Fundemental Analysis Strategy and Abnormal Return

In this article we study the usefulness of a differentiation strategy of win-lose stocks based on the fundamental factors. In this regard, seven fundamental signals (S-Scores) including three profitability signals, two variability signals and two growth signals are selected based on the effectiveness of winner share purchase and loser stock sale strategies for testing the research hypotheses. We used the financial information of all the companies listed in Tehran stock exchange from 1379 to 1387. In this process, the companies which had no financial reports were excluded from the list. Finally, 2134 year-company's information is used in the research. Results indicate that there exists a significance difference between the simultaneous and the next year return of the higher group (companies with higher score) and lower group (companies with lower score) companies. In order to controls the risk factors after categorizing the companies based on their financial returns, the difference among two groups with higher and lower scores was significant. Furtheremore, the difference between the periodical or time series financial returns in two groups mentioned is proved to be significant