Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288746 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 21 [Issue:] 2 [Publisher:] Palgrave Macmillan UK [Place:] London [Year:] 2020 [Pages:] 106-118
Publisher: 
Palgrave Macmillan UK, London
Abstract: 
Almost 20 years after its publication, Piotroski’s (J Account Res 38:1–41, 2000) FSCORE, the composite measure of the firm’s fundamental strength remains a strong predictor of subsequent stock returns and future profitability in international markets over the 2000–2018 period. Across developed non-US countries as well as emerging countries, high-FSCORE firms significantly outperform low-FSCORE firms by about 10% per year. Furthermore, FSCORE preserves its return-predictive power in all size segments after controlling for established cross-sectional return determinants, such as firm size, book-to-market, momentum, operating profitability, and investment. The findings are consistent with the view that fundamental information is only gradually incorporated into prices by investors.
Subjects: 
FSCORE
Fundamental analysis
Stock returns
Return predictability
International markets
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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