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Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market

Author

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  • Eero J. Pätäri

    (LUT University)

  • Timo H. Leivo

    (LUT University)

  • Sheraz Ahmed

    (LUT University)

Abstract

This paper examines the added value of using financial statement information, particularly that of Piotroski’s (J Account Res 38:1, 2000. https://doi.org/10.2307/2672906 ) FSCORE, for equity portfolio selection in the German stock market in a realistic research setting in which the critique against the implementability of FSCORE-based trading strategies is taken into account. We show that the performance of annually rebalanced long-only portfolios formed on any of the examined 12 accounting-based primary criteria improves by including the FSCORE as a supplementary criterion. Our study is the first to show that although the FSCORE boost is strongest for the 1-year holding period length, it also holds, on average, for the 3-year holding period. The use of a 3-year updating frequency is particularly beneficial for the low-accrual portfolio that—when supplemented with the high-FSCORE threshold—generates the best overall performance among all 75 portfolios examined. Moreover, we show that a high FSCORE is also an efficient stand-alone criterion for long-only portfolio formation.

Suggested Citation

  • Eero J. Pätäri & Timo H. Leivo & Sheraz Ahmed, 2022. "Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 321-367, September.
    • Handle: RePEc:kap:fmktpm:v:36:y:2022:i:3:d:10.1007_s11408-021-00400-9
    DOI: 10.1007/s11408-021-00400-9
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    More about this item

    Keywords

    Value anomaly; Accrual anomaly; Financial strength; FSCORE; Valuation ratio; Equity investing;
    All these keywords.

    JEL classification:

    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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