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School of Business | Department of Finance | Finance | 2015
Thesis number: 14171
Value investing: Shiller CAPE and Piotroski F-Score
Author: Aimola, Erkka
Title: Value investing: Shiller CAPE and Piotroski F-Score
Year: 2015  Language: eng
Department: Department of Finance
Academic subject: Finance
Index terms: rahoitus; financing; sijoitukset; investments; strategia; strategy; markkinat; markets; tehokkuus; effectiveness
Pages: 57
Key terms: Value investing, efficient market hypothesis, technical analysis

The purpose of this thesis is to examine whether high book-to-market (value) stock investing strategy can be improved in terms of risk adjusted and absolute returns with the use of mechanical financial statement analysis method introduced by Piotroski (2000) and international stock market valuation in the U.S., Japanese and Spanish markets by using valuation method presented by Campbell and Shiller (1998). The main objective is to compare the returns of the portfolios to benchmark index and to see if it can be outperformed.


The data of this study consists of total 36,323 firm-year observations between 2003 and 2013 listed in the New York Stock Exchange (NYSE), NYSE MKT LLC (former American Stock Exchange or AMEX), National Association for Securities Dealers Automated Quotations (NASDAQ), Madrid Stock Exchange (Bolsa de Madrid), and Tokyo Stock Exchange (TSE). The data used in this study are gathered via Thomson One Banker and Datastream databases. All the companies in finance, insurance and real estate industries (standard industry classification codes 6021-6799) were excluded from the study due to the nature of the financial statements, which makes them incomparable to other companies in this study.


The findings of this research prove that value premium does exist and the benchmark index can be outperformed. Furthermore, the study succeeds to verify that the addition of fundamental financial statement analysis to stock selection can increase the portfolio's performance. However, the results with respect to stock market valuation are not as explicit in short-term, since both undervalued and overvalued portfolios seem to show signs of abnormal returns.
Master's theses are stored at Learning Centre in Otaniemi.