Financial Markets and Portfolio Management Pub Date : 2021-08-18 , DOI: 10.1007/s11408-021-00400-9 Eero J. Pätäri 1 , Timo H. Leivo 1 , Sheraz Ahmed 1
This paper examines the added value of using financial statement information, particularly that of Piotroski’s (J Account Res 38:1, 2000. https://doi.org/10.2307/2672906) FSCORE, for equity portfolio selection in the German stock market in a realistic research setting in which the critique against the implementability of FSCORE-based trading strategies is taken into account. We show that the performance of annually rebalanced long-only portfolios formed on any of the examined 12 accounting-based primary criteria improves by including the FSCORE as a supplementary criterion. Our study is the first to show that although the FSCORE boost is strongest for the 1-year holding period length, it also holds, on average, for the 3-year holding period. The use of a 3-year updating frequency is particularly beneficial for the low-accrual portfolio that—when supplemented with the high-FSCORE threshold—generates the best overall performance among all 75 portfolios examined. Moreover, we show that a high FSCORE is also an efficient stand-alone criterion for long-only portfolio formation.
中文翻译:
FSCORE 能否为基于异常的投资组合增加价值?德国股市的现实检验
本文探讨使用特别皮奥特洛斯基的(j账户RES 38:1,2000年https://doi.org/10.2307/2672906)的财务报表信息,业增加值FSCORE,在德国股市的股票投资组合中选择一个现实的研究环境,其中考虑了对基于FSCORE的交易策略的可实施性的批评。我们表明,通过将FSCORE作为补充标准,根据所检查的 12 个基于会计的主要标准中的任何一个形成的年度重新平衡的多头投资组合的表现有所改善。我们的研究首次表明,虽然FSCORE对于 1 年的持有期长度而言,提振作用最强,平均而言,它也适用于 3 年的持有期。使用 3 年更新频率对低应计投资组合特别有益,当辅以高FSCORE阈值时,可在所有 75 个检查的投资组合中产生最佳的整体表现。此外,我们表明高FSCORE也是形成多头投资组合的有效独立标准。