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Piotroski's F-Score in the Chinese A-Share market
This study examines whether Piotroski's (2000) F-Score strategy can successfully be applied to the Chinese A-Share market. The empirical evidence shows that in the Chinese A-Share market, the high F-Score portfolio significantly outperforms the low F-Score portfolio. Especially within a low BM firm...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2017
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| _version_ | 1867614506645979136 |
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| access_status_str | Open Access |
| author | Deng, Xiaoyu |
| author2 | West, Darron |
| author_browse | Deng, Xiaoyu West, Darron |
| author_facet | West, Darron Deng, Xiaoyu |
| author_sort | Deng, Xiaoyu |
| collection | Thesis |
| description | This study examines whether Piotroski's (2000) F-Score strategy can successfully be applied to the Chinese A-Share market. The empirical evidence shows that in the Chinese A-Share market, the high F-Score portfolio significantly outperforms the low F-Score portfolio. Especially within a low BM firm sample, buying high F-Score firms and shorting low F-Score firms consistently, on average, generate 1.28% market adjusted profit per month. The results are robust for size partition. However, the benefits of Piotroski's F-Score strategy are concentrated in low liquidity and analyst following sample. Within the high BM firm sample, Piotroski's F-Score strategy cannot generate any significant return. The excess return of a low BM sample persists across time, as well as after controlling for size, book-to-market ratio, and market beta. In addition, if we measure risk in terms of beta and volatility, high F-Score firms are less risky than low F-Score firms. To conclude, the empirical evidence presented in this study suggests investors can use Piotroski's F-Score to identify mispriced stocks and earn abnormal returns in the Chinese A-share market, especially within a low BM firm sample. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/24520 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:53:07.936Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/24520 Piotroski's F-Score in the Chinese A-Share market Deng, Xiaoyu West, Darron Finance and Tax This study examines whether Piotroski's (2000) F-Score strategy can successfully be applied to the Chinese A-Share market. The empirical evidence shows that in the Chinese A-Share market, the high F-Score portfolio significantly outperforms the low F-Score portfolio. Especially within a low BM firm sample, buying high F-Score firms and shorting low F-Score firms consistently, on average, generate 1.28% market adjusted profit per month. The results are robust for size partition. However, the benefits of Piotroski's F-Score strategy are concentrated in low liquidity and analyst following sample. Within the high BM firm sample, Piotroski's F-Score strategy cannot generate any significant return. The excess return of a low BM sample persists across time, as well as after controlling for size, book-to-market ratio, and market beta. In addition, if we measure risk in terms of beta and volatility, high F-Score firms are less risky than low F-Score firms. To conclude, the empirical evidence presented in this study suggests investors can use Piotroski's F-Score to identify mispriced stocks and earn abnormal returns in the Chinese A-share market, especially within a low BM firm sample. 2017-06-06T09:55:19Z 2017-06-06T09:55:19Z 2016 Master Thesis Masters MCom http://hdl.handle.net/11427/24520 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Finance and Tax Deng, Xiaoyu Piotroski's F-Score in the Chinese A-Share market |
| thesis_degree_str | Master's |
| title | Piotroski's F-Score in the Chinese A-Share market |
| title_full | Piotroski's F-Score in the Chinese A-Share market |
| title_fullStr | Piotroski's F-Score in the Chinese A-Share market |
| title_full_unstemmed | Piotroski's F-Score in the Chinese A-Share market |
| title_short | Piotroski's F-Score in the Chinese A-Share market |
| title_sort | piotroski s f score in the chinese a share market |
| topic | Finance and Tax |
| url | http://hdl.handle.net/11427/24520 |
| work_keys_str_mv | AT dengxiaoyu piotroskisfscoreinthechineseasharemarket |