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1	Monkey Strategy : Swinging through the Capital Anomaly Jungle Arvidsson, Carl, Gudrais, Tim January 2013 (has links) The aim of this paper is to test whether an investment strategy originally created by Piotroski (2000), can be refined by combining it with the price-to-earnings-anomaly. In detail, we accomplish this by implementing Piotroskis F_SCORE-model to identify and consequently separate financially weak- and strong firms. Furthermore, we create an investment portfolio based on a combination of the highest rated companies according to the F_SCORE-model, and the most undervalued companies from the price-to-earnings-anomaly, to create a joint investment strategy (M_STRAT). This is carried out during the time-period 1999-2009, while reconstructing the portfolio annually. The results of our study show that, by combining the two models, we are able to achieve a market-adjusted return of 44,1%, hence amplifying the original F_SCORE-model by 17%. Market Anomalies Effecient Market Hypothesis (EMH) Piotroski F_SCORE Price-to-earnings Investment Strategy Abnormal Return New York Stock Exchange Kapitalmarknadsanomalier Den Effektiva Marknadshypotesen Piotroski F_SCORE Price-to-earnings Investeringsstrategi Onormal avkastning New York Stock Exchange