Separating Winners from Losers: Composite Indicators Based on Fundamentals in the European Context
Journal Title: Finance a uver - Year 2016, Vol 66, Issue 1
Abstract
Our work tests the usefulness of score measures based on fundamental signals in an out-of-sample study during the past two decades. While previous research, primarily focused on the US, demonstrates that fundamental signals derived from financial statements allow for future abnormal stock returns, our European sample documents that Xue-Zhang’s FSCORE2 and Wahlen-Wielandʼs PEIS do not serve as a source of market anomalies. By contrast, other fundamental signals—Piotroski’s FSCORE and Mohanram’s GSCORE—still allow for abnormal returns in our sample and period. We also contribute to the market efficiency debate by documenting the role of idiosyncratic volatility, transaction costs and noise trader risk in the persistence of market anomalies, supporting the existence of limits to arbitrage for these investment strategies.
Authors and Affiliations
Borja Amor-Tapia, Maria T. Tascon
Keywords
Related Articles
- EP ID EP297584
- DOI -
- Views 124
- Downloads 0
US Dollar Carry Trades in the Era of “Cheap Money”
In this paper, we employ a unique dataset of actual US dollar (USD) forward positions against a number of currencies taken by so-called commodity trading advisors (CTAs). We investigate the extent to which these position...
Effects of Macroprudential Policy on Systemic Risk and Bank Risk Taking
Using an international sample of 95 banks from 21 European and North American countries spanning from 2008 to 2014, this paper assesses the effectiveness of a large set of general and housing macro-prudential policies in...
Income, Schooling and Housing Wealth during Economic Reforms
We analyze the household income and housing endowment during the economic reforms in Slovakia. We compare households that entered the labor market before and after the economic reforms in 1990. On the one hand, the retur...
Interactions of Unconventional Monetary Policy Measures with the Euro Area Yield Curve
We study how unconventional monetary policy affects the shape of the yield curve and, conversely, the predictive power of short-run yield curve dynamics for the policy event. Two types of unconventional monetary policy m...
Self-selection Bias and the Listing Status of Target Firms: Value Effects in the Spanish Market
As corporate announcement decisions are non–random events, standard OLS estimations must be corrected for the self–selection bias. In the M&A field several studies suggest that previous evidence on univariate analysis of...