Fundamental analysis and the use of financial statement information to separate winners and losers in frontier markets: evidence from Vietnam

Tuan Ho, Y Trong Nguyen, Hieu Truong Manh Tran and Dinh-Tri Vo

International Journal of Emerging Markets, 2022, vol. 18, issue 10, 4130-4153

Abstract: Purpose - The pupose of the paper is to study the usefulness of Piotroski (2000)'sF-score in separating winners and losers in Vietnam. Design/methodology/approach - The authors adopt a portfolio analysis and regression analysis on a sample of 501 of listed firms between 2009 and 2019 in Vietnam. Findings - The authors find that a hedge strategy that buys high-F-score firms and sells low-F-score firms yield market-adjusted return of over 30 percent annually, which is statistically and economically significant. The hedge strategy based onF-score is not only profitable for value (high book-to-market [BM]) firms but also earn abnormal returns in a sample of growth (low BM) firms, suggesting that the usefulness ofF-score strategy is not just a phenomenon in value firms as documented in previous literature. Research limitations/implications - Whilst the authors' paper documents economically significant returns obtained from theF-score strategy, the authors do not examine what drives the abnormal returns. Practical implications - The results provide supporting evidence for the use of financial statement analysis as a screening tool to improve the performance of value investment in Vietnam stock market and for the training of financial reporting and fundamental analysis in universities. Originality/value - The authors' research is the first study examining theF-score strategy in Vietnam that provides insights about the usefulness of fundamental analysis in separating winners and losers in a frontier market and contributes to the literature on fundamental analysis and market efficiency in emerging and frontier markets.

Keywords: F-score; Financial statement analysis; Fundamental analysis; Investment strategies; Informationand Market Efficiency (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ijoemp:ijoem-03-2020-0279

DOI: 10.1108/IJOEM-03-2020-0279

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