Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-12-11 DOI:10.18559/ebr.2023.4.1075

Bartłomiej Pilch

引用次数: 0

Abstract

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.

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基于评分模型的价值投资是否有效？在波兰股市验证基于 F 分数的策略

本文旨在以波兰股市为例，分析类似 F-Score 模型的有效性。F-Score 是一种基于高 B/M 投资策略的评分模型，它使用基本面信号来评估实体的经济状况。迄今为止，其有效性已在全球众多股票市场中得到普遍验证。但是，还没有针对波兰市场的全面研究。因此，我们对 F-Score 和类似模型（FS-Score 和 PiotroskiTrfm）进行了分析。结果表明，得分较高的公司平均产生了正的原始回报和市场调整回报。不过，它们低于低分公司（FS-Score）或高 B/M 投资组合（F-Score 和 PiotroskiTrfm）的平均回报率。研究结果表明，F-Score、FS-Score 和 PiotroskiTrfm 通常是有效的投资工具。不过，对于价值投资者来说，更可取的做法可能是选择总的高 B/M 投资组合，而不是根据 F-Score 或 PiotroskiTrfm 选择高分实体的股票。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.