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Building of F-Score-Like Models on the Example of the Polish Stock Market

100%

Pilch B.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

2023

vol. 57

issue 1

155-180

Theoretical background: Value investing is one of the most popular investing approaches. In their frame, there could be a high B/M investing strategy identified. F-Score, developed by Piotroski, is a scoring model applied to the sample of high B/M entities. Its purpose is to select companies with strong financial foundations and buy their shares for the investment portfolio to generate positive market-adjusted returns in the following periods. The effectiveness of this model was mostly empirically confirmed, especially regarding developed markets. Purpose of the article: The main aim of the paper was to build F-Score-like models based on the data from the Polish stock market. The main hypothesis concerned the higher effectiveness of such models than F-Score, as the specificity of a given market should result in a better fit to the data. Research methods: Building of the models based on the discriminant analysis and formation of the investment portfolios based on the indications of these models as well as F-Score. Finally, backtesting of the portfolios built to assess their effectiveness. The sample covered most of the Polish-listed companies. The period taken into account was 2012–2022. Main findings: Models built (X-Score and Y-Score) were less efficient than F-Score. Moreover, they led to generating negative rates of return (both raw and market-adjusted). On the other hand, using of F-Score for the analyzed period seems to be purposeful due to the 1.35% mean annual market-adjusted return generated. Apart from the scoring models analyzed, the research partially confirmed the advisability of using a high B/M investing strategy. Generally, the results obtained are in line with the findings of most of other authors –regarding the F-Score effectiveness. However, an approach based on Mohanram’s idea – using the differences between absolute values of a given variable and median from the sample – proved to be inadequate in the Polish stock market.

Assessment Of Efficiency Of Piotroski F-Score Strategy In The Warsaw Stock Exchange

72%

Kusowska M.

Przedsiębiorstwo we współczesnej gospodarce - teoria i praktyka

2021

vol. 1

issue 32

47-59

Piotroski F-score to strategia stosowana na giełdzie, która integruje analizę sygnałów finansowych w tzw. inwestowanie w wartość. Celem artykułu jest ocena efektywności Piotroskiego F-score na przykładzie Giełdy Papierów Wartościowych w Warszawie w latach 2014–2020. Zasadność podjęcia tego tematu wynika z niewystarczającej ilości dotych-czas przeprowadzonych badań. Niewiele jest analiz strategii F-score zarówno w Polsce, jak i na rynkach zagranicznych. W artykule przedstawiono wyniki zastosowania Piotroskiego F-score do indeksu WIG30 w celu weryfikacji, czy strategia prowadzi do wzrostu stopy zwrotu z inwestycji w wartościowe spółki. Badanie potwierdziło, że analiza sprawozdań finansowych jako dodatkowy etap inwestowania wartości może zapewnić inwestorowi wyższe zyski. Udowodniono również, że strategia F-score jest skuteczniejsza niż zwykłe inwestowanie w indeks WIG30. Portfele z firmami o wysokim wskaźniku F okazały się bardziej efektywne niż portfele zawierające tylko firmy o niskim wskaźniku F.

Piotroski F-score is a strategy applied to the stock exchange that integrates the analysis of financial signals into the so-called investing in value. The aim of the article is to evaluate the efficiency of Piotroski F-score on the example of the Warsaw Stock Exchange in period 2014–2020. The legitimacy of addressing this subject results from the insufficient amount of research conducted so far. There are very few analyzes of the F-score strategy both in Poland and in foreign markets. The article presents the results of applying Piotroski F-score to the WIG30 index in order to verify whether the strategy leads to an increase in the rate of return on investment in value companies. The study confirmed that analysis of financial statements as an additional stage of value investing can provide the investor with higher returns. It has been also proved that the F-score strategy is more efficient than simple investing in the WIG30 index. Portfolios with high F-score companies appeared to be more efficient than portfolios including only low F-score firms.

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1 Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

1 Przedsiębiorstwo we współczesnej gospodarce - teoria i praktyka

1 Kusowska M.

1 Pilch B.

1 2023

1 2021

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Building of F-Score-Like Models on the Example of the Polish Stock Market

Assessment Of Efficiency Of Piotroski F-Score Strategy In The Warsaw Stock Exchange