ScienceDirect Publication: Finance Research Letters
Wed, 04 Dec 2019 00:01:43 GMT language
Publication date: Available online 29 November 2019
Source: Finance Research Letters
Author(s): Ruth Gimeno, Lidia Lobán, Luis Vicente
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.