EVALUATING EFFICIENCY AND RELATIVE PERFORMANCE OF FIRMS BY DATA ENVELOPMENT ANALYSIS APPROACH FOR MAKING PORTFOLIO

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SINAEI HASSAN ALI; GOSHTASBI MAHARLUIE RASOUL

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Journal: JOURNAL OF ACCOUNTING KNOWLEDGE Year:2013 | Volume:3 | Issue:11 Page(s): 105-132

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Information Journal Paper

Title

EVALUATING EFFICIENCY AND RELATIVE PERFORMANCE OF FIRMS BY DATA ENVELOPMENT ANALYSIS APPROACH FOR MAKING PORTFOLIO

Author(s)

SINAEI HASSAN ALI | GOSHTASBI MAHARLUIE RASOUL | Issue Writer Certificate

Keywords

DATA ENVELOPMENT ANALYSIS (DEA)Q2

RETURN TO SCALEQ2

EFFICIENT PORTFOLIOQ2

SIZE EFFECTQ2

Abstract

Determining efficiency of an institution and comparison with other institutions can help the stockholders to achieve their investment goals. The purpose of this study is formation of portfolio from efficient firms, using data envelopment analysis approach for earning return more than the market average return. In this study, the input oriented and output oriented models were applied to the conditions regarding constant return scale (CCR) and variable return scale (BCC). Also, in this study the hypothesis that portfolios composed of small companies have better performance than the industry average was examined.The results show that, using CCR method, return more than the market average return cannot be gained, but, using BCC method, return more than the market average could be gained. In addition, comparing the results from portfolios, using size measure, showed that portfolios composed of small firms gained return more than the market average return and created appropriate performance. In this study to measure the performance of portfolios, William Sharp criteria were used.

Cites

A STUDY ON THE FINANCIAL PERFORMANCE OF COMPANIES USING DATA ENVELOPMENT ANALYSIS MODEL AND ZEMIJSKY'S MODEL, AND A COMPARISON OF THEIR RESULTS (THE CASE OF ACCEPTED PHARMACEUTICAL COMPANIES IN STOCK MARKET)

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APA: Copy

SINAEI, HASSAN ALI, & GOSHTASBI MAHARLUIE, RASOUL. (2013). EVALUATING EFFICIENCY AND RELATIVE PERFORMANCE OF FIRMS BY DATA ENVELOPMENT ANALYSIS APPROACH FOR MAKING PORTFOLIO. JOURNAL OF ACCOUNTING KNOWLEDGE, 3(11), 105-132. SID. https://sid.ir/paper/163465/en

Vancouver: Copy

SINAEI HASSAN ALI, GOSHTASBI MAHARLUIE RASOUL. EVALUATING EFFICIENCY AND RELATIVE PERFORMANCE OF FIRMS BY DATA ENVELOPMENT ANALYSIS APPROACH FOR MAKING PORTFOLIO. JOURNAL OF ACCOUNTING KNOWLEDGE[Internet]. 2013;3(11):105-132. Available from: https://sid.ir/paper/163465/en

IEEE: Copy

HASSAN ALI SINAEI, and RASOUL GOSHTASBI MAHARLUIE, “EVALUATING EFFICIENCY AND RELATIVE PERFORMANCE OF FIRMS BY DATA ENVELOPMENT ANALYSIS APPROACH FOR MAKING PORTFOLIO,” JOURNAL OF ACCOUNTING KNOWLEDGE, vol. 3, no. 11, pp. 105–132, 2013, [Online]. Available: https://sid.ir/paper/163465/en

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