價值投資法的討論-使用歷史的財務(wù)報表資訊區(qū)分贏家和輸家【外文翻譯】

1、本科畢業(yè)論文（設(shè)計）外文翻譯DiscussionofValueInvesting:TheUseofHisticalFinancialStatementInfmationtoSeparateWinnersfromLosersNumerousacademicstudies(e.g.FamaFrench[1992]LakonishokShleiferVishny[1994]amongothers)examinethestockreturnso

2、fhighbooktomarketfirms(“value“stocks)relativetolowbooktomarketfirms(“glamour“stocks).Anempiricalregularityofthesedataisthatthereturnsofvaluestocksoverthelast30yearsaresignificantlygreaterthanthereturnsofglamourstocks.The

3、reasonfthisdifferencehasbeenthetopicofmuchdebate.FamaFrench[1992]proposethatthebooktomarketratiocapturesapricedelementofsystematicriskthattheobserveddifferencesinreturnsbetweenvalueglamourstocksreflectafaircompensationfr

4、isk.LakonishokShleiferVishny[1994]advanceanalternativepossibilitythathighbooktomarketfirmsstockpricesaretemparilydepressedbecauseinvestsoverreacttopripoperfmancemaintainexpectationsaboutfutureperfmancethatare“toopessimis

5、tic“.Fama[1998]aswellsomeconferenceparticipantsraiseathirdpossibilitythattheobservedreturndifferentialduringthepast30yearsisatimeperiodspecificregularitythathasbeenuncoveredbyresearchersbuthasnosystematicunderlyingexplan

6、ation.Piotroski[2000]furtherinvestigatesvaluestocksexamineswhetherasimpleaccountingbasedfundamentalanalysisstrategywhenappliedtohisticaldatacanfurtherenhancethereturnstoinvestinginhighbooktomarketfirms.Hemotivatesthestud

7、ybynotingthatwhileahighbooktomarketinvestmentstrategyonaverageyieldspositiveabnmalreturnsthepositivereturnsaregeneratedbyonly44%ofthesamplefirms.Assuchvalueinvestsmusttoleratenmalporeturnsfromalargefractionofthefirmsinth

8、eirptfolio.Althoughaskewedreturndistributionisnotuniquetohighbooktomarketstocksatradingstrategythatidentifieseventualstrongvaluestocksprovidesmedeiveevidenceonthebooktomarketpuzzle.Toshiftthedistributionofreturnsearnedby

9、avalueinvestthepaperdescribesatradingheuristicbasedonninefundamentalsignalsaboutthefinancialconditionofvaluefirms.Theninesignalsarebasedoneasilycomputedmeasuresofprofitabilityfinancialleverageliquidityoperatingefficiency

10、eachfirmssignalrealizationisclassifiedaseither“bad““good“.Valuefirmswitheightninegoodsignalsareclassifiedasstrongvaluefirms(highFSCE)firmswithzeroonegoodsignalsareclassifiedasweakvaluefirms(lowFSCE).Piotroskisuggeststhat

11、strongvaluefirmswillexperienceimprovedfuturefirmperfmancestockreturnsrelativetoweakvaluefirms.Thedatapresentedareconsistentwiththisprediction.Themeanannualmarketadjustedreturntoastrongmutualfunds.Examplesofinvestingstrat

12、egiesemployedbyhedgefundsincludeconvertiblearbitragedistressedsecuritiesmarkettimingmergerarbitrageaswellasvaluegrowthinvesting(Liang[1999]).Manystudiesdocumentthatonaveragemutualfundmanagersdonotoutperfmthemarket(e.g.Ma

13、lkiel[1995]Carhart[1997]).Recentresearchfindsthathedgefundmanagersgenerallydoonaveragegeneratepositiveabnmalreturnsalthoughthemagnitudeofthesereturnsisconsiderablysmallerthantheabnmalreturnsdocumentedinthispaperfastrongv

14、aluetradingstrategy.FexampleBrownGoetzmannIbbotson[1999]findthatwhiletherawreturnsfoffshehedgefundsbetween19891995laggedtheS&P500byabout3%annuallytheriskadjustedannualreturnfthesefundswasapositive5.7%.SimilarlyLiang[1999

15、]documentsthataveragerawreturnsfabroadsampleofoffsheonshehedgefundsfrom1994to1996exceedsthereturnontheS&P500by3%annuallythemedianannualizedriskadjustedreturnf16differentfundsstylesis6.4%.Bycomparisontheaverageannualabnma

16、lreturntoastrongvalueinvestingstrategyis13.4%whilethereturntoazeroinvestment(highlow)strategyis23%annually.Presumablyaprimaryobjectiveoffundmanagersistoinvesttheircapitalinassetsthatyieldthehighestriskadjustedreturns.Int

17、hislightitispuzzlingthatthereturnsearnedbyprofessionalhedgefundmutualfundmanagersarenotatleastasgreatasthereturnsdocumentedbytheacademiccommunityfasimpletradingheuristic.Alsogiventhesubstantialmarginbywhichastrongvaluetr

18、adingstrategyappearstobeatthestrategiescurrentlybeingemployedbyhedgefundsmutualfundsitissurprisingthattheabnmalreturnstothestrategyhavepersistedfmanyyearswithoutbeingcompetedaway.Theautharguesthatanadvantageofthestrongva

19、luetradingstrategyisthatitdoesnotrequirecomplexmethodologieslargeamountsofhisticalfinancialinfmation.Ironicallythis“advantage“isoneofthemosttroublingaspectsoftheanalysis.Toexplethedynamicsofastrongvalueinvestingstrategyc

20、onferenceparticipantsquestionedwhyhighbooktomarketfirmsaretheappropriatesampleonwhichtotestthistradingheuristic.Specificallywhattheypredictsarelationbetweenthissimpletradingstrategyhighbooktomarketfirmswhywouldntthisheur

21、isticbeexpectedtowkinthegeneralpopulationoffirms.Theauthpresentsnotheybutassertsthat“Incontrast[togrowthstocks]thevaluationofvaluestocksshouldfocusonrecentchangesinfirmfundamentals…anassessmentoftheseacteristicsismostrea

22、dilyaccomplishedthroughacarefulstudyofhisticalfinancialstatements.“Howeverthisstatementprovidesnoinsightintowhythisparticulartradingstrategybasedoneasilycomputedperfmancemetricsisexpectedtogeneratesubstantialfutureabnmal

23、returns.Avastbodyofliteraturedocumentsthatinvestscanprocessverycomplicatedfinancialstatementinfmation(e.g.pensionstaxessignalingwithrespecttocapitalstructuredecisionscashpayoutdecisionsearningsmanagementfootnotedisclosur