Momentum and Piotroski

One interesting study, that should appeal to bridge players who classify losers as fast or slow, was conducted using UK stocks by Glen Arnold (2007) at the University of Salford in Manchester, England. Arnold classifies losers as strong or weak using the Piotroski Score. He

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begins with the 20% of companies that had the most negative price changes over the last 5 years and uses the Piotroski score to separate that group into those that are fundamentally strong and weak. The hedge portfolio that is long the strong losers and short the weak losers generated a 27% average annual return over the last 20 years.

Piotroski's paper can be found here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=249455

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