doi:10.1016/j.frl.2019.101367engGimeno Losilla, RuthLobán Acero, LidiaVicente Gimeno, Luis AlfonsoA neural approach to the value investing tool F-scoreART-2020-115137This 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. Sigue faltando paginación2020http://zaguan.unizar.es/record/9702810.1016/j.frl.2019.101367http://zaguan.unizar.es/record/97028oai:zaguan.unizar.es:97028info:eu-repo/grantAgreement/ES/DGA/S38-17Rinfo:eu-repo/grantAgreement/ES/MINECO/RTI2018-093483-B-I00Finance Research Letters 37, 101367 (2020), [6 pp.]by-nc-ndhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/info:eu-repo/semantics/openAccess