Fundamental analysis and the use of financial statement information to separate winners and losers in frontier markets: evidence from Vietnam

PurposeThe pupose of the paper is to study the usefulness of Piotroski (2000)'s F-score in separating winners and losers in Vietnam.Design/methodology/approachThe authors adopt a portfolio analysis and regression analysis on a sample of 501 of listed firms between 2009 and 2019 in Vietnam.FindingsThe authors find that a hedge strategy that buys high-F-score firms and sells low-F-score firms yield market-adjusted return of over 30 percent annually, which is statistically and economically significant. The hedge strategy based on F-score is not only profitable for value (high book-to-market [BM]) firms but also earn abnormal returns in a sample of growth (low BM) firms, suggesting that the usefulness of F-score strategy is not just a phenomenon in value firms as documented in previous literature.Research limitations/implicationsWhilst the authors' paper documents economically significant returns obtained from the F-score strategy, the authors do not examine what drives the abnormal returns.Practical implicationsThe results provide supporting evidence for the use of financial statement analysis as a screening tool to improve the performance of value investment in Vietnam stock market and for the training of financial reporting and fundamental analysis in universities.Originality/valueThe authors' research is the first study examining the F-score strategy in Vietnam that provides insights about the usefulness of fundamental analysis in separating winners and losers in a frontier market and contributes to the literature on fundamental analysis and market efficiency in emerging and frontier markets.

Analysis of the Financial Information Contained in the Texts of Current Reports: A Deep Learning Approach

An important role in the fundamental analysis is played by the acquisition and analysis of various types of information about the company. Text documents are an increasingly important source of this information. Their accurate and quick analysis is an increasingly important challenge for financial analysts. Research in the area of financial text analysis is based on sentiment analysis. The deep neural networks and the stocks’ cumulative abnormal return are used in this article to analyze the sentiment of financial texts. The proposed approach, unlike those used so far, does not require manual labeling of data or the creation of dictionaries and is free from the subjective assessment of the researcher. Taking into account the broad context of words and their meaning in financial texts, it also eliminates the problem of ambiguity of words in various contexts. The sentiment of financial texts presented in this paper is directly related to the market reaction to the information contained in these texts. For texts belonging to one of the two classes (positive or negative) with the highest probability, the deep learning model gives predictions with a precision of 62% for the positive class and 55% for the negative class. The event study results show that the sentiment calculated under the proposed method can be successfully used to determine the probable direction of the market reaction to the information contained in current reports with a 1 percent significance level. The results can be used in market efficiency research, investment strategy development or support of investment analysts using fundamental analysis.

PENERAPAN KOMBINASI METODE SAW DAN TOPSIS DALAM ANALISIS FUNDAMENTAL SAHAM BERDASARKAN RASIO KEUANGAN

Investment in stocks is one of the many options to invest. In stock investing requires a proper analysis and action so that an investor can invest according to their needs. One way is fundamental analysis. Fundamental analysis is an analysis method that focuses on key data contained in the financial statements of a company to assess the financial performance of the company.This research aims to design a process of fundamental analysis of stocks based on the analysis of financial ratios, methods of SAW and TOPSIS methods. Analysis of financial ratios generally include the liquidity ratio, solvency, activity ratios, profitability ratios and the ratio of the market. Fuzzy numbers used in the method of SAW and TOPSIS to provide effectiveness in determining the value of the decision matrix. SAW method used to find the value of the normalized matrix for each criterion and TOPSIS methods used to find solutions / alternatives based on the normalized matrix. Then the design is applied in the form of a ranking system based web application.Tests conducted with 60 financial reports in the period from 2013 to 2015 and is divided into 20 issuers. The accuracy of the test results using Spearman correlation ranking based on Springate models obtained the lowest value of 85.45% and the largest 100%.

Synthesis of stable coalitions in the economy based on fundamental criteria of the portfolio theory

Subject. The article outlines basic principles of a mathematical model for formation of stable coalitions in the economy at the interstate level. Objectives. We focus on developing a mathematical model to build such coalitions. Methods. The study employs the portfolio theory, risk-return model, correlation and regression analysis, technical and fundamental analysis. The proposed model rests on fundamental provisions of creating a multicomponent, widely diversified investment portfolio. The model uses the key concepts, like expected profitability, risk level, industry diversification and hedging, in combination with the synthesis of a diversified group of leading commodity indices. Results. We show possibilities of using internal (based on the country’s indices) and external (based on other countries’ indices) correlation analysis, according to data on trends in economic indices, to ensure sectoral diversification within the country and maximize the international level of sectoral diversification, respectively. We performed a fundamental analysis of the condition of economies of the countries included in the coalition, and of the countries, which are considered to be included in the coalition as appropriate. The paper assesses positive and negative factors of joint functioning of the economies of the coalition countries, from the point of view of their geographic location. Conclusions. The model makes it possible to build new optimal coalitions in the economy, to analyze the practicability of further existence of previously formed coalitions, and to update the composition of coalitions, according to trends in the world economy development.

Comparison of Technical and Fundamental Analysis Trading Disciplines on Portfoilo Performance: Short and Long Term Backtest Analysis on Borsa İstanbul National Stock Indices

The aim of this study is to comparatively analyze the backtest performances of trading disciplines applied in various portfolio baskets (Bist 30, 50 and 100) for different investment periods (short term – ytd and long term). According to the results of the analysis, it has been determined that in all trading disciplines, the investor has a higher return than the benchmark indicator in a 5-year term, that is, they can earn abnormal returns. Also, the return in the 5-year term is much higher than the 1-year and YTD returns. In the P / E & MA model, the Bist - 50 index in the 5-year period and the Bist - 100 index in the 1-year period provide the maximum return, while according to the P / E model, the Bist-30 and Bist -50 indices provide optimum returns in all maturity options. Based on these findings, it can be expected that if the trading disciplines used in this study are applied in a long term such as 5 years and on the portfolio basket consisting of Bist-30 and Bist-50 industrial stocks, it will maximize returns. In terms of risk and return, in YTD period, the sharpe and treynor ratios of the model portfolio formed in all trading disciplines except M /B trading discipline were lower than in 1 year in the 5-year investment period. This situation arose due to the increased risk of the portfolio as a result of the extended maturity and is in line with our expectations.

Performance Analysis of Investment Portfolio Strategy Using Warren Buffett, Benjamin Graham, and Peter Lynch Method in Indonesia Stock Exchange

Warren Buffett, Benjamin Graham, and Peter Lynch are three (3) famous investors’ gurus in the world that have already proved that they can outperform the market by value investing method. Method that they are using are based on fundamental analysis and they screen the company’s stock based on several key financial ratios and criteria that they found important in analyzing the company. In this project, Author conducted research and study to find out the applicability of the screening method made by the gurus in Indonesia Stock Exchange (IDX) using equally weighted method, back testing it in May 2012 until December 2020 periods, and evaluate the performance of each type of portfolios made using Sharpe ratio, Treynor ratio, and Jensen’s alpha. The result of this project is all type of these portfolios are having positive risk adjusted returns. Peter Lynch type of portfolio is having the highest annualized return 24.04 % or 613 % cumulative return, while Warren Buffett and Benjamin Graham are having annualized returns 9.42 % (or cumulative return 216.48%) and 8.3 % (or cumulative return 198.27%) respectively. Moreover, Author found that those three types of portfolios are having beta (β) nearly the same with one (1) means that the portfolios are having same risk with its systematic (market) risk.

INTRINSIC VALUE IN ASSESSING THE FAIRNESS OF IT STOCK PRICE USING FUNDAMENTAL ANALYSIS

Investors invest money in present with the expectation of making addition to the principal amount in the future. Each investor is willing to know the best instrument for investment and suitable time for that. Stock is one of the financial instruments used for making handsome return. Knowing the real value of the stock plays a vital role for gaining return, which is not an easy for the investors to compute real worth of company. Different techniques like Fundamental analysis and Technical analysis are used for deriving real value of the stock. This research focus on to assist the investor to know about the stock's worth value for investment. This research paper aims to arrive at the intrinsic value of shares for selected eight IT companies of India. It will help investors to know the intrinsic value and compare it with the market value to make decision related to buy or sell of those stocks.