Extend Value Investing Studies Beyond 1997 - Call for Participation or Suggestions
Spek, you are absolutely right, Piotroski did try to separate the strong low P/B stocks from weak ones, to further enhance the performance. He used a nine-point F_score system as you described in your message.
Generally speaking, most academics agreed the lowest decile (10%) P/B books outperformed market by 5% or more, and beat the highest decile of P/B stocks by about 10%, that's based on data mining of last 3 decades (mostly before 1997). The studies I have seen generally have the P/B less than 1.1 or 1.3. Tweedy Browne even had a study on Graham style 66%-net-liquidation-value stocks, and the results are even more impressive, around 26% per year the 3 years after qualified. There were one or two studies cover up to 2000, and showed 1998-2000 were anomalies of this big trend (value beat glamour)
I am interested in extending those studies to including 1997-2004, maybe adding a few simple new tweaks. I am a programmer so it should not be too hard. I would like to know if anyone here like to join me, to add your ideas on what to research, and contacting those people to get details on their prior studies, or finding cheap/free data sources (compustat stuff). Any suggestions/comments would be appreciated too.
I must be crazy to think about this on Christmas Day! Anyway this is me, I am in the game and dedicated. The market had rewarded me enough in the last 13 years for me to keep the passion.
Merry Christmas to everyone!
Steve |
