Abstract
We find that the financial statement variables identified by Piotriski (2000) no longer distinguish future winners from future losers among those stocks with high book-to-market ratios. While we confirm Piotroski's findings for the 1976-1996 window used for his study, over the ensuing 12 years the results are actually reversed. Specifically, by most measures the stocks of "High F_Score" firms produce returns lower than those of "Low F_Score" firms and lower than those of the set of value stocks as a whole. These results are robust to controlling for firm size with market capitalization tercile sorts. [PUBLICATION ABSTRACT]