The Use of Accounting Screens for Separating Winners from Losers Among the S&P 500 Stocks

Authors

  • Victoria Geyfman Bloomsburg University of Pennsylvania
  • Hayden Wimmer Georgia Southern University
  • Roy Rada University of Maryland Baltimore County

Keywords:

Accounting, Finance, Stocks, Book-to-market, S&P 500 Stocks

Abstract

This study uses accounting screens based on the Piotroski’s (2000) F-score and the derived MagicP formulae and finds that it is an effective investment strategy, which results in risk-adjusted outperformance of stocks with high book-to-market (BM) ratios over a market weighted benchmark portfolio and its subset of growth stocks. Unlike other studies that utilized similar tests on smaller firms, we examine the performance of large value stocks within the S&P 500 between 2007 and 2014 and find evidence of the value premium. The results were robust to the time period; in fact, the highest-ranked value stocks suffered less severely during the period of market correction.

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Published

2019-03-11

How to Cite

Geyfman, V., Wimmer, H., & Rada, R. (2019). The Use of Accounting Screens for Separating Winners from Losers Among the S&P 500 Stocks. Journal of Accounting and Finance, 16(1). Retrieved from https://articlegateway.com/index.php/JAF/article/view/996

Issue

Section

Articles