Discussion of Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers

15 Pages Posted: 5 Jan 2001  

Wayne R. Guay

University of Pennsylvania - Accounting Department

Multiple version iconThere are 2 versions of this paper

Date Written: September 2000

Abstract

Piotroski [2000] investigates value stocks and examines whether a simple, accounting-based fundamental analysis strategy, when applied to historical data, can further enhance the returns to investing in high book-to-market firms. This discussion of Piotroski [2000] focuses on two main issues. The first issue is general, and questions whether the empirical literature on pricing anomalies can advance our understanding of pricing behavior in the absence of a plausible and rejectable alternative hypothesis to market efficiency. The second issue is more specific, and explores whether the author's analysis of the data provides convincing evidence that a simple accounting-based trading strategy, when applied to high book-to-market firms, generates substantial abnormal returns?

Keywords: Capital markets; Market efficiency; Anomalies; Valuation; Fundamental analysis

JEL Classification: G14, M41

Suggested Citation

Guay, Wayne R., Discussion of Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (September 2000). Available at SSRN: https://ssrn.com/abstract=249510 or http://dx.doi.org/10.2139/ssrn.249510

Wayne R. Guay (Contact Author)

University of Pennsylvania - Accounting Department ( email )

3641 Locust Walk
1329 Steinberg-Dietrich Hall
Philadelphia, PA 19104-6365
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