By Marc Richard Reinganum
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Extra info for Selecting Superior Securities
Sample text
Only one company sold at a price less than half its previous two-year high. More than 80 percent of the sample was selling within 15percent of its previous two-year high. Clearly, these firms did not sell at low prices relative to their historical values. Indeed, just the opposite was true. An investment strategy that selected stocks that were selling within 15 percent of their maximum price during the previous two-year period would have reflected a common characteristic among these 222 stock market winners.
These average changes, however, are heavily influenced by several firms that experienced immense percentage changes in Fundamental and Technical Characteristics of the 222 Winners quarterly earnings. 1 percent, and about three-fourths of the 222 experienced quarterly changes of less than 42 percent. A most noticeable feature of these data are the changes between the buy-2 and buy-1 quarters. The accounting data from these quarters are the last that could be used as a leading indicator of the forthcoming price advance.
As might be expected, many more buy signals were generated with only three filters than with nine. The threescreen filter rule generated 13,080 buy signals compared to the 453 buy signals generated by the nine-filter rule. Clearly, the other six investment screens severely limited the selection of firms. But did these other six screens seem to matter? The performance results for the investment strategy with only three filters are shown in Table 23. These results should be compared to those in Table 17.