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Walkshäusl, Christian

Piotroski’s FSCORE: international evidence

Walkshäusl, Christian (2020) Piotroski’s FSCORE: international evidence. Journal of Asset Management 21 (2), pp. 106-118.

Date of publication of this fulltext: 09 Nov 2020 10:05
Article
DOI to cite this document: 10.5283/epub.44019


Abstract

Almost 20 years after its publication, Piotroski’s (J Account Res 38:1–41, 2000) FSCORE, the composite measure of the firm’s fundamental strength remains a strong predictor of subsequent stock returns and future profitability in international markets over the 2000–2018 period. Across developed non-US countries as well as emerging countries, high-FSCORE firms significantly outperform low-FSCORE ...

Almost 20 years after its publication, Piotroski’s (J Account Res 38:1–41, 2000) FSCORE, the composite measure of the firm’s fundamental strength remains a strong predictor of subsequent stock returns and future profitability in international markets over the 2000–2018 period. Across developed non-US countries as well as emerging countries, high-FSCORE firms significantly outperform low-FSCORE firms by about 10% per year. Furthermore, FSCORE preserves its return-predictive power in all size segments after controlling for established cross-sectional return determinants, such as firm size, book-to-market, momentum, operating profitability, and investment. The findings are consistent with the view that fundamental information is only gradually incorporated into prices by investors.



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Details

Item typeArticle
Journal or Publication TitleJournal of Asset Management
Publisher:Palgrave Macmillan Ltd.
Volume:21
Number of Issue or Book Chapter:2
Page Range:pp. 106-118
Date9 March 2020
InstitutionsBusiness, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder)
Identification Number
ValueType
10.1057/s41260-020-00157-2DOI
KeywordsFSCORE, Fundamental analysis, Stock returns, Return predictability, International markets
Dewey Decimal Classification300 Social sciences > 330 Economics
StatusPublished
RefereedYes, this version has been refereed
Created at the University of RegensburgYes
URN of the UB Regensburgurn:nbn:de:bvb:355-epub-440197
Item ID44019

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