Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market

Pätäri, Eero; Leivo, Timo H.; Ahmed, Sheraz

doi:10.1007/s11408-021-00400-9

Cited by 3 publications

(7 citation statements)

References 116 publications

(191 reference statements)

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“…The high BM companies earn positive market-adjusted returns in the one-year and two-year periods after portfolio construction. This is also supported by Dosamantes (2013), Fama and French (1992), Greyfman et al ( 2019), Pätäri et al (2022), andPiotroski (2000).…”

Section: Descriptive Statisticssupporting

confidence: 56%

“…Fundamental strength metrics have been shown to be predictive of future returns in both the accounting and financial literature (e.g., Bradbury et al, 2021;Kumsta & Vivian, 2020;Ng & Shen, 2020;Pätäri et al, 2022;Piotroski, 2000). Dechow et al (2010) indicate that systematic inaccuracies in market expectations about long-term earnings growth can partially explain the success of contrarian investment techniques and the book-tomarket effect.…”

Section: High Book-to-market and Growth Of Earnings Per Share Strategymentioning

confidence: 99%

“…Dechow et al (2010) indicate that systematic inaccuracies in market expectations about long-term earnings growth can partially explain the success of contrarian investment techniques and the book-tomarket effect. Companies with high book-to-market ratios provide a unique opportunity to test the capacity of simple fundamental analysis heuristics to distinguish between them (Caglayan et al, 2018;Pätäri et al, 2022;Piotroski, 2000). Ball et al (2020), Papadamou et al (2017), and Piotroski (2000) argued that high BM value enterprises employ accounting indicators of financial soundness to distinguish really distressed firms from out-of-favor but financially strong firms.…”

Section: High Book-to-market and Growth Of Earnings Per Share Strategymentioning

confidence: 99%

See 2 more Smart Citations

Value investing: a new SCORE model

Navas¹,

Bentes²

2023

RBGN

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Section: Descriptive Statisticssupporting

confidence: 56%

Section: High Book-to-market and Growth Of Earnings Per Share Strategymentioning

confidence: 99%

Section: High Book-to-market and Growth Of Earnings Per Share Strategymentioning

confidence: 99%

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Value investing: a new SCORE model

Navas¹,

Bentes²

2023

RBGN

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“…Disisi lain, seminal penelitian Piotroski (2000) yang merumuskan f-score (i.e., simple accounting-based fundamental analysis) mampu mengidentifikasi saham yang memiliki potensi value premium. Selain banyak dimanfaatkan sebagai screening saham pada perusahaan sekuritas dan platform investasi, f-score juga banyak dirujuk oleh penelitian terkini terutama dimanfaatkan sebagai fundamental value untuk mengestimasi prospek entitas bisnis maupun sebagai indikator value investing (Chaudhari & Ghorpade, 2020;Festa et al, 2021;Gimeno et al, 2020;Jun et al, 2021;Pätäri et al, 2021;Rossi et al, 2020).…”

Section: Pendahuluanunclassified

Relevansi Nilai Informasi Akuntansi Di Indonesia Berdasar Simple Accounting-Based Fundamental Analysis

Murti

Widyastuti

2023

JAA

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Decreasing the value relevance of accounting information issues cannot be separated from complexity of accounting standards and their implementation. This phenomenon is our motivation to examine whether the valuation model on the prospects of companies that prioritize the parsimony principle by using accounting information also indicates a decrease in the relevance of accounting information in Indonesia. We examined the f-score indicator which is referred to as a simple accounting-based fundamental analysis. This study observed all financial statements of issuers in Indonesia from 2006 to 2019 and their share prices in the secondary market during year t+1.We used multiple regression to estimate the value of r-square in each year of observation. This study could not find any indication of a decrease in the value relevance of accounting information during the observation period based on the r-square which is estimated by the f-score indicator. This finding can be a part of an empirical study that is not only related to value relevance, but also to the topic of accounting information readability.

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“…The potential unavailability of short-selling and the higher transaction costs of shorting further hinder the practical application of such strategies, especially for larger investors. These investors often face short-selling barriers and may struggle to achieve the same returns observed in small-cap stock universes, where the performance of these strategies is significantly superior (Pätäri et al, 2022).…”

Section: Introductionmentioning

confidence: 99%

The relevance of using accounting fundamentals in the Euronext 100 index

Daniel Navas,

Matias Gama,

Ricardo Bentes

2023

RBGN

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Purpose -The purpose of this research is to investigate whether using an accounting fundamental strategy can provide valuable information about the value of a business and generate positive excess buy-and-hold returns on stocks in the Euronext 100 index. Theoretical framework -The theoretical framework of the study is based on the combination of valuation theory and accounting research. We rely on fundamental analysis as a stock valuation method, which involves looking at both quantitative and qualitative information in a company's economic and financial records.Design/methodology/approach -We examine the relevance of growth and earnings response coefficients, as well as Piotroski's F-scores and Lev and Thiagarajan's L-scores in predicting future stock returns. The analysis covers the years 2000 to 2020.Findings -The study finds that accounting fundamental signals provide value-relevant information to investors and have a significant and positive relationship with future buy-and-hold market returns, resulting in high-scoring portfolios achieving significant average annual market excess returns. Practical & social implications of research -The results of the study have practical implications for investors who use fundamental analysis as an investment strategy. The results indicate that accounting fundamentals provide value-relevant information to investors and can lead to positive excess buy-and-hold returns.Originality/value -The study contributes to the understanding of the role of fundamentals in firm valuation and provides fresh insights into binary models and fundamental analysis applied to European markets. In addition, the study tests the robustness of fundamental strategies using fixed effects regression analysis.

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Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market

Cited by 3 publications

References 116 publications

Value investing: a new SCORE model

Value investing: a new SCORE model

Relevansi Nilai Informasi Akuntansi Di Indonesia Berdasar Simple Accounting-Based Fundamental Analysis

The relevance of using accounting fundamentals in the Euronext 100 index

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