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Piotroski’s FSCORE: international evidence
Walkshäusl, Christian
(2020)
Piotroski’s FSCORE: international evidence.
Journal of Asset Management 21 (2), S. 106-118.
Veröffentlichungsdatum dieses Volltextes: 09 Nov 2020 10:05
Artikel
DOI zum Zitieren dieses Dokuments: 10.5283/epub.44019
Zusammenfassung
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
| Dokumentenart | Artikel | ||||
| Titel eines Journals oder einer Zeitschrift | Journal of Asset Management | ||||
| Verlag: | Palgrave Macmillan Ltd. | ||||
|---|---|---|---|---|---|
| Band: | 21 | ||||
| Nummer des Zeitschriftenheftes oder des Kapitels: | 2 | ||||
| Seitenbereich: | S. 106-118 | ||||
| Datum | 9 März 2020 | ||||
| Institutionen | Wirtschaftswissenschaften > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) | ||||
| Identifikationsnummer |
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| Stichwörter / Keywords | FSCORE, Fundamental analysis, Stock returns, Return predictability, International markets | ||||
| Dewey-Dezimal-Klassifikation | 300 Sozialwissenschaften > 330 Wirtschaft | ||||
| Status | Veröffentlicht | ||||
| Begutachtet | Ja, diese Version wurde begutachtet | ||||
| An der Universität Regensburg entstanden | Ja | ||||
| URN der UB Regensburg | urn:nbn:de:bvb:355-epub-440197 | ||||
| Dokumenten-ID | 44019 |
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