Abstract
Joseph D. Piotroski（2000） selects some good companies by using a certain evaluation standard, called F score, from high-book-to-market portfolio. The results show that the filtered portfolio can provide us with better investment performance. Our research focuses on conducting empirical results for this strategy in Taiwan’s stock market. We would like to examine that whether excessive return can be generated by adopting this strategy. Further, we also calculate the winning rate of investment by using probability model and allocate risky capital through the model. We want to better the portfolio performance by controlling the capital. Our research period is based on 1990 to 2010, and the empirical result shows that high-book-to-market portfolio, high score portfolio and capital control portfolio can provide market-adjusted return of 12.72%, 14.93% and 12.80% individually from the perspective of arithmetic average number. However, from the aspect of geometric average view, they can provide investment return of 8.72%, 10.77% and 13.49%. When we use the Sharpe index to test the result, we find that high-book-to-market portfolio can indeed provide better investment performance compared to market portfolio. Moreover, the portfolio filtered by F score can provide performance greater than high-book-to-market portfolio. Finally, we can better the portfolio performance by controlling the capital using probability model.
Published Version
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