Reassessing the Piotroski’s Score: investment effectiveness since the millennium

Chen, Mengke 2026. Reassessing the Piotroski’s Score: investment effectiveness since the millennium. PhD Thesis, Cardiff University. Item availability restricted.

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Abstract

This dissertation reassesses the performance of Piotroski’s F-Score in predicting stock returns in contemporary markets. Using data from 1997 to 2019, I replicate and extend Piotroski (2000) to evaluate whether the strategy retains its effectiveness amid evolving market dynamics and changing risk factor performance. The results show that, since the millennium, the F-Score no longer delivers the strong abnormal returns originally documented: low F-Score firms do not systematically underperform, consistent with evidence that the value and size premiums have also weakened as their abnormal profits were arbitraged away. In contrast, the expectationerrors framework of Piotroski and So (2011) continues to exhibit predictive power, supporting a mispricing-based explanation of return reversals. Importantly, when returns are measured in log terms rather than simple returns, the F-Score retains robust predictive ability in the post- 2000 period. This distinction matters for individual investors, as log returns more heavily penalize large downside risks and better align with behavioral preferences of risk-averse (u-) investors. Taken together, these findings suggest that while traditional portfolio-level profitability of the F-Score has diminished, its predictive content persists through expectation errors and in log-return terms, with important implications for behavioral finance, risk management, and the design of accounting-based investment strategies.

Item Type:	Thesis (PhD)
Date Type:	Completion
Status:	Unpublished
Schools:	Schools > Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General)
Uncontrolled Keywords:	1. Piotroski 2. Investment 3. F-Score 4. Piotroski and So (2011) 5. mispricing-based explanation 6. risk management
Date of First Compliant Deposit:	7 September 2026
Last Modified:	07 Sep 2026 10:02
URI:	https://orca.cardiff.ac.uk/id/eprint/189413

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