Fundamental Analysis: Combining the Search for Quality with the Search for Value
研究了将基于质量（如FSCORE、GSCORE）和基于价值（如V/P比率、PEG比率）的基本面分析策略结合，发现二维方法能显著提升对冲收益，且优于需要长历史数据的常见方法。
ABSTRACT Using cross‐sectional forecasts, we combine fundamental analysis strategies based on quality, such as the FSCORE from Piotroski (2000) and the GSCORE from Mohanram (2005), with strategies based on value, such as the V/P ratio from Frankel and Lee (1998) and the PEG ratio. While all four strategies generate significant hedge returns, combining quality‐driven and value‐driven approaches substantially improves the efficacy of fundamental analysis. Our parsimonious two‐dimensional approach can be applied to a wide cross section of stocks and outperforms common practitioner approaches that require a lengthy time series of data. The improvements in hedge returns hold for a variety of partitions and are robust to controls for risk factors and other determinants of stock returns. While the efficacy of fundamental analysis has declined in recent years, this can partially be attributed to investors arbitraging away excess returns by investing in fundamental strategies.