Abstract
Value investors look for securities that have been unfairly "beaten down" by market forces. But investors implementing a value strategy face the "value trap," the selection of apparent value securities with serious financial difficulties. Piotroski (2000) develops and successfully tests an accounting data screen to find "true" securities. But Woodley, Jones, and Reburn (2011) find the screen ineffective in a subsequent period. This paper investigates whether a shift in the January seasonal or shifts in the relationship between the screening variables and returns account for the recent ineffectiveness. We support the latter explanation.