Premium
The Piotroski F ‐score: evidence from Australia
Author(s) -
Hyde Charles E.
Publication year - 2018
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12216
Subject(s) - index (typography) , econometrics , economics , mathematics , financial economics , statistics , computer science , world wide web
A market‐neutral strategy that is long [short] stocks with a high [low] Piotroski F ‐score generates an index‐weighted 0.8 percent pm on S&P/ ASX 200 stocks and 1.4 percent pm on smaller stocks. Equal‐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 equal‐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 F ‐score premium.