Fundamental‐based Market Strategies |
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Authors: | Angelo Aspris Nigel Finch Sean Foley Zachary Meyer |
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Institution: | 1. University of Sydney Business School;2. Analyst, , Greenhill Caliburn |
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Abstract: | A significant 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 these 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. |
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