High Book-to-Market Firms : Separating Winning Winners from Losing Winners using a Contextual Approach

• Main Authors: Westin, Peter, Petri, Johan
• Format: Others
• Language: English
• Published: Uppsala universitet, Företagsekonomiska institutionen 2010
• Subjects: Business studies; Företagsekonomi
• Online Access: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-144067

This paper examines the performance of the model constructed by Piotroski (2000) in the time period of 2000-2009 and constructs three new models based on the relative performances of the firms in the data sample. Thenew models are constructed on the basis of medians and quartiles of firm performances in the sample as well asmedians drawn from the industrial groups present in the sample, primarily to improve returns, but also in orderto screen for firms that are at risk for earnings management. These additional models yield greater returns onlong position investments but show considerably worse results on short positions.