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Achieving higher returns with Piotroski’s F_Score model - An empirical study on the Swedish stock market

Brandl Lopez, Fabian LU and Börnfors, Viktor (2018) NEKH02 20172
Department 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:
author
Brandl Lopez, Fabian LU and Börnfors, Viktor
supervisor
organization
course
NEKH02 20172
year
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}},
}