The Incremental Value of Qualitative Fundamental Analysis to Quantitative fundalmental Analysis: A Field Study.

摘要: The Incremental Value of Qualitative Fundamental Analysis to Quantitative Analysis: A Field Study This field study examines whether the human-judgment component fundamental analysis adds incremental information beyond a quantitative model designed identify securities that will subsequently underperform market. subject firm (the Firm) primarily focuses on financial statements and other accounting disclosure. documents abnormal returns sample 203 negative recommendations issued by analysts between February 2007 March 2010. In addition, I find qualitative element is primary driver Firm’s ability companies whose equity Firm initiates coverage almost exclusively large market capitalization with high liquidity low short interest. These unique characteristics setting increase likelihood results are not product arbitrage and/or transaction costs.