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@article{ART002364905},
author={KimKyuHyong and ChangwooPhilipLim and Taegyu Jeong},
title={A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE},
journal={Asset Management Review},
issn={2288-6672},
year={2018},
volume={6},
number={1},
pages={53-82},
doi={10.23007/amr.2018.6.1.53}

TY - JOUR
AU - KimKyuHyong
AU - ChangwooPhilipLim
AU - Taegyu Jeong
TI - A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE
JO - Asset Management Review
PY - 2018
VL - 6
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 53
EP - 82
SN - 2288-6672
AB - We applied Piotroski’s FSCORE (2000) to select value stocks as portfolio components. We subdivided the value stock portfolio into buying group and selling group, and then we applied various loser following on-line portfolio strategies. In the process, we decided what to buy and what to sell(short selling) on daily basis. We found RMR strategy and OLMAR strategy are the best performers, while CWMR and PAMR strategies are less successful. This may imply that the value stocks have mean reverting or trending properties. For the comparison, we applied Mohanram 's GSCORE to select the growth stocks and followed the same process as we did for the Piotroski’s FSCORE. We found that every loser following on-line portfolio strategy that we applied did not outperform market returns in the final cumulative return. This seems to imply that the random walking property is dominant in the growth stock portfolio.
KW - Loser following on-line portfolio strategy;Machine Learning;F SCORE;GSCORE;RMR;OLMAR;CWMR;PMAR
DO - 10.23007/amr.2018.6.1.53
ER -

KimKyuHyong, ChangwooPhilipLim and Taegyu Jeong. (2018). A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE. Asset Management Review, 6(1), 53-82.

KimKyuHyong, ChangwooPhilipLim and Taegyu Jeong. 2018, "A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE", Asset Management Review, vol.6, no.1 pp.53-82. Available from: doi:10.23007/amr.2018.6.1.53

KimKyuHyong, ChangwooPhilipLim, Taegyu Jeong "A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE" Asset Management Review 6.1 pp.53-82 (2018) : 53.

KimKyuHyong, ChangwooPhilipLim, Taegyu Jeong. A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE. 2018; 6(1), 53-82. Available from: doi:10.23007/amr.2018.6.1.53

KimKyuHyong, ChangwooPhilipLim and Taegyu Jeong. "A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE" Asset Management Review 6, no.1 (2018) : 53-82.doi: 10.23007/amr.2018.6.1.53

KimKyuHyong; ChangwooPhilipLim; Taegyu Jeong. A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE. Asset Management Review, 6(1), 53-82. doi: 10.23007/amr.2018.6.1.53

KimKyuHyong; ChangwooPhilipLim; Taegyu Jeong. A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE. Asset Management Review. 2018; 6(1) 53-82. doi: 10.23007/amr.2018.6.1.53

KimKyuHyong, ChangwooPhilipLim, Taegyu Jeong. A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE. 2018; 6(1), 53-82. Available from: doi:10.23007/amr.2018.6.1.53

KimKyuHyong, ChangwooPhilipLim and Taegyu Jeong. "A study of Comparing the Loser Following On-line Portfolio Strategy through Piotroski’s FSCORE and Mohanram’s GSCORE" Asset Management Review 6, no.1 (2018) : 53-82.doi: 10.23007/amr.2018.6.1.53