The Use of Accounting Screens for Separating Winners From Losers Among the S&P 500 Stocks
Journal of Accounting and Finance
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.
Greyfman, Victoria, Hayden Wimmer, Roy Rada.
"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.