Pacific-Basin Finance Journal·Volume 39, September 2016, Pages 159–177

运用简单的基本分析区分输赢组合——来自太平洋地区股票市场的检验

作者：Chi Cheong Allen Nga(School of Accounting and Finance, The Hong Kong Polytechnic University), Jianfu Shenb(Department of Economics and Finance & Research Institute for Business, Hang Seng Management College)

摘要：本文探讨了一个简单的基本分析策略——FSCORE是否能够区分资金实力雄厚的企业和资金实力薄弱的企业，该策略由皮奥特洛斯基（2000年）提出。本研究的时间跨度是2000年至2015年，研究的企业分别来自于七个太平洋地区市场：香港、澳大利亚、新加坡、韩国、马来西亚、泰国和印度尼西亚。类似于皮奥特洛斯基和So（2012年）提出的策略，在大多数市场上，FSCORE可以将价值型投资组合中的赢家组合与输家组合相区分；高FSCORE投资组合的收益率显著高于同一类别的低FSCORE投资组合。高FSCORE的长期价值型股票（具有高账面市值比）组成的投资组合能显著地产生正的风险调整回报。我们发现，FSCORE也可以应用到大小盘股投资组合。具有高FSCORE的小盘股组成的投资组合分别在香港，澳大利亚、新加坡、韩国、马来西亚、泰国和印度尼西亚市场得到2.5289%、3.3552%、1.1081%、1.0744%、0.5762%、0.9263%和1.7802%的月度风险调整后收益。就从输家组合中筛选出赢家组合的能力而言，FSCORE对小盘股的挑选能力要比对价值型股票的挑选能力更强。

关键词：FSCORE，账面市值比，规模，风险调整的回报，投资组合，横截面股票回报

Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets

Chi Cheong Allen Nga(School of Accounting and Finance, The Hong Kong Polytechnic University), Jianfu Shenb(Department of Economics and Finance & Research Institute for Business, Hang Seng Management College)

ABSTRACT

This paper explores whether a simple fundamental analysis strategy, FSCORE by Piotroski (2000), can discriminate between firms with strong financial strength and those with weak financial strength over the period of 2000 to 2015 in seven Pacific-Basin markets: Hong Kong, Australia, Singapore, South Korea, Malaysia, Thailand and Indonesia. Similar to Piotroski and So (2012), FSCORE can screen winners from losers in all book-to-market portfolios in most of the markets; the returns of portfolios with high FSCORE are significantly more than the returns of portfolios in the same category with low FSCORE. The portfolios that long value stocks (high book-to-market) with high FSCORE yield significantly positive risk-adjusted return. We find that FSCORE can also be applied to size portfolios. The portfolio of small cap stocks with high FSCORE give monthly risk-adjusted returns of 2.5289%, 3.3552%, 1.1081%, 1.0744%, 0.5762%, 0.9263%, and 1.7802% in Hong Kong, Australia, Singapore, South Korea, Malaysia, Thailand and Indonesia. The predictive ability of FSCORE in screening winners from losers is stronger in small cap stocks than value stocks.

Keywords：FSCORE, Book-to-market, Size, Risk-adjusted return, Portfolio, Cross-section of stock returns

原文链接：

http://www.sciencedirect.com/science/article/pii/S0927538X16300804

翻译：何杉