Quality investing in Asian stock markets

Ng, Chi Cheong Allen; Shen, Jianfu

doi:10.1111/acfi.12446

Cited by 11 publications

(11 citation statements)

References 55 publications

(146 reference statements)

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“…'Significant' indicates whether the return effect associated with FSCORE is significant after risk adjustment Wang 2017), where the FSCORE has been initially discovered, Australia (Hyde 2018), and five individual Asian markets (Ng and Shen 2019). 2 Except for Ng and Shen (2019), who also focus on the post-2000 era, the two other studies investigate more extended sample periods that also include the years before 2000.…”

Section: The Pure Fscore-return Relation and Size Segmentationmentioning

confidence: 99%

“…Tikkanen and Äijö (2018) show that incorporating the information contained in FSCORE improves the performance of various long-only value investing strategies in Europe that are formed on valuation ratios other than book-to-market. Finally, Hyde (2018) and Ng and Shen (2019) provide evidence on the marketwide FSCORE-return relation in Australia and five Asian equity markets.…”

Section: Introductionmentioning

confidence: 99%

“…In this paper, we revisit the FSCORE and study its returnpredictive ability in the broad cross section of international firms drawn from 20 developed non-US markets and 15 emerging markets in a unified framework of analysis over the post-publication period 2000-2018. We follow the path recently traveled by Hyde (2018) and Ng and Shen (2019) who also extend the scope of Piotroski (2000) by not just focusing on the application of FSCORE among value stocks but across all sample firms to shed light on its global economic importance as an average-return predictor.…”

Section: Introductionmentioning

confidence: 99%

“…We do not include selling, general, and administrative expenses, as this item is not broadly available among international firms. The return predictability of operating profitability is, however, not affected by this adjustment.2 The five Asian markets inNg and Shen (2019) are Hong Kong, Japan, Korea, Singapore, and Taiwan.…”

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confidence: 99%

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Piotroski’s FSCORE: international evidence

Walkshäusl

2020

J Asset Manag

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Almost 20 years after its publication, Piotroski's (J Account Res 38:1-41, 2000) FSCORE, the composite measure of the firm's fundamental strength remains a strong predictor of subsequent stock returns and future profitability in international markets over the 2000-2018 period. Across developed non-US countries as well as emerging countries, high-FSCORE firms significantly outperform low-FSCORE firms by about 10% per year. Furthermore, FSCORE preserves its return-predictive power in all size segments after controlling for established cross-sectional return determinants, such as firm size, book-tomarket, momentum, operating profitability, and investment. The findings are consistent with the view that fundamental information is only gradually incorporated into prices by investors.

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Section: The Pure Fscore-return Relation and Size Segmentationmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

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Piotroski’s FSCORE: international evidence

Walkshäusl

2020

J Asset Manag

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“…Gross profitability is a part of their profitability component. Outside the US market, Ng and Shen (2019) find that gross profitability is significantly linked with the subsequent stock returns in the developed Asian markets. Institutional investors demand quality stocks that have high gross profitability.…”

Section: Literature Reviewmentioning

confidence: 99%

Empirical evidence of profitability anomaly in the Thai stock market

Kakinuma¹

2020

Journal of International Studies

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This study presents empirical evidence of profitability anomaly in the Stock Exchange of Thailand. The effects of gross profitability, operating profitability, and cash flow-to-price (C/P) on the subsequent stock returns are examined using the data from 2002 to 2019. The results of Fama-Macbeth (1973) regression and Carhart (1997) four-factor model indicate that gross profitability and C/P have significant explanatory power for future returns but not operating profitability. Further analysis confirms that gross profitability-sorted portfolio generates the largest risk-adjusted return and C/P-sorted portfolio presents the best consistency to outperform the market. Investing in the portfolios consisted of stocks with high gross profitability and C/P provides protection from the market downside.

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Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market

Pätäri

Leivo

Ahmed

2021

Financ Mark Portf Manag

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This paper examines the added value of using financial statement information, particularly that of Piotroski’s (J Account Res 38:1, 2000. https://doi.org/10.2307/2672906) FSCORE, for equity portfolio selection in the German stock market in a realistic research setting in which the critique against the implementability of FSCORE-based trading strategies is taken into account. We show that the performance of annually rebalanced long-only portfolios formed on any of the examined 12 accounting-based primary criteria improves by including the FSCORE as a supplementary criterion. Our study is the first to show that although the FSCORE boost is strongest for the 1-year holding period length, it also holds, on average, for the 3-year holding period. The use of a 3-year updating frequency is particularly beneficial for the low-accrual portfolio that—when supplemented with the high-FSCORE threshold—generates the best overall performance among all 75 portfolios examined. Moreover, we show that a high FSCORE is also an efficient stand-alone criterion for long-only portfolio formation.

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Quality investing in Asian stock markets

Abstract: This is the Preprint Version.

Cited by 11 publications

References 55 publications

Piotroski’s FSCORE: international evidence

Piotroski’s FSCORE: international evidence

Empirical evidence of profitability anomaly in the Thai stock market

Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market

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