Piotroski's Fscore under varying economic conditions
研究了Piotroski的Fscore在不同经济周期下的变化，发现宏观经济状况显著影响Fscore，且在经济收缩期货币和宏观因素比公司层面因素更重要，提醒投资者在不同经济阶段使用Fscore时需谨慎。
Abstract Piotroski’s Fscore has become increasingly important to investment managers and analysts as a simple measure of a company’s financial strength. However, how it changes over time, and in particular how it reacts under different economic conditions, has not been considered until now. Macroeconomic conditions and the business cycle affect corporate valuations via stock prices. They also affect corporate liquidity, cash flow, profitability, efficiency, financing, capital structure, and thus Fscores. The Fscore is currently used as if it gives similar results in all economic states, but this is not the case. While macroeconomic conditions strongly affect the aggregate Fscore, the effect of particular variables changes greatly depending on the stage of the economic cycle. During contractionary episodes, monetary and macro-economic factors become much more critical and outweigh firm-level factors in determining Fscore values. Investors should, therefore, be particularly cautious in applying the Fscore equally during contractions as during expansionary periods.