A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement

Authors

  • Nusrat Jahan University of Akron, USA & University of Dhaka, Bangladesh
  • John J. Cheh The University of Akron
  • Il-woon Kim The University of Akron

DOI:

https://doi.org/10.18533/jefs.v4i1.219

Keywords:

Investment models, Ranking, Rebalancing periods, Screening.

Abstract

We examine the investment models of Benjamin Graham and Joseph Piotroski and compare the efficacy of these two models by running backtest, using screening rules and ranking systems built in Portfolio 123. Using different combinations of screening rules and ranking systems, we also examine the performance of Piotroski and Graham investment models. We find that the combination of Piotroski and Graham investment models performs better than S&P 500. We also find that the Piotroski screening with Graham ranking generates the highest average annualized return among different combinations of screening rules and ranking systems analyzed in this paper. Overall, our results show a profound impact of accounting information on investor’s decision making.    

Author Biographies

Nusrat Jahan, University of Akron, USA & University of Dhaka, Bangladesh

<p>Assistant Professor, Department of Accounting &amp; Information Systems,</p><p>University of Dhaka, Bangladesh</p><p>&amp; </p><p>Fulbright Scholar, The University of Akron, USA</p>

John J. Cheh, The University of Akron

Professor, George W. Daverio School of Accountancy,College of Business Administration

Il-woon Kim, The University of Akron

ProfessorGeorge W. Daverio School of AccountancyCollege of Business Administration

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Published

2016-03-08

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Articles