Research On Value Investment Based On Piotroski Strategy

Since the birth of the capital market,investors and researchers have been looking for effective ways to screen investments and targets.In the meantime,a variety of theories and methods of investment analysis have been generated,among which,the generation of value investment theory undoubtedly has a far-reaching influence,which is favored by scholars and investors.Researchers in the later period on the value investment theory extension and development of the theory of value investment idea related empirical and effectiveness of research emerge in endlessly,but few practical value on the market or choose a strategy of investment.And the actual situation of the market is,with the development of capital market,more and more kinds of investment risk arise,the investors'risk consciousness is also rising,so what the market need is practical and guiding strategy for investors.This research is based on the value investment idea,according to Piotroski strategy,to our country 's stock market classification of software and information technology services industry,building stock grading and screening methods,valuing investment strategy 's validity and applicability in stock selection,providing the corresponding strategies for reference to our country stock market investors.The reasonableness of the value investment idea is undoubtedly,but feasible investment or stock option method is not much.In 2000,the scholars of the university of Chicago Piotroski proposed the famous Piotroski stock selection strategy,this method is based on the analysis of the company's fundamental information,then choose the undervalued stocks,scoring the high-quality stock portfolio.The investigation object of this paper is new and high technology industries concentrated software and information technology services,as the rapid development of high technical and industry,the company will also present characteristics different from those of others.According to Piotroski strategy,for companies from software and information technology services,rating the performance of individual stocks during 1996-2016.Different from the original strategy,this article in view of the characteristics of the industry,the current ratio and return on sales two indicators has carried on the elaboration,for the industry,higher liquidity and profitability higher requirements are put forward.Based on the score,the best and worst combination of stocks with the highest score and the lowest score was found,and it was found that the combination yield of the optimal combination was generally higher than the worst combination.For the optimal combination of performance inspection during the period of the year in the probability of 90%higher than the Shenzhen composite index and Shanghai composite index.In the average annual earnings horizontal comparison,the optimal combination with 40.60%of the average yield more than the benefits of the Shenzhen composite index 20.07%and Shanghai composite index yields 14.88%.At the same time,if building a.set of combination that buy Piotroski and purchase of the Shenzhen composite index,holding for a year.Probability that the optimal combination's excess returns can be more than that of the Shenzhen composite index returns is about 65%.It shows that Piotroski strategy can capture the investment opportunity in the market well and obtain the excess return.Meanwhile,it shows that there is some investment profit space in the industry.Considering that in our country's market,investors' holding period is shorter,and the regulation of information disclosure of listed companies in our country,to ensure data availability,this paper select data from the first quarter of 2015 to the fourth quarter of 2017.Under the condition of the holding period for 3 months,the performance of the optimal combination is better than the worst combination,in comparing with the CSI 300 index,the probability that the optimum combination higher than the market index reached 67%,compared to the annual holding's 90%,the result is slightly inferior.But on average,the optimal portfolio outperformed the market index by 1.31%,with an average portfolio yield of 14.61%.This article also measured influence degree that the selected Piotroski strategy factors to individual stock's yield.Building multivariate regression models,examining the explanatory power of the factors.In this paper,the selected indicators' explanatory power for individual stocks yield changes can reach 70%,is effective in the real situation.Therefore,through a series of empirical research,this paper argues that Piotroski strategy based on the theory of value investing is instructive for investor of our country's capital market.this article is for the software and information technology services industry,if the research or investment is for other industries,we can adjust details of the strategy.In industry research and company research,Piotroski strategy can also be applied flexibly.