TARFA: A Novel Approach to Targeted Accounting Range Factor Analysis for Asset Allocation

TARFA:一种用于资产配置的目标会计范围因子分析的新方法

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Abstract

The valuation of companies has long been a cornerstone of financial analysis and investment decision-making, offering critical frameworks for investors to gauge a firm's worth and evaluate the relative value of future income streams within a specific industry or sector. In this work we propose a new valuation framework by integrating traditional and modern valuation approaches, providing actionable insights for investors and analysts seeking to optimize asset allocation and portfolio performance. We introduce a novel framework (TARFA) to comparable company valuation by identifying investor-preferred return-driving points for accounting-based factors. Through an analysis of 68 commonly used accounting measures, the study identifies three key factors that drive superior returns. The results of the TARFA framework demonstrate that both general and sector-specific models consistently outperformed population returns, with the general model showing superior performance in broader market contexts. The study also highlights the stability of key financial ratios over time and introduces the Relative Equity Score, further enhancing the model's ability to identify undervalued equities.

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