Earticle

초록

영어

This paper addresses the firm characteristics of the fundamental value to price anomaly. Frankel and Lee (1998) have demonstrated that the estimation of a firm value based on analysts’ earnings forecasts is more appropriate, and a strategy based on fundamental value to price (hereafter, VP) has the power to predict future returns. In an effort to understand the characteristics of the VP anomaly, I explore the differences between high VP and low VP firms with regard to firm-specific characteristics, security market characteristics, and information environments over the three years following portfolio formation. I find that firms with a high VP ratio are associated with good financial performance, high stock volatility, and a poor information environment. Specifically, firms with high VP ratios are more likely to have higher sales, earnings, core earnings, cash flow, total accruals, and research and development expenditures (R&D). Additionally, the standard deviations of these performance variables are much higher for the extreme VP portfolios than for the middle portfolios. Given the mean and variance criteria as an investment strategy, high VP stocks are more likely to have outstanding performance, but also tend to be riskier.

목차

Abstract
 I. Introduction
 II. Related Literature and Research Motivation
  2.1 Fundamental Value to Price Anomaly
  2.2 Anomalies and Firm Characteristics
  2.3 Anomalies and Information Environment
 III. Research Design
  3.1 Sample Selection and Variables Measurement
  3.2 Fundamental Value Based on a Residual Income Model
  3.3 Variables Measurement
 IV. Empirical Results
  4.1 Descriptive Statistics
  4.2 Firm Characteristics across VP Deciles
  4.3 Information Environment across VP Deciles
  4.4 Regression Results
 Ⅴ. Sensitivity Tests
 Ⅵ. Conclusions
 References
 TABLE

키워드

저자

• Hye-Jeong Nam [ Dongguk University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330