Fundamental‐based market strategies

Angelo Aspris*, Nigel Finch, Sean Foley, Zachary Meyer

*Corresponding author for this work

Research output: Contribution to journalArticle

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.
Original languageEnglish
Pages (from-to)380-392
Number of pages13
JournalAustralian Accounting Review
Volume23
Issue number4
DOIs
Publication statusPublished - Dec 2013
Externally publishedYes

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