Kan en periodiseringsbaserad investeringsstrategi effektiviseras med hjälp av fundamental analys?
Keywords: AccrualsFundamental analysisMarket efficiencyInvestment strategyPeriodiseringarFundamental analysMarknadseffektivitetInvesteringsstrategi
This paper investigates whether the traditional accrual based trading strategy first documented by Sloan (1996) can be refined using fundamental analysis. Specifically, this is done by implementing the composite signal F_SCORE introduced by Piotroski (2000) to identify financially strong or weak firms. We find that by applying both investment models simultaneously, in a model we call P_KOMB, the mean market-adjusted return earned by an investor exploiting the accrual anomaly can be increased by 14.8% annually. This is achieved by taking a long position in strong firms (as defined by the composite signal) in the lowest accrual portfolio, while an offsetting short position is taken in weak firms in the highest accrual portfolio, repeated annually between 1997 and 2007. Consistent with prior studies, positive market-adjusted returns can be attained through assessment of accruals as well as key value drivers found in historical financial data. Moreover, our results indicate that accruals are a more powerful determinant for future return than the fundamentals in the composite signal. The evidence suggests, however, that the accrual anomaly is best exploited in combination with the fundamental signals to maximise returns.