Financial Statement Information, the Prediction of Book Return on Owners' Equity and Market Efficiency: The Swedish Case
利用瑞典数据，检验财务报表信息能否预测中期账面权益回报率变化，并评估基于预测的交易策略表现。主要策略在三年持有期内产生29%的对冲回报，但结果对回报指标选择敏感。
Abstract: Using Swedish data, this study investigates whether financial statement information can be used to predict changes in the medium‐term book return on owners' equity and subsequently evaluates the performance of trading strategies based on such predictions. A univariate prediction model based on the past book return has higher prediction accuracy than more elaborate models that include additional accounting numbers. The main trading strategy generates a hedge position return of 29% over a three‐year holding period. Interestingly, most of the return is attributable to the long position. However, the results are found to be sensitive to the choice of return metric.