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Piotroski’s FSCORE: international evidence

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  • Christian Walkshäusl

    (University of Regensburg)

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.

Suggested Citation

  • Christian Walkshäusl, 2020. "Piotroski’s FSCORE: international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 106-118, March.
    • Handle: RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00157-2
    DOI: 10.1057/s41260-020-00157-2
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