Fundamental Based Market Strategies

23 Pages Posted: 12 Mar 2013

See all articles by Angelo Aspris

Angelo Aspris

The University of Sydney - Discipline of Finance; University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Nigel Finch

Saki Partners

Sean Foley

Macquarie University

Zachary Meyer

Greenhill & Co. Australia

Date Written: March 11, 2013

Abstract

A pronounced body of literature has raised the possibility that portfolio outperformance based on a simple accounting-based investment strategy can persist through time because markets may ignore and potentially misinterpret financial market signals. Employing a fundamental based strategy, we show that superior performance can be earned consistently through time by identifying and investing in firms with more favourable performance and credit signals. The strength of the portfolios are additionally characterised by the ability of the strategies to avoid firms with poor future prospects. These findings are robust across varying time periods after both transaction costs and related market constraints are considered.

Keywords: Fundamental analysis, market efficiency, F-Score, G-Score

JEL Classification: G14, G31

Suggested Citation

Aspris, Angelo and Aspris, Angelo and Finch, Nigel and Foley, Sean and Meyer, Zachary, Fundamental Based Market Strategies (March 11, 2013). Available at SSRN: https://ssrn.com/abstract=2231809 or http://dx.doi.org/10.2139/ssrn.2231809

Angelo Aspris (Contact Author)

The University of Sydney - Discipline of Finance ( email )

P.O. Box H58
Sydney, NSW 2006
Australia

University of Sydney - Discipline of Finance ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Nigel Finch

Saki Partners ( email )

Australia

Sean Foley

Macquarie University ( email )

North Ryde
Sydney, New South Wales 2109
Australia
0417702600 (Phone)

Zachary Meyer

Greenhill & Co. Australia ( email )

Level 34 The Chifley Tower
2 Chifley Square
Sydney, New South Wales 2028
Australia

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