ETT HANDSLAG MED PIOTROSKI - BETYDELSEN AV HANDELSVOLYM OCH OMSÄTTNINGSHASTIGHET

Abstract

This paper examines and continues the findings of Piotroski (2000) when applied to U.S. data from 2004-2014. By sorting companies according to fundamental values, historical turnover rates and trading volume, three models are created in an attempt to beat the market and Piotroskis original model. The first model recognizes companies depending on levels of turnover rates. The second model focuses on historical trading volume while the third model examines how momentum in trading volume can be used to predict future price movements. The results show that historical turnover rates and trading volume contains valuable information for an investor who practices value investing. Moreover, all models exercise better performance than Piotroskis original model to some extent.