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Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach

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Cited by:

  1. Jin, Han & Mazouz, Khelifa & Wu, Yuliang & Xu, Bin, 2023. "Can star analysts make superior coverage decisions in poor information environment?," Journal of Banking & Finance, Elsevier, vol. 146(C).
  2. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
  3. Ritesh Khatwani & Gopala Raghuram & Mahima Mishra & Janki Mistry, 2023. "Impact of Change in Promoters’ Shareholding Pattern on the Performance of Small-Cap-Value Equity Stocks in the National Stock Exchange of India," JRFM, MDPI, vol. 16(1), pages 1-15, January.
  4. Zhu, Zhaobo & Sun, Licheng & Yung, Kenneth & Chen, Min, 2020. "Limited investor attention, relative fundamental strength, and the cross-section of stock returns," The British Accounting Review, Elsevier, vol. 52(4).
  5. Andreas G. Koutoupis & Christos G. Kampouris & Athanasia V. Sakellaridou, 2022. "Can Financial Strength Indicators Form A Profitable Investment Strategy? The Case Of F-Score in Europe," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 21(3), pages 355-372, September.
  6. Ng, Chi Cheong Allen & Shen, Jianfu, 2016. "Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 159-177.
  7. Neophytos Lambertides, 2022. "Misvaluation and the Asset Growth Anomaly," Abacus, Accounting Foundation, University of Sydney, vol. 58(1), pages 105-141, March.
  8. Fuwei Jiang & Fujing Jin & Kejia Zhang, 2023. "Financial openness and profitability premium: Causal evidence from the Shanghai‐Hong Kong Stock Connect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 451-483, March.
  9. Liu, Yang & Blankenburg, Martin & Wang, Mei, 2023. "Earnings expectations of grey and green energy firms: Analysis against the background of global climate change mitigation," Energy Economics, Elsevier, vol. 121(C).
  10. Mazouz, Khelifa & Wu, Yuliang, 2022. "Why do firm fundamentals predict returns? Evidence from short selling activity," International Review of Financial Analysis, Elsevier, vol. 79(C).
  11. L. D. Zubkova & S. M. D’yachkov, 2018. "Industry Investment Analysis of Activities of Russian Telecommunications Companies," Studies on Russian Economic Development, Springer, vol. 29(2), pages 182-190, March.
  12. Meng, Yongqiang & Shen, Dehua & Xiong, Xiong, 2023. "When stock price crash risk meets fundamentals," Research in International Business and Finance, Elsevier, vol. 65(C).
  13. Safdar, Irfan, 2016. "Industry competition and fundamental analysis," Journal of Accounting Literature, Elsevier, vol. 37(C), pages 36-54.
  14. Bartram, Söhnke M. & Grinblatt, Mark, 2018. "Agnostic fundamental analysis works," Journal of Financial Economics, Elsevier, vol. 128(1), pages 125-147.
  15. Chung, Chune Young & Liu, Chang & Wang, Kainan, 2018. "Do firms have target capital structures? Evidence from institutional monitoring," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 65-77.
  16. Brian Jacobsen & Wai Lee, 2021. "Macroeconomics and the value premium," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 241-252, July.
  17. Eero J. Pätäri & Timo H. Leivo & Janne Hulkkonen & J. V. Samuli Honkapuro, 2018. "Enhancement of value investing strategies based on financial statement variables: the German evidence," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 813-845, October.
  18. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
  19. Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017. "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 19-35.
  20. Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.
  21. Jarno Tikkanen & Janne Äijö, 2018. "Does the F-score improve the performance of different value investment strategies in Europe?," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 495-506, December.
  22. Walkshäusl, Christian, 2015. "Equity financing activities and European value-growth returns," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 27-40.
  23. Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers on Economics 3/2018, University of Southern Denmark, Department of Economics.
  24. Werner Gleißner & Thomas Günther & Christian Walkshäusl, 2022. "Financial sustainability: measurement and empirical evidence," Journal of Business Economics, Springer, vol. 92(3), pages 467-516, April.
  25. Chi Cheong Allen Ng & Jianfu Shen, 2020. "Quality investing in Asian stock markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 3033-3064, September.
  26. Chung, Chune Young & Hur, Seok-Kyun & Liu, Chang, 2019. "Institutional investors and cost stickiness: Theory and evidence," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 336-350.
  27. Demmer, Matthias, 2015. "Improving profitability forecasts with information on earnings quality," Discussion Papers 2015/16, Free University Berlin, School of Business & Economics.
  28. H. J. Turtle & Kainan Wang, 2017. "The Value In Fundamental Accounting Information," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(1), pages 113-140, March.
  29. Ahmad, Fawad & Oriani, Raffaele, 2022. "Investor attention, information acquisition, and value premium: A mispricing perspective," International Review of Financial Analysis, Elsevier, vol. 79(C).
  30. Nusret Cakici & Sris Chatterjee & Ren-Raw Chen, 2019. "Default Risk and Cross Section of Returns," JRFM, MDPI, vol. 12(2), pages 1-15, June.
  31. Maria Elisabete Neves & Mário Abreu Pinto & Carla Manuela de Assunção Fernandes & Elisabete Fátima Simões Vieira, 2021. "Value and growth stock returns: international evidence (JES)," International Journal of Accounting & Information Management, Emerald Group Publishing Limited, vol. 29(5), pages 698-733, October.
  32. Lee, Charles M.C. & So, Eric C., 2017. "Uncovering expected returns: Information in analyst coverage proxies," Journal of Financial Economics, Elsevier, vol. 124(2), pages 331-348.
  33. Zihang Peng, 2023. "Do risk exposures explain accounting anomalies? A new testing method," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(3), pages 2965-2983, September.
  34. Irfan Safdar & Michael Neel & Babatunde Odusami, 2022. "Accounting information and left-tail risk," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1709-1740, May.
  35. Sampan Nettayanun, 2016. "Value Investing: Circle of Competence in the Thai Insurance Industry," PIER Discussion Papers 46, Puey Ungphakorn Institute for Economic Research.
  36. Mao, Yifei, 2021. "Managing innovation: The role of collateral," Journal of Accounting and Economics, Elsevier, vol. 72(1).
  37. Federico Gagliolo & Gabriele Cardullo, 2020. "Value Stocks and Growth Stocks: A Study of the Italian Market," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 7-15.
  38. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017. "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, vol. 30(C), pages 66-95.
  39. Anwer S. Ahmed & Irfan Safdar, 2018. "Dissecting stock price momentum using financial statement analysis," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 3-43, November.
  40. Chune Young Chung & Chang Liu & Kainan Wang & Blerina Bela Zykaj, 2015. "Institutional Monitoring: Evidence from the F-Score," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(7-8), pages 885-914, September.
  41. Eero J. Pätäri & Timo H. Leivo & Sheraz Ahmed, 2022. "Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 321-367, September.
  42. Anwer S. Ahmed & Irfan Safdar, 2017. "Evidence on the Presence of Representativeness Bias in Investor Interpretation of Consistency in Sales Growth," Management Science, INFORMS, vol. 63(1), pages 97-113, January.
  43. Claudio E. Serur & Julián R. Siri & Juan A. Serur & José P. Dapena, 2019. "Unraveling the value premium: a reward for risk or mispricing?," CEMA Working Papers: Serie Documentos de Trabajo. 704, Universidad del CEMA.
  44. Navío-Marco, Julio & Serrano Calle, Silvia & Solórzano-García, Marta, 2017. "Analysis of glamorous acquisitions in the telecommunications sector: Overvaluation or success?," 28th European Regional ITS Conference, Passau 2017 169487, International Telecommunications Society (ITS).
  45. Srinivasan, Shweta, 2020. "Foreign competition and acquisitions," Journal of Corporate Finance, Elsevier, vol. 60(C).
  46. Christian Walkshäusl, 2020. "Piotroski’s FSCORE: international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 106-118, March.
  47. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012. "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers 18555, National Bureau of Economic Research, Inc.
  48. Jiang, Fuwei & Jin, Fujing & Tang, Guohao, 2020. "Dissecting the effectiveness of firm financial strength in predicting Chinese stock market," Finance Research Letters, Elsevier, vol. 32(C).
  49. Huang, Yuan & Lam, F.Y. Eric C. & Wei, K.C. John, 2014. "The q-theory explanation for the external financing effect: New evidence," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 69-81.
  50. Xi Chen & Yang Ha (Tony) Cho & Yiwei Dou & Baruch Lev, 2022. "Predicting Future Earnings Changes Using Machine Learning and Detailed Financial Data," Journal of Accounting Research, Wiley Blackwell, vol. 60(2), pages 467-515, May.
  51. Aron A. Gottesman & Gady Jacoby & Huijing Li, 2017. "Value investing or investing in illiquidity? The profitability of contrarian investment strategies, revisited," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
  52. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
  53. Zhu, Zhaobo & Sun, Licheng & Yung, Kenneth, 2020. "Fundamental strength strategy: The role of investor sentiment versus limits to arbitrage," International Review of Financial Analysis, Elsevier, vol. 71(C).
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