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Piotroski and So (2012) investigate whether the difference in performance of value versus glamour stocks can be attributed to risk or mispricing. Assume the following
Piotroski and So (2012) investigate whether the difference in performance of "value" versus glamour" stocks can be attributed to risk or mispricing. Assume the following information is available for firms I, II, III, and IV: Firm I Firm II Firm III Firm IV Book-to-Market Low Low High High F-Score High Low High Low The Book-to-Market ratio is measured as the book value of equity divided by the market value of equity and helps to classify firms as either "value" firms or glamour firms. The F-score is used to measure firm fundamentals, where a higher F-score reflects stronger firm fundamentals. D. (6p.) Based on Piotroski and So (2012), explain what investment strategy in firms I-IV would provide you with the highest return
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