15 Pages Posted: 5 Jan 2001
Date Written: September 2000
Piotroski  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  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: 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
By Bing Liang