Achieving higher returns with Piotroski’s F_Score model - An empirical study on the Swedish stock market

Abstract: This thesis evaluates the success of a fundamental investing strategy on the Swedish stock market between 2004 and 2016. The main purpose is to examine if the F_Score system developed by Piotroski (2000) could be used to identify winners and losers during aforementioned time frame. A lot of research has previously been conducted on the topic of fundamental investing and some focusing on F_Score. This work should be seen as a contribution to the existing research. It contributes by examining a different region during a different time and by changing some of the system’s characteristics. The collected data is statistically tested using a t-test with varying levels of significance. The results of the thesis imply that a investor could increase his or her risk-adjusted returns by using Piotroski’s system to separate good firms from bad. Moreover, it implies that the investor could garner a greater risk-adjusted return than the market in general, which contradicts the efficient market hypothesis.