| Abstract: | A market‐neutral strategy that is long [short] stocks with a high [low] Piotroski F‐score generates an index‐weighted 0.8 percent pm on S&P/ASX 200 stocks and 1.4 percent pm on smaller stocks. Equal‐weighted returns are higher and in all cases returns are statistically significant. However, the Carhart model alphas are not statistically significant except in the case of equal‐weighted small cap portfolios. For such portfolios, however, most of the alpha comes from the short side and most institutional investors would find them uninvestable due to capacity constraints. A range of tests indicate that analyst neglect does not explain the F‐score premium. |
