چکیده :هدف اين پژوهش، بررسي اهميت متغيرهاي اساسي صورت هاي مالي در پيشبيني بازدهسهام بهوسيلهي استراتژي تحليل بنيادي است. يازده علامت بنيادي بر اساس تواناييشان در پيشبيني بازده شامل موجوديکالا، حسابهاي دريافتني، سرمايهگذاريها، حاشيهسود ناخالص، بازده داراييها،تغييرات بازده داراييها، جريان وجوهنقد، اقلام تعهدي، تغييرات اهرم مالي، تغييرات نقدينگي و تغييرات گردش داراييها در محاسبه نمره بنيادي شرکتها منظور شده است و شرکتها با توجه به نمره بنيادي به دو پرتفوي با نمره بالا و پايين تقسيم ميشوند و بازده آنها از ابتداي ماه پنجم سال بعد تا 15 ماه بعد از آن محاسبه شده است.جامعهي آماري شرکتهاي بورس اوراق بهادار تهران طي سالهاي 1378-1389 هستند. نتايج آزمون همبستگي اسپيرمن نشان داد نمره بنيادي رابطه مثبت و معناداري در سطح 1 درصد با بازده سهام دارد. متغييرهاي موجوديکالا و تغييرات گردش داراييها رابطه مثبت معنادار و سرمايهگذاريها داراي رابطه منفي معنادار در سطح 1 درصد با بازده بودند. آزمون تي-استيودنت نيز نشان داد، ميانگين بازده پرتفوي با نمره بنيادي بالا(26/49درصد)، بزرگتر از پرتفوي با نمره بنيادي پايين(57/25) است و در نتيجه با استفاده از استراتژي تحليل بنيادي، ميتوان بازده مثبتي بهدست آورد.
چکیده (انگلیسی):the aim of this paper is to show the importance of key variables of financial statements in Predicting Stock Return by Fundamental Analysis Strategy. Eleven fundamental signals have been chosen based on their predictive ability with respect to returns. These signals are: inventory, accounts receivable, investments, gross Margin, return on assets, variation in return on assets, cash flow, accruals, leverage, liquidity, assets turnover. Sample period is 1378 to 1389. Stocks at each fiscal year of the, are assigned given fundamental scores (F-Score) in two portfolios: A low F-Score portfolio and a high F-Score portfolio. Returns are calculated from the fifth month of next year to fifteen months after that. Results of Spearman’s correlation show that the F_Score, inventory and asset turn over variables have positive and statistically significant correlations with future returns. However, investments variable has a negative correlation. T-student test shows that Buy and Hold Return Mean (BHR) of the high F-Score portfolio is greater than BHR Mean of the low F-Score portfolio. Therefore, we could have a positive return by Fundamental Analysis Strategy.
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چکیده (انگلیسی):the aim of this paper is to show the importance of key variables of financial statements in Predicting Stock Return by Fundamental Analysis Strategy. Eleven fundamental signals have been chosen based on their predictive ability with respect to returns. These signals are: inventory, accounts receivable, investments, gross Margin, return on assets, variation in return on assets, cash flow, accruals, leverage, liquidity, assets turnover. Sample period is 1378 to 1389. Stocks at each fiscal year of the, are assigned given fundamental scores (F-Score) in two portfolios: A low F-Score portfolio and a high F-Score portfolio. Returns are calculated from the fifth month of next year to fifteen months after that. Results of Spearman’s correlation show that the F_Score, inventory and asset turn over variables have positive and statistically significant correlations with future returns. However, investments variable has a negative correlation. T-student test shows that Buy and Hold Return Mean (BHR) of the high F-Score portfolio is greater than BHR Mean of the low F-Score portfolio. Therefore, we could have a positive return by Fundamental Analysis Strategy.
فایل کامل مقاله
دریافت (282.5 kB)