Quantitative Fundamentals. Application of Piotroski F-Score on Non-U.S. Markets.

18 Pages Posted: 9 Nov 2018

Date Written: April 9, 2017

Abstract

The aim of the paper is to analyze the effectiveness of Piotroski F-Score method for a selection of non-US markets (BRIC, UK, Germany), to identify the efficiency of this measure to generate Alpha. This study showed, that companies with high F-Score in non-US markets generate 8.2% (long position, absolute value, in average) above the corresponding market index performance, average PnL is 20.2%. The companies with low F-Score shows very poor performance loosing -25.3% (short position, absolute value, in average) less the corresponding market index, average PnL is -12.7%.

Keywords: quantitative fundamentals, piotroski f-score, BRIC, alpha, Pnl

JEL Classification: G11, G00, C00, C10, C53

Suggested Citation

Eremenko, Egor, Quantitative Fundamentals. Application of Piotroski F-Score on Non-U.S. Markets. (April 9, 2017). Available at SSRN: https://ssrn.com/abstract=3262154 or http://dx.doi.org/10.2139/ssrn.3262154

Egor Eremenko (Contact Author)

Independent ( email )

No Address Available

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