Piotroski's F-Score in the Chinese A-Share market

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dc.contributor.advisorWest, Darronen_ZA
dc.contributor.authorDeng, Xiaoyuen_ZA
dc.date.accessioned2017-06-06T09:55:19Z
dc.date.available2017-06-06T09:55:19Z
dc.date.issued2016en_ZA
dc.description.abstractThis study examines whether Piotroski's (2000) F-Score strategy can successfully be applied to the Chinese A-Share market. The empirical evidence shows that in the Chinese A-Share market, the high F-Score portfolio significantly outperforms the low F-Score portfolio. Especially within a low BM firm sample, buying high F-Score firms and shorting low F-Score firms consistently, on average, generate 1.28% market adjusted profit per month. The results are robust for size partition. However, the benefits of Piotroski's F-Score strategy are concentrated in low liquidity and analyst following sample. Within the high BM firm sample, Piotroski's F-Score strategy cannot generate any significant return. The excess return of a low BM sample persists across time, as well as after controlling for size, book-to-market ratio, and market beta. In addition, if we measure risk in terms of beta and volatility, high F-Score firms are less risky than low F-Score firms. To conclude, the empirical evidence presented in this study suggests investors can use Piotroski's F-Score to identify mispriced stocks and earn abnormal returns in the Chinese A-share market, especially within a low BM firm sample.en_ZA
dc.identifier.apacitationDeng, X. (2016). <i>Piotroski's F-Score in the Chinese A-Share market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/24520en_ZA
dc.identifier.chicagocitationDeng, Xiaoyu. <i>"Piotroski's F-Score in the Chinese A-Share market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016. http://hdl.handle.net/11427/24520en_ZA
dc.identifier.citationDeng, X. 2016. Piotroski's F-Score in the Chinese A-Share market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Deng, Xiaoyu AB - This study examines whether Piotroski's (2000) F-Score strategy can successfully be applied to the Chinese A-Share market. The empirical evidence shows that in the Chinese A-Share market, the high F-Score portfolio significantly outperforms the low F-Score portfolio. Especially within a low BM firm sample, buying high F-Score firms and shorting low F-Score firms consistently, on average, generate 1.28% market adjusted profit per month. The results are robust for size partition. However, the benefits of Piotroski's F-Score strategy are concentrated in low liquidity and analyst following sample. Within the high BM firm sample, Piotroski's F-Score strategy cannot generate any significant return. The excess return of a low BM sample persists across time, as well as after controlling for size, book-to-market ratio, and market beta. In addition, if we measure risk in terms of beta and volatility, high F-Score firms are less risky than low F-Score firms. To conclude, the empirical evidence presented in this study suggests investors can use Piotroski's F-Score to identify mispriced stocks and earn abnormal returns in the Chinese A-share market, especially within a low BM firm sample. DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - Piotroski's F-Score in the Chinese A-Share market TI - Piotroski's F-Score in the Chinese A-Share market UR - http://hdl.handle.net/11427/24520 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/24520
dc.identifier.vancouvercitationDeng X. Piotroski's F-Score in the Chinese A-Share market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/24520en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinance and Taxen_ZA
dc.titlePiotroski's F-Score in the Chinese A-Share marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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