Evaluating the Effectiveness of the Piotroski F_Score Methodology within the South African market

Pullen, Nicholas John

Evaluating the Effectiveness of the Piotroski F_Score Methodology within the South African market

Master Thesis

2013

Publisher

University of Cape Town

Department

Department of Finance and Tax

Faculty

Faculty of Commerce

Abstract

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.

Description

Includes bibliographical references.

Keywords

Financial Management

Reference:

Collections

Masters

Full item page