The excellent Empirical Finance Blog has a superb series of posts on an investment strategy called “Profit and Value” (How “Magic” is the Magic Formula? and The Other Side of Value), which Wes describes as the “academic version” of Joel Greenblatt’s “Magic Formula.” (Incidentally, Greenblatt is speaking at the New York Value Investors Congress in October [...]
Posts Tagged ‘Book value’
An examination of the “Profit and Value” strategy
Posted in About, Quantitative investment, Stocks, tagged Book value, Joel Greenblatt, Magic Formula, Quant Investing on June 21, 2011 | 25 Comments »
Piotroski’s F_SCORE
Posted in About, Stocks, Value Investment, tagged Book value, F_SCORE, Piotroski, Price-to-book Value, Value Investment on November 30, 2009 | 4 Comments »
The second method for boosting the performance of book value as a predictor of future investment returns is Joseph D. Piotroski’s elegant F_SCORE. Piotroski first discussed his F_SCORE in 2002 in Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers. In the paper, Piotroski examines whether the application of a simple accounting-based fundamental analysis strategy [...]
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