We explore the potential ramifications of the Piotroski F-Score (Piotroski, 2000) in the structuring of value portfolios. We test whether the use of the F-Score yields a statistically significant improvement in the returns of a high book-to-market investment strategy relative to the conventional book-to-market (BM) ratio as in the Fama-French 3 factor model. We use a sample going from 2014 to 2022, and find that, contrary to expectations; the risk premium associated with the F-Score is slightly negative, suggesting that the Italian Stock Market does not reward firms with strong financial position as suggested by the score.
Baschieri, G., DAVID HUNZIKER, M. (2025). Evaluating the efficacy of the value factor in stock market analysis: a comparative analysis of market-to-book ratio and Piotroski F-Score. INTERNATIONAL JOURNAL OF MANAGERIAL AND FINANCIAL ACCOUNTING, xx, 1-16 [10.1504/IJMFA.2027.10071392].
Evaluating the efficacy of the value factor in stock market analysis: a comparative analysis of market-to-book ratio and Piotroski F-Score
GIULIA BASCHIERI
Primo
;
2025
Abstract
We explore the potential ramifications of the Piotroski F-Score (Piotroski, 2000) in the structuring of value portfolios. We test whether the use of the F-Score yields a statistically significant improvement in the returns of a high book-to-market investment strategy relative to the conventional book-to-market (BM) ratio as in the Fama-French 3 factor model. We use a sample going from 2014 to 2022, and find that, contrary to expectations; the risk premium associated with the F-Score is slightly negative, suggesting that the Italian Stock Market does not reward firms with strong financial position as suggested by the score.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
