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SSRN-id2231809.pdf

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📊 Size: 1.16 MB
👤 Author: vostro320
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Summary

A study examines fundamental-based market strategies, showing that superior performance can be earned by identifying firms with favorable performance and credit signals. The strategies, including Piotroski's F-Score, Mohanram's G-Score, and the RM-Index, consistently outperform the market on a risk-adjusted basis, with annualized excess returns of 43.1%, 20.1%, and 14.3%, respectively. The results are robust over time and to risk and transaction cost considerations, and suggest that the market may not instantaneously impound all publicly available information into prices.

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Description

A study examines fundamental-based market strategies, showing that superior performance can be earned by identifying firms with favorable performance and...

Technical Information

  • File Format: PDF
  • File Size: 1.16 MB
  • Pages: 23
  • Language: EN
  • Author: vostro320
  • Total Downloads: 40
  • Last Updated: 4 weeks ago

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