Title

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.

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