Fundamental analysis and the use of financial statement information to separate winners and losers in frontier markets: Evidence from Vietnam

Tuan Q Ho*, Y Nguyen, Hieu Tran, Dinh-Tri Vo

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-review

Abstract

We study the usefulness of Piotroski (2000)’s F-score in separating winners and losers in Vietnam. Using a sample of 622 of listed firms between 2009 and 2019, we find that value firms with high F-score earn positive abnormal return while value firms with low F-score earn negative abnormal returns. As a result, a hedge strategy which buys high-F-score firms and sells low-F-score firms yield a raw return of 30.8 percent and market-adjusted return of 30.5 percent annually, which is statistically and economically significant. The hedge strategy based on F-score is not only profitable for value (high book-to-market) firms but also earn abnormal returns in a sample of growth (low book-to-market) firms, suggesting that the usefulness of F-score strategy is not just a phenomenon in value firms as documented in previous literature. Our results provide supporting evidence for the use of financial statement analysis as a screening tool to improve the performance of value investment in Vietnamese stock market and for the training of financial reporting and fundamental analysis in universities.
Original languageEnglish
JournalInternational Journal of Emerging Markets
Publication statusAccepted/In press - 31 May 2021

Structured keywords

  • AF Financial Reporting
  • AF Financial Markets

Keywords

  • Financial statement analysis
  • Fundamental analysis
  • Investment strategies
  • F-score

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