목표주가괴리율을 활용한 투자전략과 AFS기본변수의 정보성

This study investigates whether AFS (Aggregate Fundamental Score), a summary measure of accounting information on financial statements, is useful in identifying valuation errors implicit in stock price targets of financial analysts. AFS is measured as a single score by aggregating the information of key accounting items (i.e., returns on net operating assets, growth of net operating assets, changes in asset turnover or profit margins, etc.) which have predictive power on future earnings. Prior literature documents that AFS is superior in the ability to predict future returns over that of financial analysts. Nonetheless, in practice, investors tend to make an investment decision by using analysts’ forecasts information, not based on financial statement information, and to experience corporate valuation errors in various forms. This motivates the study to verify the usefulness of AFS even in a certain practical investment strategy. This study aims to examine whether AFS has a different information from future price expectation based on target stock prices. Specifically, when an investment strategy is implemented using information based on the gap between the target stock price and the current stock price as a practical situation, the forecast errors are examined in comparison to the strategy based on AFS. In addition, the analysis is conducted to see if investment performance can be improved when AFS’s informativeness is additionally considered to stock price targets-based investment strategy. That is, postulating that the high target stock price gap rate where stock price targets are overestimated but markets perceive a current stock to be under-valued contains noise that distorts corporate value, the study examines whether such valuation error can be captured by AFS information. However, whether the AFS and the target stock price gap rate has differential information about the future stock price and returns is an empirical question. Thus, this study established a null hypothesis that the performance of the investment strategy based on the target stock price gap rate is not different from that of the investment strategy that additionally considers AFS information. To test the hypothesis, this study conducts regression analysis as well as portfolio test using 3,053 firm-year observations listed on the securities market (i.e., KSE) from 2005 to 2019. The results show that the target stock price gap rate and AFS have differential information a certain degree about the future return. The portfolio analysis reveals that the higher (lower) the level of AFS within the same group is, the higher (lower) the excess returns are. And, the result of hedging the portfolio with conflicting information of AFS shows the positive (+) excess returns. Furthermore, the results of investment using portfolios that match the direction (increase/decrease) of future returns implied by both AFS and target stock price gap show a positive (+) excess returns as well. These results are consistent with the regression analysis results and are maintained even in the case of analyzing excess returns after 3 or 5 years in long term perspective. And, those findings hold even after the endogeneity problem or cross-sectional and time-series correlations of data that could lead to distortion of estimates are controlled. This means that AFS has a different information from future price expectation based on target stock prices and the investment performance can be improved when AFS’s informativeness is additionally considered. In other words, AFS can help identify ex-ante valuation errors inherent in the target stock price, and that if used in practical investment strategies, it can achieve higher investment performance by providing supplementary information in predicting future returns. This study has several contributions by showing that the usefulness of the AFS variable, which has been dealt with from an academic perspective so far, can be helpful even in the practical field. It would provide an opportunity to enhance the function of accounting information in financial statements in investment strategies, while expanding previous studies reporting the usefulness of financial statements. Meanwhile, this study analyzes using an investment strategy based on the target stock price from a practical point of view, but there is a limitation of the study in that all factors considered in the field were not reflected in the analysis. However, it is meaningful in that the study presents rather clear analysis results by designing complex situations more parsimoniously.