Information Technology: Faculty Publications
The Use of Accounting Screens for Separating Winners From Losers Among the S&P 500 Stocks
Document Type
Article
Publication Date
2-2016
Publication Title
Journal of Accounting and Finance
ISSN
2158-3625
Abstract
This study uses accounting screens based on the Piotroski's (2000) F-score and the derived MagicP formulae and finds that it is an effective investment strategy, which results in risk-adjusted outperformance of stocks with high book-to-market (BM) ratios over a market weighted benchmark portfolio and its subset of growth stocks. Unlike other studies that utilized similar tests on smaller firms, we examine the performance of large value stocks within the S&P 500 between 2007 and 2014 and find evidence of the value premium. The results were robust to the time period; in fact, the highest-ranked value stocks suffered less severely during the period of market correction.
Recommended Citation
Greyfman, Victoria, Hayden Wimmer, Roy Rada.
2016.
"The Use of Accounting Screens for Separating Winners From Losers Among the S&P 500 Stocks."
Journal of Accounting and Finance, 16 (1): 45-60.
source: http://www.na-businesspress.com/JAF/GeyfmanV_Web16_1_.pdf
https://digitalcommons.georgiasouthern.edu/information-tech-facpubs/25
Copyright
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