Abstract
This study uses accounting screens based on the Piotroski's (2000) F-score and the derived MagicP formulae and finds that it is an effective investment strategy, which results in risk-adjusted outperformance of stocks with high book-to-market (BM) ratios over a market weighted benchmark portfolio and its subset of growth stocks. Unlike other studies that utilized similar tests on smaller firms, we examine the performance of large value stocks within the S&P 500 between 2007 and 2014 and find evidence of the value premium. The results were robust to the time period; in fact, the highest-ranked value stocks suffered less severely during the period of market correction.
Original language | American English |
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Journal | Journal of Accounting and Finance |
Volume | 16 |
State | Published - Feb 1 2016 |
Disciplines
- Computer Sciences
Keywords
- Accounting
- Earnings
- Economic models
- Financial analysis
- Financial statement analysis
- Growth stocks
- Institutional investments
- Investment policy
- Literature reviews
- Ratios
- Research
- Stock prices
- Studies
- Value stocks