Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach

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Uncovering expected returns: Information in analyst coverage proxies (2017, unknown): “To test this hypothesis, we proxy for firms’ fundamental performance using the FSCORE measure from Piotroski (20 0 0) and Piotroski and So (2012) , which sums nine binary signals that award higher values for superior levels of, as well as improvements in, firms’ profitability, financial leverage, an”
A New Approach to Predicting Analyst Forecast Errors: Do Investors Overweight Analyst Forecasts? (2013, background): “For example, Ou and Penman (1989), Piotroski (2000), and Piotroski and So (2012) find that financial ratios carry predictive power for earnings changes that are not immediately reflected in prices.”
News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, unknown): “…(e.g., Ball and Brown, 1968), shocks to investor expectations (e.g., Hirshleifer, Lim, and Teoh, 2009; Della Vigna and Pollet, 2009), and whether investors misprice predictable variation in earnings (e.g., Sloan, 1996; La Porta, Lakonishok, Shleifer, and Vishny, 1997; Piotroski and So, 2012).”