Achieving higher returns with Piotroski’s F_Score model - An empirical study on the Swedish stock market
(2018) NEKH02 20172Department of Economics
- Abstract
- This thesis evaluates the success of a fundamental investing strategy on the Swedish stock market between 2004 and 2016. The main purpose is to examine if the F_Score system developed by Piotroski (2000) could be used to identify winners and losers during aforementioned time frame. A lot of research has previously been conducted on the topic of fundamental investing and some focusing on F_Score. This work should be seen as a contribution to the existing research. It contributes by examining a different region during a different time and by changing some of the system’s characteristics. The collected data is statistically tested using a t-test with varying levels of significance. The results of the thesis imply that a investor could... (More)
- This thesis evaluates the success of a fundamental investing strategy on the Swedish stock market between 2004 and 2016. The main purpose is to examine if the F_Score system developed by Piotroski (2000) could be used to identify winners and losers during aforementioned time frame. A lot of research has previously been conducted on the topic of fundamental investing and some focusing on F_Score. This work should be seen as a contribution to the existing research. It contributes by examining a different region during a different time and by changing some of the system’s characteristics. The collected data is statistically tested using a t-test with varying levels of significance. The results of the thesis imply that a investor could increase his or her risk-adjusted returns by using Piotroski’s system to separate good firms from bad. Moreover, it implies that the investor could garner a greater risk-adjusted return than the market in general, which contradicts the efficient market hypothesis. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8935823
- author
- Brandl Lopez, Fabian LU and Börnfors, Viktor
- supervisor
- organization
- course
- NEKH02 20172
- year
- 2018
- type
- M2 - Bachelor Degree
- subject
- keywords
- F_Score, Fundamental investing, Value investing, Abnormal returns, Market efficiency
- language
- English
- id
- 8935823
- date added to LUP
- 2018-02-19 10:28:12
- date last changed
- 2018-02-19 10:28:12
@misc{8935823, abstract = {{This thesis evaluates the success of a fundamental investing strategy on the Swedish stock market between 2004 and 2016. The main purpose is to examine if the F_Score system developed by Piotroski (2000) could be used to identify winners and losers during aforementioned time frame. A lot of research has previously been conducted on the topic of fundamental investing and some focusing on F_Score. This work should be seen as a contribution to the existing research. It contributes by examining a different region during a different time and by changing some of the system’s characteristics. The collected data is statistically tested using a t-test with varying levels of significance. The results of the thesis imply that a investor could increase his or her risk-adjusted returns by using Piotroski’s system to separate good firms from bad. Moreover, it implies that the investor could garner a greater risk-adjusted return than the market in general, which contradicts the efficient market hypothesis.}}, author = {{Brandl Lopez, Fabian and Börnfors, Viktor}}, language = {{eng}}, note = {{Student Paper}}, title = {{Achieving higher returns with Piotroski’s F_Score model - An empirical study on the Swedish stock market}}, year = {{2018}}, }