Lev and Thiagarajan (1993) document that financial signals have predictive power in explaining contemporaneous stock returns of U.S. firms and Abarbanell and Bushee (1998) show that investment portfolios formed by longing high-score stocks and shorting low-score stocks based on fundamental signals suggested by Lev and Thiagarajan (1993) yield significant positive returns. In addition, empirical results in Piotroski (2000) and Mohanram (2005) suggest that a portfolio with higher composite scores constructed based traditional financial measures earn higher future returns for high and low book-to-market (BM) firms in U.S. markets, respectively