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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 type | Article | ||||
| Journal or Publication Title | Journal of Asset Management | ||||
| Publisher: | Palgrave Macmillan Ltd. | ||||
|---|---|---|---|---|---|
| Volume: | 21 | ||||
| Number of Issue or Book Chapter: | 2 | ||||
| Page Range: | pp. 106-118 | ||||
| Date | 9 March 2020 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) | ||||
| Identification Number |
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| Keywords | FSCORE, Fundamental analysis, Stock returns, Return predictability, International markets | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-440197 | ||||
| Item ID | 44019 |
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