Fundamental Analysis of Australian Stocks
March 25, 2013 - Fundamental Valuation
Do Piotroski’s FSCORE for value stocks and Mohanram’s GSCORE for growth stocks predict winners and losers for non-U.S. stocks? In their March 2013 paper entitled “Fundamental Based Market Strategies”, Angelo Aspris, Nigel Finch, Sean Foley and Zachary Meyer apply previously documented fundamental (accounting-based) strategies to identify Australian stocks expected to outperform and underperform. Specifically, they consider FSCORE, GSCORE (sans advertising input due to lack of data) and RM-Index (combining a valuation assessment with measures of financial performance, creditworthiness, liquidity and operational efficiency). The FSCORE (GSCORE) ranking focuses on the fifth of stocks with the highest (lowest) book-to-market ratios, while the RM-Index ranking considers all stocks in the universe. Annual rescoring of stocks occurs at the beginning of the fifth month after financial year-ends to ensure public availability of data at the time of portfolio reformation. Using returns and fundamentals for S&P/ASX 300 firms during 2000 through 2010, they show that: Keep Reading