장부가-시가 효과와 기업가치평가오류

This study examines whether applying fundamental analysis to value and glamour stocks can discriminate firms with strong performance and weak performance in each value and glamour groups. The BM(Book-to-Market) effect has been well documented in prior literature, showing that a portfolio of high BM firms(value stocks) tends to outperform a portfolio of low BM firms(glamour stocks). While the existence of the phenomenon appears to be robust, there is a considerable disagreement among researchers regarding the source of the differential return performance. While Fama and French(1992) argue the returns reflect unobserved risk factors, Lakonishok, Shleifer and Vishny(1994) ascribe it to mispricing. Fama and French(1992) argue that BM ratio represents financial distress risk and the return for high BM firms reflects the compensation for the risk. An inverse relation between BM ratios and future earnings and future growth rates as reported by Fama and French(1992) and Penman(1996) is consistent with this risk-based explanation. However, mispricing-based explanation for BM effects contend that the BM ratios reflect systematically pessimistic and optimistic performance expectations for value and glamour stocks. Under this explanation, the return performances for value and glamour stocks as indicated in BM effects are the price corrections arising from the reversal of expectation errors. Investors are fixated on firm's historical fundamentals and tend to overlook the mean-reverting tendencies of financial performance, indicating that stock prices deviate from fundamental value. The deviation of stock price from fundamental value are corrected as investors unravel the biased expectations in response to the arrival of new information, giving rise to the return patters as observed in the BM effect. In other words, BM effects are related to the systematic errors in market expectations about fundamental value. Thus, once we detect stocks with systematic expectation errors by comparing fundamental value with market expectations as reflected in BM rations, we can separate winners from losers in each group of value and glamour stocks. And financial statement analysis is employed to estimate the fundamental value.