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JOURNAL OF ACCOUNTING AND FINANCE
Value Stocks and Accounting Screens: Has a Good Rule Gone Bad?
Author(s): Melissa K. Woodley, Steven T. Jones, James P. Reburn
Citation: Melissa K. Woodley, Steven T. Jones, James P. Reburn, (2011) "Value Stocks and Accounting Screens: Has a Good Rule Gone Bad?" Vol. 11, Iss. 4, pp. 87 - 104
Article Type: Research paper
Publisher: North American Business Press
Abstract:
We find that the financial statement variables identified by Piotriski (2000) no longer distinguish future winners from future losers among those stocks with high book-to-market ratios. While we confirm Piotroski’s findings for the 1976-1996 window used for his study, over the ensuing 12 years the results are actually reversed. Specifically, by most measures the stocks of “High F_Score” firms produce returns lower than those of “Low F_Score” firms and lower than those of the set of value stocks as a whole. These results are robust to controlling for firm size with market capitalization tercile sorts.
