Effect of F Score on Stock Performance: Evidence from Indian Equity Market

This study seeks to examine whether value investing strategy based on F Score when applied to high book to market firms can significantly shift the current and future stock performance in favour of the investor in the Indian market. The study engages the panel data model to analyse the impact of high F Score on contemporaneous and future stock returns (Rt and Rt+1), return on equity (ROEt and ROEt+1) and market to book value (MTBVt and MTBVt+1) as stock performance measures. The study concludes that high book to market firms with high F Score can shift the distribution of contemporaneous and future stock performances in favour of investors in the Indian market. However such observation is most prominent and statistically significant at higher level when applied to future stock valuation measures than the future stock return as measures of stock performance. The outcome of the study would no doubt help the individual value investors, mutual fund managers and value investing strategists who have presence in the Indian market.