earticle

영어

This paper addresses the firm characteristics of the fundamental value to price anomaly. Frankel and Lee (1998) have demonstrated that the estimation of a firm value based on analysts’ earnings forecasts is more appropriate, and a strategy based on fundamental value to price (hereafter, VP) has the power to predict future returns. In an effort to understand the characteristics of the VP anomaly, I explore the differences between high VP and low VP firms with regard to firm-specific characteristics, security market characteristics, and information environments over the three years following portfolio formation. I find that firms with a high VP ratio are associated with good financial performance, high stock volatility, and a poor information environment. Specifically, firms with high VP ratios are more likely to have higher sales, earnings, core earnings, cash flow, total accruals, and research and development expenditures (R&D). Additionally, the standard deviations of these performance variables are much higher for the extreme VP portfolios than for the middle portfolios. Given the mean and variance criteria as an investment strategy, high VP stocks are more likely to have outstanding performance, but also tend to be riskier.