Over the course of the last decades, the analysis of structural reasons for equity out- or underperformance has been a widely discusses academic topic. New explanatory factors, such as accruals (Sloan, 1996), were established and former explanatory factors lost some of their predictive power, as Fama and French (2003) show in the case of beta.
One of the more recent explanatory factors is the F-Score (Piotroski, 2000), which has strong practical utility in separating winners from losers in the value segment of the market. In his paper, our friend Jan Mohr provides evidence on the utility of F-Score in the growth segment of the market. This study was done in collaboration with MFIE.
Separating growth stocks by applying F-Score seems to be a promising strategy. In constructing a market-neutral portfolio, buying high F-Score and shorting low F-Score growth stocks seems to yield a positive return.
To get the full version of this interesting paper, click on the link below :Utility_of_Piotroski_F-Score_for_predicting_Growth-Stock_Returns.pdf