Piotroski's F-Score in the Chinese A-Share market

This study examines whether Piotroski's (2000) F-Score strategy can successfully be applied to the Chinese A-Share market. The empirical evidence shows that in the Chinese A-Share market, the high F-Score portfolio significantly outperforms the low F-Score portfolio. Especially within a low BM firm sample, buying high F-Score firms and shorting low F-Score firms consistently, on average, generate 1.28% market adjusted profit per month. The results are robust for size partition. However, the benefits of Piotroski's F-Score strategy are concentrated in low liquidity and analyst following sample. Within the high BM firm sample, Piotroski's F-Score strategy cannot generate any significant return. The excess return of a low BM sample persists across time, as well as after controlling for size, book-to-market ratio, and market beta. In addition, if we measure risk in terms of beta and volatility, high F-Score firms are less risky than low F-Score firms. To conclude, the empirical evidence presented in this study suggests investors can use Piotroski's F-Score to identify mispriced stocks and earn abnormal returns in the Chinese A-share market, especially within a low BM firm sample

Intermediate-pressure phases of cerium studied by an LDA + Gutzwiller method

The thermodynamic stable phase of cerium metal in the intermediate pressure regime (5.0--13.0 GPa) is studied in detail by the newly developed local-density approximation (LDA)+ Gutzwiller method, which can include the strong correlation effect among the 4\textit{f} electrons in cerium metal properly. Our numerical results show that the $\alpha"$ phase, which has the distorted body-centered-tetragonal structure, is the thermodynamic stable phase in the intermediate pressure regime and all the other phases including the $\alpha'$ phase ($\alpha$-U structure), $\alpha$ phase (fcc structure), and bct phases are either metastable or unstable. Our results are quite consistent with the most recent experimental data.Comment: 17 pages, 7 figure

How bad metals turn good: spectroscopic signatures of resilient quasiparticles

We investigate transport in strongly correlated metals. Within dynamical mean-field theory, we calculate the resistivity, thermopower, optical conductivity and thermodynamic properties of a hole-doped Mott insulator. Two well-separated temperature scales are identified: T_FL below which Landau Fermi liquid behavior applies, and T_MIR above which the resistivity exceeds the Mott-Ioffe-Regel value and `bad-metal' behavior is found. We show that quasiparticle excitations remain well-defined above T_FL and dominate transport throughout the intermediate regime T_FL < T_MIR. The lifetime of these `resilient quasiparticles' is longer for electron-like excitations, and this pronounced particle-hole asymmetry has important consequences for the thermopower. The crossover into the bad-metal regime corresponds to the disappearance of these excitations, and has clear signatures in optical spectroscopy.Comment: 5 pages + 4 supplementary pages; published versio