Does the F-score improve the performance of different value investment strategies in Europe?

Jarno Tikkanen and Janne Äijö ()
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Jarno Tikkanen: OP Wealth Management
Janne Äijö: University of Vaasa

Journal of Asset Management, 2018, vol. 19, issue 7, No 5, 495-506

Abstract: Abstract This study examines whether the performance of different value investment strategies can be improved with Piotroski’s (J Account Res 38:1–41, 2000) F-score screening method for the European stock markets. Our aim is to investigate the ability of the screening method to distinguish between winners and losers among several value investment strategies that use different financial ratios to form portfolios, such as B/M, E/M, D/M, and EBITDA/EV ratios. The results of the study provide compelling evidence that the F-score screening method significantly improves the performance of all investigated investment strategies. The results regarding the superior performance of the high F-score portfolios are robust across investment strategies, various performance measures and risk-adjustment methods. The results are useful for individual investors and professional portfolio managers.

Keywords: F-score; Anomalies; Value investment strategy; Portfolio management; Portfolio performance (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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DOI: 10.1057/s41260-018-0098-3

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