Quantitative Fundamentals. Application of Piotroski F-Score on Non-U.S. Markets.

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2017 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Egor Eremenko;

doi: 10.2139/ssrn.3262154

Quantitative Fundamentals. Application of Piotroski F-Score on Non-U.S. Markets.

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Abstract

The aim of the paper is to analyze the effectiveness of Piotroski F-Score method for a selection of non-US markets (BRIC, UK, Germany), to identify the efficiency of this measure to generate Alpha. This study showed, that companies with high F-Score in non-US markets generate 8.2% (long position, absolute value, in average) above the corresponding market index performance, average PnL is 20.2%. The companies with low F-Score shows very poor performance loosing -25.3% (short position, absolute value, in average) less the corresponding market index, average PnL is -12.7%.

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