VALUE INVESTING WITH F-SCORE -THE STOCK EXCHANGE OF THAILAND (SET) AND MARKET FOR ALTERNATIVE INVESTMENT (MAI)

Abstract

The objective of this research was to investigate the value investing strategy according to Piotroski F-score approach to be applied for classifying value securities into those with good performance  (high F-Score) and those with poor performance (low F-Score). This study used historical financial statements and 9 financial ratios of each company. This data is publicly accessible. The researcher explored all securities listed on the Stock Exchange of Thailand and the MAI between 2007 and 2016. Data was analyzed through descriptive and inferential statistics including mean, standard deviation, correlation analysis, t-test, and correlation coefficient analysis.  The results of this study showed that strong value securities (F-Score between 5- 9) had a higher market-adjusted return than weak value securities (F-Score between 0 - 4) by 10.09% annually when employing a buy-and-hold strategy. Moreover, their return was higher than an average return on investment (ROI) by 11.06% annually.  When other factors influencing the successful investing strategy were considered, it was found that in addition to F-Score approach, market capitalization and book value to market value ratio still could be the predictors of 1-year market-adjusted return for securities listed on SET and MAI with the confidence level of 90%.