Home Technology Using Piotroski F-Score to Predict Growth Stock Returns

Using Piotroski F-Score to Predict Growth Stock Returns

When you purchase through our sponsored links, we may earn a commission. By using this website you agree to our T&Cs.

Over the course of the last decades, the analysis of structural reasons for equity out- or underperformance has been a widely discusses academic topic. New explanatory factors, such as accruals (Sloan, 1996), were established and former explanatory factors lost some of their predictive power, as Fama and French (2003) show in the case of beta.

One of the more recent explanatory factors is the F-Score (Piotroski, 2000), which has strong practical utility in separating winners from losers in the value segment of the market. In his paper, our friend Jan Mohr provides evidence on the utility of F-Score in the growth segment of the market. This study was done in collaboration withMFIE.

Separating growth stocks by applying F-Score seems to be a promising strategy. In constructing a market-neutral portfolio, buying high F-Score and shorting low F-Score growth stocks seems to yield a positive return.

To get the full version of this interesting paper, click on the link below :

Utility of Piotroski F-Score for predicting Growth-Stock Returns (33.38 kb)

Piotroski F-Score

Our Editorial Standards

At ValueWalk, we’re committed to providing accurate, research-backed information. Our editors go above and beyond to ensure our content is trustworthy and transparent.

Guest Post
Editor

Want Financial Guidance Sent Straight to You?

  • Pop your email in the box, and you'll receive bi-weekly emails from ValueWalk.
  • We never send spam — only the latest financial news and guides to help you take charge of your financial future.