Journal of Finance and Bank Management

How effective is the Piotroski Screen on Value Stock Selection on the JSE?
Joachim Christoffel Van der Merwe; Dr. Trevor Taft; Prof. Oludele A., Akinboade

Abstract
This paper investigates the effectiveness of the Piotroski screen on the Johannesburg Stock Exchange (JSE) since it was first published in 2000. Data used covers the 2000-2011 period. For each year since 2000 till 2011, the Piotroski screen is used to select a portfolio of financially strong firms from the value firms on the JSE. Although no conclusive evidence is found that the mean returns from the portfolio of screened financially strong firms are significantly better than the portfolio of value stocks, it is strongly suspected that the small group of firms that are identified as being financially the strongest by the Piotroski screen have a decreased probability of containing firms with negative one year buy-and-hold returns compared to the other portfolios. Although the outcome is inconclusive due to small sample sizes, it is also strongly suspected that the one year buy-and-hold strategy yielded returns that are in the order of almost four times better than the five year buy-and-hold strategy.

Full Text: PDF     DOI: 10.15640/jfbm.v4n1a5