Vol. 12 No. 3 (2026)
September 2026

Articles

Value investing in emerging markets: The effectiveness of the Piotroski F-score strategy in Poland as a Central and Eastern European case study

Published 2026-09-30

  • Krzysztof Podgórski

Krzysztof Podgórski
University of Economics in Katowice

Abstract

Objective: The aim of this article is to verify the investment effectiveness of a long-only strategy based on the Piotroski F-score indicator on the Polish equity market, relative to the passive ‘buy and hold’ strategy tracking the broad WIG index.

Research Design & Methods: The study used data from the Warsaw Stock Exchange for the full investment cycle covering the years 2006-2025. The study deployed a long-only strategy variant (selection of companies with a score of 7-9 points), incorporating real trading frictions: brokerage commissions (0.39%), capital gains tax (19%) with a loss deduction mechanism, and annual rebalancing deferred to 31 May to preclude look-ahead bias. The non-parametric Wilcoxon signed-rank test verified the repeatability of the market advantage.

Findings: The F-score-based strategy generated a CAGR of 15.22% compared to 4.36% for the WIG index, yielding a cumulative return of 1 376.19% (compared to 124.78% for the WIG). Although the Wilcoxon test did not confirm the statistical regularity of excess returns year-on-year, the portfolio exhibited a highly right-skewed payout profile and a risk-adjusted return (Sharpe ratio of 0.37) almost four times higher than the broad market’s.

Implications & Recommendations: The lack of unconditional statistical regularity does not negate the high economic utility of the model. The results prove that investors on the Polish market should accept increased portfolio volatility and a lack of return linearity in exchange for an asymmetric risk premium. The Polish capital market still exhibits the characteristics of an emerging market, favouring classic value investing strategies. Treating Poland as a representative case study for the Central and Eastern European (CEE) region, these results provide useful guidance for international investors allocating capital in markets with lower informational efficiency.

Contribution & Value Added: Including rigorous transaction and tax costs significantly improves the realism of the results compared to the existing literature. The article first demonstrates the option-like payoff profile of Piotroski’s payout strategy over a long, twenty-year horizon on the Polish market, confirming that simple fundamental filters have not yet eroded here, as is typical of highly developed markets.

Keywords

Piotroski F-score, fundamental analysis, value investing, market efficiency, Warsaw Stock Exchange

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Author Biography

Krzysztof Podgórski

Assistant Professor at the Department of Banking and Financial Markets, University of Economics in Katowice, Poland. Podgórski holds a PhD in Economics and Finance and an engineering degree in Logistics. His research interests include technical and fundamental analysis, investment from the individual investor’s perspective, and the cyclicality of financial markets.

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