Using book-to-market ratio, accounting strength, and momentum to construct a value investing strategythe case of Spain

  1. Carlos Forner 1
  2. Pablo J. Vázquez Veira 1
  1. 1 Dpto. Economía Financiera y Contabilidad, University of Alicante
Revista:
Revista española de financiación y contabilidad

ISSN: 0210-2412

Año de publicación: 2019

Volumen: 48

Número: 1

Páginas: 21-49

Tipo: Artículo

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Otras publicaciones en: Revista española de financiación y contabilidad

Resumen

El débil premio value-growth en el mercado bursétil español resalta la importancia de mejorar la fortaleza contable de la estrategia value-growth. Esta fortaleza contable es necesaria para detectar potenciales errores en las expectativas del mercado que conduzcan a una incorrecta valoración de las acciones. Cuando los títulos value-growth son seleccionados entre aquellos cuya fortaleza contable es incongruente con las expectativas de mercado reflejadas en su ratio book-to-market, la estrategia value-growth se vuelve altamente rentable. Estos resultados son consistentes con la evidencia observada en el mercado de Estados Unidos y demuestra que los mercados bursétiles con un premio value-growth débil no estén necesariamente libres de errores en sus expectativas. También demostramos que el efecto momentum permite seleccionar mejor el momento oportuno en el que comprar y vender estas acciones incorrectamente valoradas, lo cual supone una mejora en las rentabilidades y una reducción en el tiempo necesario para alcanzar dichos beneficios.

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This work was supported by the Universidad de Alicante [VIGROB-056].

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