2009年11月亚太证券市场投资策略报告

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【出版时间及名称】：2009年11月亚太证券市场投资策略报告
        【作者】：摩根大通
        【文件格式】：PDF
        【页数】：54
        【目录或简介】：
Table of Contents
Are loss makers indeed bad value?........................................4
PE and the negative earnings discontinuity .................................................................4
Do not short loss makers as a group .....................................7
How widely should you apply this rule? ................................7
Why negative earners are not the worst.................................8
Appendices
Appendix I: Earnings factors we tested .................................9
Price to Actual Earnings (last reported) .......................................................................9
Price to Forward Earnings (forecasted)........................................................................9
Price to Graham-Dodd Earnings (average 10 year earnings).......................................9
Forecast Earnings composite (with relative measures) ................................................9
Appendix II: Backtesting these Factors ...............................10
Data Source................................................................................................................10
Investigation Universes..............................................................................................10
How we test these factors ..........................................................................................10
Appendix III: Full Back-Test Results.....................................11
Actual Earnings Yield................................................................................................12
Historical EY in NORTH AMERICA .......................................................................12
Historical EY in NORTH AMERICA excluding negatives.......................................13
Historical EY in MSCI WORLD...............................................................................14
Historical EY in MSCI WORLD excluding negative earners ...................................15
Historical EY in MSCI GEM.....................................................................................16
Historical EY in MSCI GEM excluding negative earners .........................................17
Historical EY in MSCI GDM ....................................................................................18
Historical EY in MSCI GDM excluding negative earners.........................................19
Historical EY in JP ....................................................................................................20
Historical EY in JP excluding negative earners .........................................................21
Historical EY in EUROPE.........................................................................................22
Historical EY in EUROPE excluding negative earners .............................................23
Historical EY in ASIAPAC EX JP ............................................................................24
Historical EY in ASIAPAC EX JP excluding negatives............................................25
Historical EY in ASIA EX JP TOP 250 ....................................................................26
Historical EY in ASIA EX JP TOP 250 excluding negatives....................................27
Forecast Earnings Yield.............................................................................................28
Forecast EY in MSCI WORLD.................................................................................28
Forecast EY in MSCI WORLD excluding negatives.................................................29
Forecast EY in MSCI GEM.......................................................................................30
Forecast EY in MSCI GEM excluding negative earners ...........................................31
Forecast EY in MSCI GDM ......................................................................................32
Forecast EY in MSCI GDM excluding negative earners...........................................33
Forecast EY in EUROPE...........................................................................................34
Forecast EY in EUROPE excluding negative earners ...............................................35
Forecast EY in NORTH AMERICA .........................................................................36
Forecast EY in NTH AMERICA excluding negative earners ...................................37
Forecast EY in ASIAPAC EX JP ..............................................................................38
Forecast EY in ASIAPAC EX JP excluding negative earners...................................39
Forecast EY in ASIA EX JP TOP 250.......................................................................40
Forecast EY in ASIA EX JP TOP 250 exc. negative earners ....................................41
Forecast EY in JP.......................................................................................................42
Forecast EY in JP excluding negative earners ...........................................................43
Appendix IV: Back-Testing Methodology.............................44
Data...........................................................................................................................44
Sampling ....................................................................................................................44
Analysis .....................................................................................................................45
The JPMQ back test engine .......................................................................................46
Viewing the results ....................................................................................................47

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