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A Value Relevant Fundamental Investment Strategy: The use of weighted fundamental signals to improve predictability
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2011 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. This further developed model is tested in two different contexts; firstly, a weighted fundamental score is developed that is updated every year in order to control for any changes in the predictive ability of fundamental signals over time. Secondly, the behavior of this score is analyzed in context of recession and growth cycles of the macro economy. Our findings show that high book-to-market portfolio consist of poor performing firms, as shown by Fama and French (1995) and is thereby outperformed by both Piotroski's F_score and our own developed scores. The score based on a rolling window correlation is performing a little better then F_score, but the score based on correlations for prior Up and Down periods is not. The conclusions we draw from the results are that improvements have to be made, both to F_score and our own developments, to sort winners from loser to get an even more profitable zero-investment hedge strategy.

Place, publisher, year, edition, pages
2011. , p. 30
Keyword [en]
Fundamental analysis, Financial statement analysis, Financial analysis, High book-to-market, quantitative analysis, statistical regression study, investment strategy, longitudinal study, NYSE, New York Stock Exchange, Nasdaq, Piotroski, Rados and Lovric, wieghted and modified Piotroski F_score, F_score, B/M investment strategy, fundamental signals correlation, return correlation, rolling window investment strategy, Correlations during macroeconomic up and down periods, historical performance of fundamental signals, Piotroski's F_score, fundamental signals
Keyword [sv]
Fundamental analys, en hög book-to-market investeringsstrategi, finansiell analys, Piotroski, Piotroskis F_score, Rados och Lovric, modifierat F_score, undervärderade företag, Användningen av viktade fundamentala signaler för att förbättra förutsägbarheten, fundamentala signaler
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-145255OAI: oai:DiVA.org:uu-145255DiVA, id: diva2:395738
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2011-02-08 Created: 2011-02-07 Last updated: 2011-02-08Bibliographically approved

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CiteExportLink to record
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