Social innovation
Social innovation

Data analysis using a variety of information disclosed bycompanies
Graduate School of Economics
Associate Professor Katsuhiko Muramiya
Researchmap https://researchmap.jp/murarmiya?lang=en

Abstract
For investors, financial statement information is one of the mostuseful sources for decision-making. With this information, investors
can learn about a company’s future prospects to screen for desirable investments. In theory, information that affects a company’sfuture prospects should be incorporated into its stock price in atimely manner. In reality, the stock price of a firm with specific characteristics may differ from its true fundamental value. Using financial statement information, I estimate the appropriate fundamental
values of stocks and identify those that deviate from current stock
prices. Thus, a trading strategy that can produce better investment
performance in the stock market can be investigated.

The third is a research project that I am currently working on
to visualize companies’ commitment to ESG and SDGs. In thisproject, I attempt to build a platform that allows people to make informed decisions about their investments and consumption.

▍ Background & Results

Social innovation

Suppose that the stock prices of excellent companies are currently undervalued. If we can find those undervalued stocks by applying a fundamental analysis and invest in them, the stock prices
will converge to the fundamental values eventually. As a result, thestock prices of excellent companies will increase. Consequently,
these companies will be able to attract more funds and expand
their businesses. In other words, the capital allocation efficiency offinancial markets is promoted through this process. This study issignificant because it could solve the problem of financial market
inefficiency.
If more people were to acquire the skills for analyzing financial
and stock price data, then a more efficient capital allocation could
be achieved in financial markets. To this end, I am currently focusing on data science education, including authoring an introductory
book with Professor Akitada Kasahara, an outstanding professor atOsaka University.

▍ Significance of the research and Future perspective
In this section, I briefly introduce three subjects of the research
conducted. The first is research on trading strategies in which I applied a financial statement analysis. If stock prices at any time fullyreflect all publicly available information, then no trading strategy
can be profitable. However, as shown in Figure 1, when companies
are ranked based on specific information, a higher (lower) realized
future stock return is observed for the highest (lowest) ranking
group. This trading strategy is based on published financial statement information, and the results suggest that a fundamental analysis is helpful in terms of actual stock markets.
The second research is to estimate the investors' expected return for each stock. Their expected return is a hurdle rate that acompany must achieve. An appropriate expected returns will help
companies grasp their goals and promote improved corporate
management. As shown in Figure 2, I could develop a method toestimate expected returns that also explains the movements of theactual stock market, compared to the CAPM that is frequently usedin practice.

The second research is to estimate the investors' expected return for each stock. Their expected return isa hurdle rate that a company must achieve. An appropriate expected returns will help companies grasp
their goals and promote improved corporate management. As shown in Figure 2, I could develop amethod to estimate expected returns that also explains the movements of the actual stock market,

The
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investors'
compared
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the CAPM thatfrequently theused■Figurein practice.1expected return for each stock. Their expected retu
a■Figure
hurdle 2rate that a company must achieve. An appropriate expected returns will help companies gtheir goals and promote improved corporate management. As shown in Figure 2, I could develo

method to estimate expected returns that also explains the movements of the actual stock mar
compared to the CAPM that is frequently used in practice.
■Figure 2■Figure 2
The third is a research project that I am currently working on to visualize companies’ commitment to ESGand SDGs. In this project, I attempt to build a platform that allows people to make informed decisions

The third is a research project that I am currently working on to visualize companies’ commitment toand SDGs. In this project, I attempt to build a platform that allows people to make informed decis

P a t e n t
Kasahara, Akitada and Katsuhiko Muramiya (2022), Empirical Accounting and Finance in R, Shinsei-Sha (in Japanese).
T r e a t i s e Ono, Shin-Ichiro and Katsuhiko Muramiya (2017). Estimating time-varying expected returns on equity using clean surplus relation, Security Analysts
Journal, 55 (10), 70-81 (in Japanese).
URL
K e y w o r d fnancial accounting, financial markets, data science