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1、本科毕业论文（设计）外 文 翻 译原文Separating Winners from Losers among Low Book-to-MarketStocks using Financial Statement AnalysisThis paper tests whether a strategy based on financial statement analysis of low book-to-market (growth) stocks is successful in differentiating between winners and losers in terms of f
2、uture stock performance. I create an index (G_SCORE) based on a combination 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 bas
3、ed 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 affectedby the inclusion or omission of IPO firms.
4、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
5、, 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 strategy returns positive returns in all years, and firms that ex-ante appear less risky have better fu
6、ture returns. To conclude, one can use a modified fundamental analysis strategy to identify mispricing and earn substantial abnormal returns.This paper examines whether applying financial statement analysis can help investors earn excess returns on a broad sample of growth, or low book-to-market (BM
7、) firms. The BM effect is well documented in research in finance. On average, firms with low BM earn significant negative excess returns, while firms with high BM earn significant positive excess returns. Low BM firms, also referred to as growth or glamour stocks, have experienced very strong stock
8、performance in prior periods, while high BM firms, also referred to as value stocks, have typically underperformed in prior periods. There is considerable disagreement amongst researchers as to the cause of the book-to-market effect. Fama and French (1992) claim that unobserved risk factors cause th
9、e book-to-market effect, while Lakonishok, Shleifer and Vishny(1994) attribute the effect to mispricing.Financial statement analysis attempts to identify ex-post winners and losers on the basis of information in the financial statements that are not completely or perfectly impounded in prices.Ex-ant
10、e, it is unclear whether financial statement analysis will be effective for low BM firms,even if they are mispriced, for the following reasons. First, low BM firms tend to be growth stocks that attract the attention of sophisticated market intermediaries such as analysts and institutional investors.
11、 Second, such firms are likely to have many sources of disclosure other than financial statements. Third, the rapid growth in many low BM firms potentially makes current fundamentals less important than other non-financial measures. Counterbalancing this is the fact that many of these stocks may be
12、overvalued in departure from their fundamentals because of the hype or excitement surrounding their recent strong stock market performance.Further, while traditional fundamental analysis may have limited applicability for growth firms,other information from the financial statements can be potentiall
13、y useful.Researchers have shown that the stock market tends to naively extrapolate current fundamentals of growth stocks (e.g. La Porta (1996), Dechow and Sloan (1997), or ignore the implications of conservative accounting for future earnings (e.g. Penman and Zhang (2002). In this paper, I use finan
14、cial statement information to create signals relating to nave extrapolation and conservatism and augment traditional fundamental analysis of earnings and cash flow profitability. I then test the ability of these growth oriented fundamentals to identify winners and losers in terms of ex-post stock re
15、turns.The results indicate that financial statement analysis, appropriately tailored for growth firms,is very successful in differentiating between ex-post winners and losers. The entire Low BM group earned mean size-adjusted annual returns of -6.0% and -4.2% for the first and second year after port
16、folio formation. The firms that are fundamentally soundest earned a size-adjusted 3.3% and 2.4% in the two years, while the weakest firms earned excess returns of 17.9% and 13.3% respectively. A strategy of buying firms with the strongest “growth fundamentals” and selling or shorting the weakest fir
17、ms earns very significant abnormal returns. The results are robust across a variety of partitions including size, analyst following and exchange listing and also hold when recent IPO firms are excluded. In addition, the strategy works even if one focuses solely on fast growing firms or high technolo
18、gy firms. The strategy is also robust across time, earning positive returns in all years in the sample.The success of the growth fundamentals strategy is linked to future performance. Firms with stronger growth fundamentals have better future realizations of earnings and are less likely to delist fo
19、r reasons related to poor performance. Strong firms are more likely to beat earnings forecasts and earn positive abnormal returns around future earnings announcements, indicating that the market ignores the implications of growth fundamentals for future performance. Finally, there is no support for
20、risk based explanations for the success of the strategy. The results of this paper indicate that financial statement analysis can be suitably modified to be very successful for growth firms. Specifically, this paper introduces a number of simple and easy to implement tools, based solely on financial
21、 statement information, which can helpseparate future winners from losers in terms of stock performance.It is a well known empirical phenomenon that low BM stocks underperform in the period(s) after portfolio formation. However, there is considerable variation in stock performance amongst the low BM
22、 firm. The aim of this paper is to apply financial statement analysis to the sample of growth or low book-to-market stocks in an attempt to separate likely winners from losers. The portfolio strategy outlined in this paper relies entirely on publicly available historical financials, without using ma
23、rket based indicators or other information such as analyst forecasts that may rely implicitly on non-financial or private sources of information.The signals used in this paper to separate the low BM firms into categories of potential winners and losers can be classified into three groups. The first
24、consists of traditional fundamental signals, pertaining to a firms profitability and cash flow performance. The second category of signals tries to separate out those firms that are likely to be in the low BM category because their market valuation appears to be high from others, by utilizing insigh
25、ts from research that has focused on the tendency of markets to extrapolate naively from the present. The third category of signals attempts to identify the firms that have low BM because of conservative accounting. I refer to the signals developed in this paper as “growth” fundamental signals, as t
26、hey measure the fundamental strength of these firms in a context appropriate for growth firms.The maintained assumption implicit in the selection of these signals is that the BM effect for low BM firms is a mispricing effect and not a risk effect. The success or failure of the strategy will, in a la
27、rge part, be determined by whether or not this is a valid assumption. What this implies is that the success of failure of this strategy also addresses whether the BM effect for low BM firms is caused by risk or mispricing.The first three signals used in this paper are based on profitability, measure
28、d either in terms of earnings or cash flows. Firms that are currently profitable are likely to be fundamentally strong and maintain their fundamental strength in the future if current profits have any implications for future profits.Profitability is measured in two ways. The first measure of profita
29、bility is Return on Assets (ROA), defined as the ratio of net income before extraordinary items scaled by beginning total assets. I compare the ROA of a given firm to the ROA of all other low BM firms in the same 2 digit SIC code at the same time. This signal, and all signals used in this paper, wil
30、l be based on industry contextual information, consistent directly with Soliman (2003) who illustrates the importance of industry adjustment in Dupont analysis, and indirectly with Beneish, Lee and Tarpley (2001) who highlight the importance of context in fundamental analysis. I define the first gro
31、wth signal, G1, to equal 1 if a firms ROA is greater than the contemporaneous industry median and 0 otherwise.Earnings may be less meaningful than cash flows for early stage firms which are likely to be relatively over-represented among low BM firms. This may especially be true because of large depr
32、eciation or amortization charges that firms making large investments in fixed or intangible assets. Hence, I also use an additional measure of profitability by calculating ROA with cash flow operations instead of net income. I define the second growth signal, G2, to equal 1 if a firms cash flow ROA
33、exceeds the contemporaneous industry median and 0 otherwise. Sloan and others have shown the importance of accruals by demonstrating that firms with a greater accrual component in their earnings generally underperform in the future, potentially because of the lower quality of their earnings. Accordi
34、ngly, G3 is defined to equal 1 if a firms cash flow from operations exceeds net income and 0 otherwise.Ex-ante, it is unclear as to how well these three signals will perform for the sample of low BM firms. Conventional wisdom indicates that these signals may not be as effective as they would be in t
35、he general population of firms, as growth firms are less likely to be in a state where the current financials have important implications for the future. Further, it is unclear in the accrual anomaly will manifest itself at the aggregate level for growth firms, which are likely to have large negativ
36、e accruals because of their rapid growth. However, a counter argument can be made that if some of the firms are temporarily overvalued, then current fundamentals may help separate the solid growth firms from firms that are overvalued because of hype. The effectiveness of G1:G3 is hence an open quest
37、ion.In this paper, I test whether a fundamentals driven strategy can separate out ex-post winners and losers amongst low book-to-market or growth stocks. I use an approach that combines three aspects into a portfolio strategy that uses financial statement information earnings and cash flow based fun
38、damentals, factors related to the stock markets nave extrapolation of current fundamentals and factors that capture the impact of conservatism on the book-to-market ratio. I combine eight signals related to these factors into an index, G_SCORE, and compare the performance of portfolios based on G_SC
39、ORE.The results indicate that the growth oriented fundamental strategy is able to strongly differentiate between future winners and losers. Firms with high G_SCORE earn substantially higher size-adjusted returns than firms with low G_SCORE. The results are robust across partitions based on firm size
40、, analyst following and exchange listing and do not depend on the inclusion or exclusion of IPO firms. In addition, the strategy works even if one focuses solely on fast growing firms or high technology firms. G_SCORE is also strongly positively associated with future returns after controlling for w
41、ell documented risk factors and anomalies such as book-to-market, accruals and momentum.I further find that future earnings realizations are strongly correlated to current growth fundamentals, and that the markets in general and analysts in particular are surprised relatively positively for high G_S
42、CORE firms and negatively for low G_SCORE firms. This indicates that the market does not understand the correlation between current growth fundamentals and future fundamentals. This provides an interesting insight into the results of papers like La Porta (1996) that identify nave extrapolation on th
43、e part of stock markets. My result indicates that the market fails to consider a firms historical earnings and growth variability in determining whether the firm will be able to maintain its current performance or not.This paper contributes to the growing literature on financial statement analysis b
44、y showing that its effectiveness even for growth firms. Traditionally, the focus for growth firms has been on non-fundamental aspects of their operations. Analysts have looked outside the financial statements in search for drivers of future value. The growth signals outlined in this paper add consid
45、erable value in lieu of traditional financial statement analysis. In particular, the signals pertaining to the stability of earnings and growth help identify stocks that are less likely to be overvalued because of nave extrapolation by stock markets.This paper also contributes to the debate as to wh
46、ether the book-to-market effect is caused by risk or mispricing. Firms with high G_SCORE ratings have virtually identical systematic risk and much lower return volatility than low G_SCORE firms and yet they significantly outperform low G_SCORE firms. Further, the G_SCORE strategy returns positive re
47、turns in all 21 years analyzed. This is inconsistent with a risk based explanation and provides support for a mispricing based explanation for the book-to-market effect for low BM firms.Source:Partha S. Mohanram, 2005. “Separating Winners from Losers among Low Book-to-Market Stocks using Financial S
48、tatement Analysis” .Review of Accounting Studies,Vol. 10, N0. 2, pp .133-170.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
49、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。Fama and F