Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market
The aim of the paper is to analyse the effectiveness of F-Score-like models using the example of the Polish stock market. F-Score is a scoring model based on a high B/M investing strategy, which uses fundamental signals to assess the economic condition of an entity. So far, its effectiveness has bee...
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| Format: | Article |
| Language: | English |
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Sciendo
2023-12-01
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| Series: | Economics and Business Review |
| Subjects: | |
| Online Access: | https://doi.org/10.18559/ebr.2023.4.1075 |
| _version_ | 1827370196481867776 |
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| author | Pilch Bartłomiej |
| author_facet | Pilch Bartłomiej |
| author_sort | Pilch Bartłomiej |
| collection | DOAJ |
| description | The aim of the paper is to analyse the effectiveness of F-Score-like models using the example of the Polish stock market. F-Score is a scoring model based on a high B/M investing strategy, which uses fundamental signals to assess the economic condition of an entity. So far, its effectiveness has been generally proven in numerous stock markets worldwide. However, no comprehensive study focusing on the Polish market has been conducted. Therefore, F-Score and similar models (FS-Score and PiotroskiTrfm) were analysed in this regard. It was shown that companies with higher scores generated positive both raw and market-adjusted returns on average. However, they were lower than the mean returns of low-score companies (for FS-Score) or total high B/M portfolio (regarding F-Score and PiotroskiTrfm). The results of the study show that F-Score, FS-Score and PiotroskiTrfm are generally effective investing tools. However, it might be more advisable for value investors to choose a total high B/M portfolio instead of shares of high-score entities according to F-Score or PiotroskiTrfm. |
| first_indexed | 2024-03-08T10:10:57Z |
| format | Article |
| id | doaj.art-8dd9d67c32494da78f09bfc55b4efd9c |
| institution | Directory Open Access Journal |
| issn | 2450-0097 |
| language | English |
| last_indexed | 2024-03-08T10:10:57Z |
| publishDate | 2023-12-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Economics and Business Review |
| spelling | doaj.art-8dd9d67c32494da78f09bfc55b4efd9c2024-01-29T08:49:25ZengSciendoEconomics and Business Review2450-00972023-12-019412115210.18559/ebr.2023.4.1075Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock marketPilch Bartłomiej01Cracow University of Economics, Institute of Finance, ul. Rakowicka 27, 31-510Kraków, PolandThe aim of the paper is to analyse the effectiveness of F-Score-like models using the example of the Polish stock market. F-Score is a scoring model based on a high B/M investing strategy, which uses fundamental signals to assess the economic condition of an entity. So far, its effectiveness has been generally proven in numerous stock markets worldwide. However, no comprehensive study focusing on the Polish market has been conducted. Therefore, F-Score and similar models (FS-Score and PiotroskiTrfm) were analysed in this regard. It was shown that companies with higher scores generated positive both raw and market-adjusted returns on average. However, they were lower than the mean returns of low-score companies (for FS-Score) or total high B/M portfolio (regarding F-Score and PiotroskiTrfm). The results of the study show that F-Score, FS-Score and PiotroskiTrfm are generally effective investing tools. However, it might be more advisable for value investors to choose a total high B/M portfolio instead of shares of high-score entities according to F-Score or PiotroskiTrfm.https://doi.org/10.18559/ebr.2023.4.1075f-scorehigh b/minvestment strategyvalue investingg11m20m41 |
| spellingShingle | Pilch Bartłomiej Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market Economics and Business Review f-score high b/m investment strategy value investing g11 m20 m41 |
| title | Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market |
| title_full | Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market |
| title_fullStr | Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market |
| title_full_unstemmed | Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market |
| title_short | Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market |
| title_sort | is value investing based on scoring models effective the verification of f score based strategy in the polish stock market |
| topic | f-score high b/m investment strategy value investing g11 m20 m41 |
| url | https://doi.org/10.18559/ebr.2023.4.1075 |
| work_keys_str_mv | AT pilchbartłomiej isvalueinvestingbasedonscoringmodelseffectivetheverificationoffscorebasedstrategyinthepolishstockmarket |