| Summary: | 碩士 === 元智大學 === 會計學程 === 99 === Piotroski (2000) used simple accounting-based fundamental analysis information to construct F_SCORE, which can separate good firms and bad firms from value stocks. Piotroski (2000) also formed a buy-and-hold strategy by using F-SCORE to earn abnormal returns. Ohlson and Feltham (1995, 1999) suggest that firm’s net assets and income should separate into operating and financial activities, because the two activities have different implication on firm’s value. The purpose of this study is to modify F_SCORE by separate accounting numbers into operating activities and financial activities, and to examine whether this modified index can lead to a higher abnormal return when we form a investment portfolio. .
The findings of this research includes: 1. F_SCORE (Piotroski, 2000) can separate good firms and bad firms from high book-to-market firms in Taiwan Capital markets. 2. after separating accounting numbers into operating activities and financial activities, an buy –and-hold strategy formed with J_SCORE can generates 34.1% annual return during 2009, while with F_SCORE, the abnormal return is only 33.4%.
This study’s conclusion lends a support to prior research that when evaluation a firms’ value, accounting numbers should be divided into operating activities and financial activities, owing to different implication about firm’s value and future profitability.
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