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Piotroski som investeringsstrategi: Test och utveckling av F_SCORE
Kristianstad University, Faculty of Business.
Kristianstad University, Faculty of Business.
2019 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Piotroski as investment strategy : Test and development of F_SCORE (English)
Abstract [en]

This paper uses a fundamental investment strategy model developed by Piotroski (2000), called F_SCORE. The model uses accounting-based ratios applied for portfolios of high book-to-market firms. The aim of the study is to test the model for the US stock market during the years 1998-2015, as well as to develop it. The first test uses the original model during the specified time period. The next step is to develop the model by using correlations between each of the signals and future returns that Piotroski (2000) has proven to exist. The test showed that the F_SCORE outperforms the market during the time period. In the developed model the return can be increased even further. The result shows that the market adjusted return can be increased by an average of 24.7 % annually. The developed model thereby generates a better market adjusted return than Piotroski's original model.

Abstract [sv]

Följande examensarbete använder en fundamental investeringsstrategi framtagen av Piotroski (2000) som benämns F_SCORE. Strategin har sin utgångspunkt i finansiella rapporter gällande företag med höga book-to-market. Syftet med studien är att testa modellen för den amerikanska marknaden under åren 1998–2015, samt utveckla den. Det första testet använder ursprungsmodellen under den angivna tidsperioden. I nästa steg utvecklas modellen genom att hänsyn tas till respektive nyckeltals korrelation med avkastning som Piotroski (2000) visat existerar. Testet visade att F_SCORE överträffar marknaden under den valda tidsperioden. I den utvecklade modellen gick det att öka avkastningen ytterligare. Resultatet visar att det går att öka den marknadsjusterade avkastningen med i genomsnitt 24,7 % per år. Den utvecklade modellen genererar därmed en bättre marknadsjusterad avkastning än Piotroskis originalmodell.

Place, publisher, year, edition, pages
2019. , p. 33
Keywords [en]
Fundamental analysis, value stocks, efficient market hypothesis, Piotroski, F_SCORE
Keywords [sv]
Fundamental analys, värdeaktier, effektiva marknadshypotesen, Piotroski, F_SCORE
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:hkr:diva-19550OAI: oai:DiVA.org:hkr-19550DiVA, id: diva2:1331422
Subject / course
Banking and financing
Educational program
Degree of Bachelor of Science in Business and Economics
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2019-06-27 Created: 2019-06-26 Last updated: 2019-06-27Bibliographically approved

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CiteExportLink to record
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