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

運用簡單的基本分析區分輸赢組合——來自太平洋地區股票市場的檢驗

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：本文探讨了一個簡單的基本分析策略——FSCORE是否能夠區分資金實力雄厚的企業和資金實力薄弱的企業，該策略由皮奧特洛斯基（2000年）提出。本研究的時間跨度是2000年至2015年，研究的企業分别來自于七個太平洋地區市場：香港、澳大利亞、新加坡、韓國、馬來西亞、泰國和印度尼西亞。類似于皮奧特洛斯基和So（2012年）提出的策略，在大多數市場上，FSCORE可以将價值型投資組合中的赢家組合與輸家組合相區分；高FSCORE投資組合的收益率顯著高于同一類别的低FSCORE投資組合。高FSCORE的長期價值型股票（具有高賬面市值比）組成的投資組合能顯著地産生正的風險調整回報。我們發現，FSCORE也可以應用到大小盤股投資組合。具有高FSCORE的小盤股組成的投資組合分别在香港，澳大利亞、新加坡、韓國、馬來西亞、泰國和印度尼西亞市場得到2.5289%、3.3552%、1.1081%、1.0744%、0.5762%、0.9263%和1.7802%的月度風險調整後收益。就從輸家組合中篩選出赢家組合的能力而言，FSCORE對小盤股的挑選能力要比對價值型股票的挑選能力更強。

關鍵詞：FSCORE，賬面市值比，規模，風險調整的回報，投資組合，橫截面股票回報

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

原文鍊接：

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

翻譯：何杉