Abstract

https://ssrn.com/abstract=2895688
 


 



The Value in Fundamental Accounting Information


Harry J. Turtle


Colorado State University, Fort Collins - Department of Finance & Real Estate

Kainan Wang


University of Toledo

January 8, 2017

Journal of Financial Research, Forthcoming

Abstract:     
We examine the role of fundamental accounting information in shaping portfolio performance. Using a conditional performance approach, we address the concern that the positive relationship between Piotroski’s F Score and ex post returns is due to risk compensation. Our results show that portfolios of firms with strong fundamental underpinnings generate significant positive and time-varying performance. One potential source of these performance gains is an under-reaction to public information (such as momentum and F Score) when information uncertainty (proxied by size, illiquidity, and idiosyncratic volatility) is high. In addition, conditional performance benefits seem prevalent in periods of high investor sentiment.

Number of Pages in PDF File: 47

Keywords: Fundamental Valuation, Conditional Alpha, Portfolio Performance, Information Uncertainty

JEL Classification: G11, G12, G14, M41


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Date posted: January 10, 2017  

Suggested Citation

Turtle, Harry J. and Wang, Kainan, The Value in Fundamental Accounting Information (January 8, 2017). Journal of Financial Research, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2895688

Contact Information

Harry J. Turtle
Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )
Fort Collins, CO 80523
United States
Kainan Wang (Contact Author)
University of Toledo ( email )
Department of Finance
Mail Stop 103
Toledo, OH 43606
United States
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