Evaluating the Effectiveness of the Piotroski F_Score Methodology within the South African market

This study examines whether the Piotroski F_Score (2000) investment strategy framework is able to be replicated within the South African context. Prior work by Atwood (2012) concluded that whilst a High F_Score portfolio was able to outperform a Low F_Score portfolio, it was however not statistically significant over the selected period. This study expands prior research and provides empirical evidence that a modified High F_Score investment strategy is able to outperform both the market and a Low F_Score portfolio over the medium and long-term. These results suggest that it is possible to use accounting-based information to construct a portfolio which is able to shift an investor's distribution of returns, and thereby generating positive abnormal returns within the South African context.

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

2013

Author dc:creator

• Pullen, Nicholas John

Advisor dc:contributor.advisor

• West, Darron

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/12363

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/12363