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The effectiveness of the Piotroski screen for value stock selection on the JSE
Dissertation (MBA)--University of Pretoria, 2012.
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University of Pretoria
2013
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| _version_ | 1867613442007891968 |
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| access_status_str | Open Access |
| author2 | Taft, T. |
| author_browse | Taft, T. |
| author_facet | Taft, T. |
| collection | Thesis |
| dc_rights_str_mv | © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/23061 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:36:12.613Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/23061 The effectiveness of the Piotroski screen for value stock selection on the JSE Taft, T. ichelp@gibs.co.za Van der Merwe, Joachim Christoffel UCTD Financial statement analysis Value investing Piotroski screen Johannesburg Stock Exchange (JSE) Dissertation (MBA)--University of Pretoria, 2012. This research project investigated the effectiveness of the Piotroski screen to select financially sound stocks from the upper quintile of high book-to-market value (growth) stocks on the Johannesburg Stock Exchange (JSE). The period chosen for this study was all the years since the publication of the Piotroski screen in 2000 until the most recent financial year, 2011.Although no conclusive evidence was found that the mean returns from the portfolio of financially strong firms that were selected by means of the Piotroski screen were significantly better than the portfolio of value stocks, it was strongly suspected that the small group of firms that were signified as financially the strongest by the Piotroski screen had a decreased probability of containing firms with negative one year buy-and-hold returns compared to the other portfolios. Although the outcome was inconclusive due to small sample sizes, it was also strongly suspected that the one year buy-and-hold strategy yielded returns that were in the order of almost four times better than the five year buy-and-hold strategy.It was recommended that, in order to minimise suboptimal investor behaviour caused by psychological biases on the JSE, investors should adopt a mechanical investment method based on objective financial statement analysis, using the Piotroski screen to select financially strong firms from the pool of value firms. It was further recommended that an annual portfolio balancing strategy should be used. Gordon Institute of Business Science (GIBS) unrestricted 2013-09-06T14:24:38Z 2013-04-29 2013-09-06T14:24:38Z 2013-04-25 2012 2013-03-09 Dissertation Van der Merwe, JC 2012, The effectiveness of the Piotroski screen for value stock selection on the JSE, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/23061 > F13/4/295/zw http://hdl.handle.net/2263/23061 http://upetd.up.ac.za/thesis/available/etd-03092013-165515/ © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Financial statement analysis Value investing Piotroski screen Johannesburg Stock Exchange (JSE) The effectiveness of the Piotroski screen for value stock selection on the JSE |
| title | The effectiveness of the Piotroski screen for value stock selection on the JSE |
| title_full | The effectiveness of the Piotroski screen for value stock selection on the JSE |
| title_fullStr | The effectiveness of the Piotroski screen for value stock selection on the JSE |
| title_full_unstemmed | The effectiveness of the Piotroski screen for value stock selection on the JSE |
| title_short | The effectiveness of the Piotroski screen for value stock selection on the JSE |
| title_sort | effectiveness of the piotroski screen for value stock selection on the jse |
| topic | UCTD Financial statement analysis Value investing Piotroski screen Johannesburg Stock Exchange (JSE) |
| url | http://hdl.handle.net/2263/23061 http://upetd.up.ac.za/thesis/available/etd-03092013-165515/ |