Browsing by Author "Pullen, Nicholas John"

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    Evaluating the Effectiveness of the Piotroski F_Score Methodology within the South African market
    (2013) Pullen, Nicholas John; West, Darron
    This study examines whether the Piotroski F_Score (2000) investment strategy framework is able to be replicated within the South African context. Prior work by Atwood (2012) concluded that whilst a High F_Score portfolio was able to outperform a Low F_Score portfolio, it was however not statistically significant over the selected period. This study expands prior research and provides empirical evidence that a modified High F_Score investment strategy is able to outperform both the market and a Low F_Score portfolio over the medium and long-term. These results suggest that it is possible to use accounting-based information to construct a portfolio which is able to shift an investor's distribution of returns, and thereby generating positive abnormal returns within the South African context.