| dc.description.abstract | This paper examines whether a proven accounting based fundamental analysis strategy, FScore formula by Piotroski, when applied to a portfolio of high book-to-value firms of the
Indian Stock Market, can shift the average returns earned by a value investor. The aim is to
investigate the additional returns earned by after applying the F-Score formula to the portfolio
of high BM stocks. The F-Score acts as heuristics to better investing in a value portfolio (herein
referred to as a High BM portfolio). From our research, we have concluded that the F-Score
methodology has given an average additional return of 30.9% on a three-year investing period
with a long-short portfolio from 2014-2017. Thus, we would show that the mean return earned
by a high book-to-market investor can be increased by an average of 30.9% by selecting
fundamentally and financially strong high BM firms. Overall, our research indicates that the
extra returns are a result of the market’s initial underreaction to the historic financial data of
the firm and that the markets take time to fully incorporate the financial data into the price of
the high BM firms. | en_US |
