Footnote:
In: Journal of Financial Research, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 8, 2017 erstellt
Description:
We examine the role of fundamental accounting information in shaping portfolio performance. Using a conditional performance approach, we address the concern that the positive relationship between Piotroski's F Score and ex post returns is due to risk compensation. Our results show that portfolios of firms with strong fundamental underpinnings generate significant positive and time-varying performance. One potential source of these performance gains is an under-reaction to public information (such as momentum and F Score) when information uncertainty (proxied by size, illiquidity, and idiosyncratic volatility) is high. In addition, conditional performance benefits seem prevalent in periods of high investor sentiment