Bilanço ihtiyatlılığının hisse fiyatlarına etkisi

The present study delves into the examination of various balance sheet measures and their significance in the cross-sectional pricing of stocks, to provide unique insights into the understanding of fınancial risk and its relation to balance sheet metrics. Based on these metrics, our study also sheds light on the importance and stability of a composite factor and its influence on stock prices. The fındings of univariate portfolio sorts reveal that BLC (along with its parameters CDA, WCA, and LTDA) is a strong indicator of stock retums, corresponding to statistically signifıcant seven-factor alphas for the high-low portfolios. Consistent results among bivariate portfolio sorts also support the BLC factor strength. The outcomes of Fama-Macbeth regressions for separate BLC parameters indicate positive risk premiums for each parameter when tested against ten diffe rent return predictors. Among other balance sheet measures, LTDA is the only BLC parameter associated with the capability to isolate significant risk premiums not proxied by extant anomalies in the literature. Comprehensive findings that are also supported by the summary statistics collectively indicate mixed effects of risk and underreaction-driven mispricing to explain the abnormal stock retums associated with the high-BLC characteristics of their issuers. The fındings reveal high-performing investment strategies based on these metrics, and collectively favor more conservative financial policies for the stock-issuing firms. Keywords: Balance Sheet Conservativity, Cash-to-Assets Ratio, Financial Risk and Mispricing, Long-Term Debt-to-Assets Ratio, Working Capital-to-Assets Ratio