The Piotroski Fâ€ score: evidence from Australia
Charles E. Hyde
Accounting and Finance, 2018, vol. 58, issue 2, 423-444
A marketâ€ neutral strategy that is long [short] stocks with a high [low] Piotroski Fâ€ score generates an indexâ€ weighted 0.8 percent pm on S&P/ASX 200 stocks and 1.4 percent pm on smaller stocks. Equalâ€ weighted returns are higher and in all cases returns are statistically significant. However, the Carhart model alphas are not statistically significant except in the case of equalâ€ weighted small cap portfolios. For such portfolios, however, most of the alpha comes from the short side and most institutional investors would find them uninvestable due to capacity constraints. A range of tests indicate that analyst neglect does not explain the Fâ€ score premium.
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