The effectiveness of a F-SCORE-based investment strategy in the Ho Chi Minh City Stock Exchange (HOSE)

Abstract

This paper investigates the effectiveness of an F-SCORE-based investment strategy in the Ho Chi Minh City Stock Exchange (HOSE). Utilizing data from listed companies on the HOSE between 2008 and 2022, we empirically test the performance of this strategy. The results indicate a statistically significant positive impact of F-SCORE on the one-year adjusted return rate of stocks, implying the effectiveness of F-SCORE as a tool for predicting stock returns. Furthermore, it was found that stocks in the High F-SCORE group generated a higher average return rate than those in the Low F-SCORE group and all high BM stocks. This study offers valuable insights for investors considering an F-SCORE-based investment strategy in the Vietnamese stock.