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2015 Conference

October 15–16, 2015

Orlando, FL

Welcome to the AFS Conference 2015 Schedule App. Please use the search features to see when your session or poster has been scheduled to take place. 

The Indivdual Investor and The Piotroski Screen Variables

Thursday, October 15, 2015 at 2:05 PM–3:35 PM EDT
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Value Investing, Fundamental Analysis

Very short description for use in the program to help attendees understand more than a title can describe

This paper examines the breakdown in the effectiveness of the Piotroski (2000) fundamental analysis screen for value stocks.  While the Piotroski screen is very popular with individual investors, recent research shows that it is ineffective after Piotroski's original sample period.  This paper uses stepwise regression to test the effectiveness of the individual components of Piotroski's screen and reaches three conclusions: 1) some of the variables have no significant impact on future returns, making the screen over specified; 2) more critically, other variables in the screen are likely to provide perverse predictions for future returns; 3) those variables that do effectively predict future returns in some periods are inconsistent in other periods.  Overall our conclusion is that the Piotroski screen should be used with caution.

Lead & Corresponding Author

Melissa Woodley, PhD, Creighton University
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Additional Authors

Glenn N. Pettengill, PhD, Grand Valley State University
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Noah Thelen, Grand Valley State University
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