A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement

Nusrat Jahan, John J. Cheh and Il-woon Kim ()
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Nusrat Jahan: Assistant Professor, Department of Accounting & Information Systems, Faculty of Business Studies, University of Dhaka.
John J. Cheh: Professor, George W. Daverio School of Accountancy, College of Business Administration, The University of Akron.
Il-woon Kim: Professor, George W. Daverio School of Accountancy, College of Business Administration, The University of Akron. OH 44325.

Journal of Economic and Financial Studies (JEFS), 2016, vol. 4, issue 1, 43-54

Abstract: We examine the investment models of Benjamin Graham and Joseph Piotroski and compare the efficacy of these two models by running backtest, using screening rules and ranking systems built in Portfolio 123. Using different combinations of screening rules and ranking systems, we also examine the performance of Piotroski and Graham investment models. We find that the combination of Piotroski and Graham investment models performs better than S&P 500. We also find that the Piotroski screening with Graham ranking generates the highest average annualized return among different combinations of screening rules and ranking systems analyzed in this paper. Overall, our results show a profound impact of accounting information on investor’s decision making.

Keywords: Investment models; Ranking; Rebalancing periods; Screening. (search for similar items in EconPapers)
JEL-codes: G1 G12 G17 M40 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:lrc:lareco:v:4:y:2016:i:1:p:43-54

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