Quantitative Fundamentals. Application of Piotroski F-Score on Non-U.S. Markets.
18 Pages Posted: 9 Nov 2018
Date Written: April 9, 2017
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
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