELYTOBEINASTATEWHERETHECURRENTFINANCIALSHAVEIMPORTANTIMPLICATIONSFORTHEFUTUREFURTHER,ITISUNCLEARINTHEACCRUALANOMALYWILLMANIFESTITSELFATTHEAGGREGATELEV
30、ELFORGROWTHFIRMS,WHICHARELIKELYTOHAVELARGENEGATIVEACCRUALSBECAUSEOFTHEIRRAPIDGROWTHHOWEVER,ACOUNTERARGUMENTCANBEMADETHATIFSOMEOFTHEFIRMSARETEMPORARILYOVERVALUED,THENCURRENTFUNDAMENTALSMAYHELPSEPARATETHESOLIDGROWTHFIRMSFROMFIRMSTHATAREOVERVALUEDBECAUSEOFHYPETHEEFFECTIVENESSOFG1G3ISHENCEANOPENQUESTION
31、INTHISPAPER,ITESTWHETHERAFUNDAMENTALSDRIVENSTRATEGYCANSEPARATEOUTEXPOSTWINNERSANDLOSERSAMONGSTLOWBOOKTOMARKETORGROWTHSTOCKSIUSEANAPPROACHTHATCOMBINESTHREEASPECTSINTOAPORTFOLIOSTRATEGYTHATUSESFINANCIALSTATEMENTINFORMATIONEARNINGSANDCASHFLOWBASEDFUNDAMENTALS,FACTORSRELATEDTOTHESTOCKMARKETSNAVEEXTRAPOL
32、ATIONOFCURRENTFUNDAMENTALSANDFACTORSTHATCAPTURETHEIMPACTOFCONSERVATISMONTHEBOOKTOMARKETRATIOICOMBINEEIGHTSIGNALSRELATEDTOTHESEFACTORSINTOANINDEX,G_SCORE,ANDCOMPARETHEPERFORMANCEOFPORTFOLIOSBASEDONG_SCORETHERESULTSINDICATETHATTHEGROWTHORIENTEDFUNDAMENTALSTRATEGYISABLETOSTRONGLYDIFFERENTIATEBETWEENFUT
33、UREWINNERSANDLOSERSFIRMSWITHHIGHG_SCOREEARNSUBSTANTIALLYHIGHERSIZEADJUSTEDRETURNSTHANFIRMSWITHLOWG_SCORETHERESULTSAREROBUSTACROSSPARTITIONSBASEDONFIRMSIZE,ANALYSTFOLLOWINGANDEXCHANGELISTINGANDDONOTDEPENDONTHEINCLUSIONOREXCLUSIONOFIPOFIRMSINADDITION,THESTRATEGYWORKSEVENIFONEFOCUSESSOLELYONFASTGROWING
34、FIRMSORHIGHTECHNOLOGYFIRMSG_SCOREISALSOSTRONGLYPOSITIVELYASSOCIATEDWITHFUTURERETURNSAFTERCONTROLLINGFORWELLDOCUMENTEDRISKFACTORSANDANOMALIESSUCHASBOOKTOMARKET,ACCRUALSANDMOMENTUMIFURTHERFINDTHATFUTUREEARNINGSREALIZATIONSARESTRONGLYCORRELATEDTOCURRENTGROWTHFUNDAMENTALS,ANDTHATTHEMARKETSINGENERALANDAN
35、ALYSTSINPARTICULARARESURPRISEDRELATIVELYPOSITIVELYFORHIGHG_SCOREFIRMSANDNEGATIVELYFORLOWG_SCOREFIRMSTHISINDICATESTHATTHEMARKETDOESNOTUNDERSTANDTHECORRELATIONBETWEENCURRENTGROWTHFUNDAMENTALSANDFUTUREFUNDAMENTALSTHISPROVIDESANINTERESTINGINSIGHTINTOTHERESULTSOFPAPERSLIKELAPORTA1996THATIDENTIFYNAVEEXTRA
36、POLATIONONTHEPARTOFSTOCKMARKETSMYRESULTINDICATESTHATTHEMARKETFAILSTOCONSIDERAFIRMSHISTORICALEARNINGSANDGROWTHVARIABILITYINDETERMININGWHETHERTHEFIRMWILLBEABLETOMAINTAINITSCURRENTPERFORMANCEORNOTTHISPAPERCONTRIBUTESTOTHEGROWINGLITERATUREONFINANCIALSTATEMENTANALYSISBYSHOWINGTHATITSEFFECTIVENESSEVENFORG
37、ROWTHFIRMSTRADITIONALLY,THEFOCUSFORGROWTHFIRMSHASBEENONNONFUNDAMENTALASPECTSOFTHEIROPERATIONSANALYSTSHAVELOOKEDOUTSIDETHEFINANCIALSTATEMENTSINSEARCHFORDRIVERSOFFUTUREVALUETHEGROWTHSIGNALSOUTLINEDINTHISPAPERADDCONSIDERABLEVALUEINLIEUOFTRADITIONALFINANCIALSTATEMENTANALYSISINPARTICULAR,THESIGNALSPERTAI
38、NINGTOTHESTABILITYOFEARNINGSANDGROWTHHELPIDENTIFYSTOCKSTHATARELESSLIKELYTOBEOVERVALUEDBECAUSEOFNAVEEXTRAPOLATIONBYSTOCKMARKETSTHISPAPERALSOCONTRIBUTESTOTHEDEBATEASTOWHETHERTHEBOOKTOMARKETEFFECTISCAUSEDBYRISKORMISPRICINGFIRMSWITHHIGHG_SCORERATINGSHAVEVIRTUALLYIDENTICALSYSTEMATICRISKANDMUCHLOWERRETURN
39、VOLATILITYTHANLOWG_SCOREFIRMSANDYETTHEYSIGNIFICANTLYOUTPERFORMLOWG_SCOREFIRMSFURTHER,THEG_SCORESTRATEGYRETURNSPOSITIVERETURNSINALL21YEARSANALYZEDTHISISINCONSISTENTWITHARISKBASEDEXPLANATIONANDPROVIDESSUPPORTFORAMISPRICINGBASEDEXPLANATIONFORTHEBOOKTOMARKETEFFECTFORLOWBMFIRMSSOURCEPARTHASMOHANRAM,2005“
40、SEPARATINGWINNERSFROMLOSERSAMONGLOWBOOKTOMARKETSTOCKSUSINGFINANCIALSTATEMENTANALYSIS”REVIEWOFACCOUNTINGSTUDIES,VOL10,N02,PP133170译文运用财务报表分析方法在低账面市值比股票中区别赢家和输家本文主要测试在低账面市值比股票中，基于财务报表分析的战略，在区分赢家和输家之间的差异对于未来股价表现的影响是否取得成功。我在传统的基本面相结合的基础上，结合我国证券市场实际情况和成长型公司的特点，同时使用基于外推效应和成长性考虑的指标，如收入稳定增长和较高的研发、广告和资本性支出，构
41、造综合财务指标G指数。买入高G指数股票和卖出低G指数股票的战略始终可以获得超额的收益。根据规模、股票价格、分析、联交所上市及过往表现来划分，各分区的结果是稳健的，并没有受到公司首次上市的影响。有据可查的异常因素如账面市值比，应计费用和规模等的良好控制后出现持续的超额收益。就一般股票市场而言，分析师更可能受到成长基础良好的公司的积极影响，表明股票市场也无法为未来可能发生的把握当前经济基本面。此外,研究结果不支持账面市值比效应是一种风险补偿的基本原因是,这次的账面市值效应的策略返回正的收益，而且事前出现少量风险的公司有更好的未来收益。综上所述,你可以使用一种改进的基本分析方法去识别定价偏误并赢得实
42、质性的异常收益率。本文检视应用财务报表分析，在有显著的样品增长或者低账面市值的公司是否可以帮助投资者获得额外的回报。账面市值效应多见于财务研究中。一般认为，投资于高账面市值比公司的股票能够获取较高收益，而投资于低账面市值比公司的股票通常收益较低。低账面市值比公司通常也被称为成长型公司，其股票被称为成长型股票，在前期有着很强的股票绩效；高账面市值比公司的股票通常被称为价值型股票，相对而言股票在前期表现略差。对于账面市值比效应成因的解释存在很大分歧。FAMAANDFRENCH1992认为账面市值比效应是一种风险补偿，而LAKONISHOK,SHLEIFERANDVISHNY1994认为账面市值比效
43、应产生于定价偏误。传统的财务报表分析通常依据未完全反映在股价中的信息分辨事后赢家和输家，很难确定财务报表分析对低账面市值比公司是否有效，虽然存在定价偏误，原因有以下几方面第一，低账面市值比公司倾向于通过成长型股票来吸引有经验的中间机构，如分析师和机构投资者。第二，这些公司除了财务报表外通常会有许多来源的信息披露。第三，许多低账面市值比公司的迅速增长使其他非财务措施比现行的基本面更重要。要平衡这些方面是因为成长型公司往往因宣传或近期较好的市场表现而受到偏离基本面的价值高估。此外，传统的基本面分析对成长型公司来说可能应用有限，财务报表中的其他资讯可能会有潜在的用途。研究者表明，市场往往对成长型股票
44、的当前基本面进行自然外推EGLAPORTA1996DECHOWANDSLOAN1997，或者忽视前期投资对未来收益的影响EGPENMANANDZHANG2002。在本文中，我用财务报表信息来创造与自然外推和守旧性有关的标志，增大对于收入和现金流盈利能力的传统基本面分析。我还测试这些成长型基本面在分辨事后赢家和输家方面的能力。结果表明，对成长型公司的适当调整后，财务报表分析在区分事后赢家和输家时是很成功的。在组合形成后第1年和第2年的规模调整收益率均值分别为6和42。在这两年中，这些公司从根本上获得的规模调整收益率为33和24，而最弱的公司获得超额收益率分别为179和133。买人高G指数股票、卖
45、出低G指数股票的组合策略可能非常有效。除了最近的IPO上市外，上述结论进行了规模分块、成长速度分块等稳健型测试。此外，即使只是专注于单一的快速增长的公司或者高技术公司，这个战略都是有效的。在样本的整个年度中，这个战略在跨期结果、正收益方面都很稳健。成长型基本面战略的成功与未来绩效有关。较好增长基本面的公司能更好地实现未来经济盈利，从而更少地因表现不佳而被停市。强大的公司很有可能击败在未来收入公告中获得正盈利预测的股票，这表明，市场忽略了未来绩效中成长型基本面的要点。最后，对于存在的该成功战略解释的风险是没有支持的。众多实证研究结果表明，成长型股票在组合形成后的整体表现欠佳。然而，不同成长型股票
46、存在很大差异。本文旨在帮助投资者对成长型公司进行财务分析，从中区分赢家和输家。文中提出的投资分析策略完全依赖于公开可得的历史财务数据，而非使用基于市场的指标或分析师预测等其他非财务数据或者私人来源的信息。本文中试图使用三组指标构建成长型公司基础财务指标体系，将成长型公司区分为赢家和输家。第一组为传统的基础财务指标，主要与公司盈利能力和现金流量状况相关。第二组是基于外推效应确定的指标，可以把因市场价值高而导致账面市值比低的公司区分出来；第三组是基于未来成长性确定的指标，可以把因实行稳健会计导致账面市值比低的公司区分出来。我指的指标是本文中的这些基于“成长型”基本面发展的指标，因为他们用适用于成长
47、型公司的环境去测试这些公司的基本面强度。成长型公司基础财务指标的选择隐含了一个假设，即账面市值比效应是由于偏误定价造成的，而不是产生于风险原因。在很大程度上，投资组合策略的成功与否取决于这是不是一个有效的假设，同时这就意味着，这个战略的成功与否也决定了低账面市值比公司的账面市值效应成因是风险因素还是定价偏误。本文中开始用到是三个基于盈利能力的指标，按照销售收入或者现金流量测计量。当前获利的公司的基本面是强劲的，而且如果当前的收益会影响未来的收益，他们也将维持他们的基本强度。盈利能力通过2种方法测试的。第一种检测盈利能力的方法是通过计算资产收益率（ROA），就是在扣除特殊项目之前的净收入与平均资
48、产总额的比率。我同时在相同的2个标准行业代码数据中比较了既定公司与所有其他低账面市值公司的资产收益率。这些所有在本文中被用到的指标，都将是基于行业的相关信息的，与SOLIMAN2003阐明的在杜邦分析中行业调整的重要性直接相符，同时也间接地体现BENEISH,LEEANDTARPLEY2001强调的利用基础财务指标分析的重要性。我把各家公司的经营资产核心利润率与同期同行业均值进行比较，得到指标G1。如果公司经营资产核心利润率大于行业均值，则令G1等于1，否则G1等于0。由于公司成立初期往往需要进行大量固定资产和无形资产投资，由此产生大量折旧和摊销费用，因此对于处于生命周期早期的成长型公司而言，
49、现金流量比利润更有代表性。因此，我也使用经营活动现金流量替代核心利润计算资产收益率，得到第二个成长型指标G2。把各家公司的经营资产经营现金流量率与同期同行业均值进行比较，如果公司经营资产经营现金流量率大于行业均值，则令G2等于L，否则G2等于0。SLOAN和其他人证明，收益由较多应计项目构成的公司通常在未来表现不佳，因为它们的收益质量较低。与此相适应，我们把指标G3定义为如果公司的经营活动现金流量大于核心利润，则令G3等于1，否则G3等于0。事前，关于这三个指标在低账面市值公司的样本中表现地如何让是不清楚的。传统观点认为这些指标不能如预期的那样在总公司中有效发挥，因为成长型公司的现行财务状况很难对未来有重要影响。此外，权责发生制异常是否会反映在总体水平增长公司的自身也是不清楚的，因为一些成长型公司因为快速地增长可能会带来大量的负收益。然而，一个相反的论点是，如果一些公司只是临时地被高估价值，那么使用基础财务指标有助于把纯粹成长型公司与因宣传而被高估价值的公司区分开来。因此G1G3的效力就是个未解决的问题。本文中，我测试了一个基本面驱动策略是否可以在低账面市比公司或是成长型股票中区分事后赢家和输家。我运用了一个方法，即采用财务报表信息，结合三个方面构成投资组合策略销售收入和基础现金流量，与股票市场的自然外推效应相关的现行基本面和受传统影响的账面市值比。在
