基本面分析在中国A股市场有用吗?——来自季度财务报表的证据

The Value of Fundamental Analysis in Chinese A-share Stock Market:Evidence from Quarterly Financial Statement

本文基于季度财务报表构建六组基本面指标,展示了在中国A股市场进行基本面分析的价值。研究发现,利用基本面指标能够有效预测未来盈余,并且分析师和投资者均未充分意识到基本面指标对未来盈余的指示作用,从而导致可预测的分析师盈余预测偏差和未来股票收益。利用基本面综合指标构建投资策略,套利组合可获得约12.7%的年化收益。本文的结论对于理解会计信息价值、提高我国证券市场效率具有重要意义。

This paper investigates the value of fundamental analysis in Chinese A-share stock market.Based on six fundamental signals from quarterly financial statements,we show that fundamental signals are able to predict future earnings.Furthermore,both analysts and investors fail to fully recognize the value of fundamental signals,resulting in predictable earnings forecast errors and future stock returns.Hedge portfolios based on composite fundamental signal earn annual return of 12.7%.Our findings shed lights on the value of accounting information as well as the promotion of market efficiency.