Lev and Thiagarajan (1993) introduce 12
financial signals widely used in analyst’s reports,
and find that most fundamental signals have
predictive power in explaining contemporaneous
stock returns of U.S. firms. Abarbanell and Bushee
(1998) show that forming investment portfolios by
longing high-score stocks and shorting low-score
stocks based on 9 fundamental signals suggested
by Lev and Thiagarajan (1993) yields significant
positive returns.