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The Piotroski F†score: evidence from Australia

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  • Charles E. Hyde

Abstract

A market†neutral strategy that is long [short] stocks with a high [low] Piotroski F†score generates an index†weighted 0.8 percent pm on S&P/ASX 200 stocks and 1.4 percent pm on smaller stocks. Equal†weighted returns are higher and in all cases returns are statistically significant. However, the Carhart model alphas are not statistically significant except in the case of equal†weighted small cap portfolios. For such portfolios, however, most of the alpha comes from the short side and most institutional investors would find them uninvestable due to capacity constraints. A range of tests indicate that analyst neglect does not explain the F†score premium.

Suggested Citation

  • Charles E. Hyde, 2018. "The Piotroski F†score: evidence from Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(2), pages 423-444, June.
    • Handle: RePEc:bla:acctfi:v:58:y:2018:i:2:p:423-444
    DOI: 10.1111/acfi.12216
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    References listed on IDEAS

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    1. Eero J. Pätäri & Timo H. Leivo & Sheraz Ahmed, 2022. "Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 321-367, September.
    2. Andreas G. Koutoupis & Christos G. Kampouris & Athanasia V. Sakellaridou, 2022. "Can Financial Strength Indicators Form A Profitable Investment Strategy? The Case Of F-Score in Europe," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 21(3), pages 355-372, September.

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