【出版时间及名称】：JPM-QUANT CONCEPTS-WHEN LOSERS BECOME WINNERS-100303
      【作者】：jpm
      【文件格式】：pdf
      【页数】：73
      【目录或简介】：
When Losers become Winners
Are Loss Makers bad value?
“When Losers become Winners” investigates the behavioural profile and return
performance of companies around periods of EBIT loss.
Our Asia colleagues demonstrated that, loss makers outperform expensive stocks
(those trading on high PE multiples). This also holds in Asia ex Japan, Japan, and
more subtly in Europe. In the US, as well as Australia, we find that loss makers
underperform expensive stocks.
Periods of loss suggest underweight positions in the company. Surprisingly, this
position need not be altered when a company emerges from loss. In Australia we
found no evidence of a ‘recovery trade’ as loss makers return to profitability.
Figure 1: MSCI World, Actual Earnings Yield – Does this hold in Australia?
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Source: Reuters, MSCI, J.P. Morgan
Literature Reviews
1. The Negative Earnings Effect
2. Ambiguity, Information Quality and Asset Pricing
3. Do Stock Mergers Create Value for Acquirers?
4. Dividends and Momentum, Asset Bubbles and Market Crisis