Author(s)

Tanzesi He, Bing Tan

Corresponding Author

Bing Tan

Abstract

In general, Piotroski’s F-score works in picking out winners among high book-to-market stocks in Europe. The benefits that this fundamental analysis strategy brings are most significant among the largest size value firms over two-year holding period. Given the high F-score, value firms with more R&D expenses tend to have better performance in future returns.

Keywords

F-score, Value, Europe, Stock market