THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION
研究了基础会计信息如何影响投资组合表现，发现基本面强劲的公司组合能产生显著的正向时变收益，部分源于信息不确定性高时市场对公开信息反应不足，且这种收益在投资者情绪高涨期更明显。
Abstract We examine the role of fundamental accounting information in shaping portfolio performance. Using a conditional performance approach, we address the concern that the positive relation between Piotroski's F Score and ex post returns is due to risk compensation. Our results show that portfolios of firms with strong fundamental underpinnings generate significant positive and time‐varying performance. One potential source of these performance gains is an underreaction to public information (such as momentum and F Score ) when information uncertainty (proxied by size, illiquidity, and idiosyncratic volatility) is high. In addition, conditional performance benefits seem prevalent in periods of high investor sentiment.