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Evaluating the Effectiveness of the Piotroski F_Score Methodology within the South African market

Includes bibliographical references. / This study examines whether the Piotroski F_Score (2000) investment strategy framework is able to be replicated within the South African context. Prior work by Atwood (2012) concluded that whilst a High F_Score portfolio was able to outperform a Low F_Score portfolio, it was however not statistically significant over the selected period. This study expands prior research and provides empirical evidence that a modified High F_Score investment strategy is able to outperform both the market and a Low F_Score portfolio over the medium and long-term. These results suggest that it is possible to use accounting-based information to construct a portfolio which is able to shift an investor's distribution of returns, and thereby generating positive abnormal returns within the South African context.

Identiferoai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/12363
Date January 2013
CreatorsPullen, Nicholas John
ContributorsWest, Darron
PublisherUniversity of Cape Town, Faculty of Commerce, Department of Finance and Tax
Source SetsSouth African National ETD Portal
LanguageEnglish
Detected LanguageEnglish
TypeMaster Thesis, Masters, MCom
Formatapplication/pdf

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