A neural approach to the value investing tool F-Score

Ruth Gimeno, Lidia Lobán and Luis Vicente

Finance Research Letters, 2020, vol. 37, issue C

Abstract: This work is the first neural approach to Piotroski's (2000) F-Score. From the same informative signals, our approach based on network data envelopment analysis allows for (1) overcoming the binary perspective of classification between companies with good/bad fundamentals, and (2) appropriately assessing the existing interaction among a company's main financial areas. The analysis of a complete sample of the largest listed companies in the Eurozone and in the U.S. market in the period 2006–2017 shows that our neural F-Score significantly improves the portfolio returns obtained by the original F-Score.

Keywords: Value investing; F-Score; Network data envelopment analysis; Financial statement Information (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319304660

DOI: 10.1016/j.frl.2019.101367

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