The Relationship Between Fundamental Analysis and Stock Returns Based on the Panel Data Analysis; Evidence from Karachi Stock exchange (KSE)
The Relationship Between Fundamental Analysis and Stock Returns Based on the Panel Data Analysis; Evidence from Karachi Stock exchange (KSE)
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基于面板数据分析的基本面分析与股票收益关系；
DOI：
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发表时间：
2018
期刊：
影响因子：
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通讯作者：
Gohar Ali
中科院分区：
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作者：
Shakeel Muhammad;Gohar Ali
在过去的几十年里，基本面分析在资本市场研究人员中受到了极大的欢迎。它使用当前和过去的财务报告（Piotroski 2000，2004;法马和法国，2004; Elleuch 2009，Seng 2012），沿着政治和经济数据，以便为公司分配内在价值，并帮助识别错误定价的证券（Kothari，2001）。基本面分析和技术分析都被用来预测股票收益率，目的是在股票定价过低时买入股票，在股票定价过高时卖出股票。我们的研究旨在研究历史会计数据在使用基本面分析预测未来股票收益率方面的能力，特别是在新兴经济体，即巴基斯坦。收集了2007年至2017年11年间在卡拉奇证券交易所（KSE）上市的115家非金融公司的数据，并提供了连续10年的数据。本文使用了多个领域的五个指标，即盈利能力比率，流动性比率，杠杆比率和市场基础比率。本研究采用惩罚性数据分析（共同效应模型、固定效应模型和随机效应模型）进行分析。研究结果表明，基本面分析可以预测巴基斯坦上市公司的未来股票收益率，并最终得出的含义和未来的方向。关键词：基本面分析，刑事数据分析，新兴经济体，即巴基斯坦，
Fundamental analysis has gained huge popularity among capital markets researchers in last decades. It uses current and past financial reports (Piotroski 2000, 2004; Fama and French, 2004; Elleuch 2009, Seng 2012), along with political and economic data in order to assign intrinsic value to firms and help to identify mispriced securities (Kothari, 2001). Both fundamental and technical analyses are used to forecast stock returns with the aim to buy stock when they are under-priced and sell when they are overpriced.Our study aimed to investigate the ability of the historical accounting data in predicting future stock returns using fundamental analysis especially in emerging economy i.e. Pakistan. Data were collected for the eleven-year period from 2007 to 2017 for 115 non-financial companies listed on Karachi stock exchange (KSE) with available ten years consecutive data. This paper utilizes five indicators from multiple areas i.e. profitability ratios, liquidity ratios, leverage ratios, and market-based ratios. For analysis, this study used penal data analysis (common effect model, fixed effect model, and random effect model). The results indicates that the fundamental analysis can predict future stock returns in Pakistani listed companies and end up with the implications and future directions. Keywords : Fundamental analysis, Penal data analysis, emerging economy i.e. Pakistan,