Should Investors Focus Their Attention on the Japanese Financial Statement
Should Investors Focus Their Attention on the Japanese Financial Statement
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DOI：
10.2139/ssrn.2820661
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发表时间：
2016-02
期刊：
影响因子：
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通讯作者：
Junjian Gu;H. D. Semba
中科院分区：
文献类型：
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作者：
Junjian Gu;H. D. Semba
本地和海外投资者对成熟和发达的日本股市环境非常感兴趣。由于一些财务信息是私人信息，很难收集，公布财务报表可能是投资者更好地了解日本公司的唯一有效途径。然而，很少有文章研究日本财务报表的基本面分析。本研究旨在通过对日本财务报表的基本面分析，引起投资者对如何提高投资绩效的关注。此外，这项研究还可以通过改进基本分析方法的某些方面为全球研究人员提供有价值的贡献。在本研究中，我们使用横截面模型(Logit模型)来检验公司股价(提前一年的盈利增长)与从财务报表中选取的大量变量之间的关系，并在此基础上建立了两种适用于日本市场的公司估值模型来预测股票收益。在此基础上，我们构建了三种基于估值模型的投资组合，并从中找出了一些有意义的投资组合，从而得到了更好的交易策略。我们发现，通过区分被低估和被高估的股票，并预测未来一年的收益变化，有可能获得异常利润。我们还发现，两种不同模型(横截面模型和Logit模型)的组合结果具有较高的超额盈利潜力，这证实了交易策略之间存在建模协同效应。进一步的分析结果表明，另类交易策略和子样本分析在某些方面可以提高交易的盈利能力。我们的方法和发现可能会激发投资者和研究人员对基于财务报表的基本面分析的热情。
Local and overseas investors have a high interest in the mature and developed Japanese stock market environment. Since some financial information is private information and hard to collect, published financial statements may be the only effective way for investors to better understand Japanese firm. However, few articles investigate the fundamental analysis of Japanese financial statements. This study aims to raise investors’ attention on how to improve their investment performance by using fundamental analysis on the Japanese financial statement. In addition, this study can provide valuable contribution to global researchers by improving some aspects of fundamental analysis methodologies. In this study, we use the cross-sectional model (logit model) to test the relationship between firms’ stock price (one-year-ahead earnings increase) and massive of variables picked from financial statements, and we then develop two types of firm valuation models for predicting stock returns, which is suitable for the Japanese market. Furthermore, we construct three kinds of investment portfolios based on the valuation models, and we find some meaningful ones among those, thus lead to better trading strategies. We find that there is a potential for making abnormal profits by distinguishing between undervalued and overvalued stocks, and forecasting one-year-ahead earnings changes. We also find that there is a relatively higher potential for making abnormal profits by combining the results of two different models (cross-sectional and logit model), which confirm that there is a modeling synergy effect between the trading strategies. The results of further analysis show that alternative trading strategies and subsample analysis in some aspects can increase trading profitability. Our methods and findings may inspire both investor and researchers’ enthusiasm for fundamental analysis based on financial statements.