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Title: Screen winners from losers using simple fundamental analysis in the pacific-basin stock markets
Authors: Ng, CCA
Shen, J
Keywords: Book-to-market
Cross-section of stock returns
Risk-adjusted return
Issue Date: 2016
Publisher: North-Holland
Source: Pacific basin finance journal, 2016, v. 39, p. 159-177 How to cite?
Journal: Pacific basin finance journal 
Abstract: This paper explores whether a simple fundamental analysis strategy, FSCORE by Piotroski (2000), can discriminate between firms with strong financial strength and those with weak financial strength over the period of 2000 to 2015 in seven Pacific-Basin markets: Hong Kong, Australia, Singapore, South Korea, Malaysia, Thailand and Indonesia. Similar to Piotroski and So (2012), FSCORE can screen winners from losers in all book-to-market portfolios in most of the markets; the returns of portfolios with high FSCORE are significantly more than the returns of portfolios in the same category with low FSCORE. The portfolios that long value stocks (high book-to-market) with high FSCORE yield significantly positive risk-adjusted return. We find that FSCORE can also be applied to size portfolios. The portfolios of small cap stocks with high FSCORE give monthly risk-adjusted returns of 2.5289%, 3.3552%, 1.1081%, 1.0744%, 0.5762%, 0.9263%, and 1.7802% in Hong Kong, Australia, Singapore, South Korea, Malaysia, Thailand and Indonesia. The predictive ability of FSCORE in screening winners from losers is stronger in small cap stocks than value stocks.
ISSN: 0927-538X
DOI: 10.1016/j.pacfin.2016.06.003
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