Contrarian investment strategy with data envelopment analysis concept

Kadoya, Susumu; Kuroko, Takashi; Namatame, Takashi

doi:10.1016/j.ejor.2007.05.033

Cited by 13 publications

(5 citation statements)

References 10 publications

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“…stock β s and volatilities) as inputs, and EPS and returns as outputs. Chen (2008) uses average equity, average asset, and sales cost as inputs, and revenues, operating profit and net income as outputs, while Kadoya et al (2008) employ surprise indices (calculated based on differences between realized figures and consensus forecasts of earnings, sales, etc.) as inputs, and historical returns over various time horizons as outputs to benefit from the mean‐reversion anomaly.…”

Section: Methodsmentioning

confidence: 99%

“…Recently, some scholars have examined also the efficiency of multicriteria methodologies in which portfolios being compared are formed on the basis of composite value measures that combine two or more individual valuation criteria into a single summary metrics of relative value. Moreover, some recent studies have employed data envelopment analysis (DEA) in portfolio formation (Chen, 2008; Kadoya et al , 2008). The basic idea of the DEA approach is to divide the stocks into portfolios based on their efficiency scores using a mathematical programming technique.…”

Section: Introductionmentioning

confidence: 99%

“…The basic idea of the DEA approach is to divide the stocks into portfolios based on their efficiency scores using a mathematical programming technique. The first applications of DEA in the portfolio formation context have been promising; both Chen (2008) and Kadoya et al (2008) have documented the added value of DEA as a tool for picking the best‐performing stocks of the future.…”

Section: Introductionmentioning

confidence: 99%

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Enhancement of value portfolio performance using data envelopment analysis

Pätäri

Leivo²,

Honkapuro³

2010

Studies in Economics and Finance

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PurposeThe purpose of this paper is to examine the applicability of data envelopment analysis (DEA) as a basis of value portfolio selection criterion.Design/methodology/approachThe portfolios are composed of the comprehensive sample of Finnish non‐financial stocks based on their DEA scale efficiency scores. The performance of portfolios is evaluated on the basis of average return and several risk‐adjusted performance metrics. Moreover, the impact of holding period length on the results is examined by varying the portfolio reformation frequency from one to five years at annual frequency.FindingsThe results show that the DEA scale efficiency scores add value to portfolio selection. Though outperformance of the DEA value portfolios in contrast to both comparable glamour portfolio and the stock market average is most evident for shorter (i.e. annual and biannual) holding periods, the absolute performance of the DEA value portfolio can be enhanced by using longer reformation intervals.Research limitations/implicationsThe sample of stocks is not large in spite of its comprehensiveness from the local stock market aspect. Future studies can apply DEA approach to other stock markets to examine whether the results are parallel to this study.Practical implicationsThe DEA is particularly useful as a multicriteria methodology in cases in which the number of stocks in the sample is large.Originality/valueThis paper is the first attempt to form value portfolios using DEA models. The proposed methodology provides an interesting alternative to detect undervalued stocks by capturing several dimensions of relative value simultaneously. It provides also useful implications in portfolio management.

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Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Enhancement of value portfolio performance using data envelopment analysis

Pätäri

Leivo²,

Honkapuro³

2010

Studies in Economics and Finance

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“…DEA [14] is a multicriteria evaluation method that can screen the most desirable alternatives (i.e., decision-making units (DMUs), e.g., firms) among large sets by means of mathematical programming. DEA provides for each DMU a composite score, which is referred to as efficiency using actual input-output data for a sample of them and this facilitates the complexity of analysis by evaluating the multicriteria [15]. DEA can be employed in a multiple input-multiple output setting and, in regard to model building, it avoids the prior assumption on weights of inputs and outputs; the weights are produced by the optimization process.…”

Section: Introductionmentioning

confidence: 99%

Financial Performance Assessment of Construction Firms by Means of RAM-Based Composite Indicators

Tsolas

2020

Mathematics

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This paper aims to provide a novel construct that is based on data envelopment analysis (DEA) range adjusted measure (RAM) of efficiency and demonstrate its practical implementation by evaluating the financial performance of a sample of three upper-class contracting license (Classes 5–7) Greek construction firms. In a two-step framework, firm efficiency (i.e., composite indicators (CIs)) is produced firstly by means of RAM using single financial ratios, which are selected by grey relational analysis (GRA), and then Tobit regression is employed to model the CIs. In light of the results, only 4% of the sampled firms are efficient, and the firm ranking is consistent with the ranking of Grey Relational Grande (GRG) values produced by GRA. Moreover, the firms with a contracting license of the highest level (Class 7) appear not to be superior in efficiency to their counterparts that belong to Classes 5–6.

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“…Th e results of this study show the trend of signifi cant relationships between three fi nancial variables and the effi ciency results of enterprises. In addition, Kadoya et al (2008) identifi ed investment strategies by using the DEA and mentioned that the book value of companies was a classic criterion of effi ciency evaluation. It helps investors to know the trends of the market value and the performance of companies.…”

mentioning

confidence: 99%

The performance measurement of listed companies of the agribusiness sector on the stock exchange of Thailand

Rapee¹,

Ke-Chung²,

Maichum³

2017

AGR ECON-CZECH

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Listed companies in the agribusiness sector of the stock exchange play a key role in driving the economic system of Thailand. They have an important role in terms of being the producers of agricultural commodities by covering all products from the upstream to downstream. The performance measurements of listed companies contain important information for forecasting the trends of agricultural production and yield. The paper studied and considered much of the literature on the performance measurement of organizations to look for relative variables and the optimal methodology. The study used panel data from 2011–2014, which collected the listed annual companies’ statements. The aim of the study was to employ the Slacks Based Measure context-dependent Data Envelopment Analysis (SBM context-dependent DEA) for evaluating the efficiency in Decision Making Units (DMUs). The SBM context-dependent DEA was used to measure the performance of listed companies by employing attractiveness and progress scores. The results showed that when a listed company has a higher attractiveness and lower progress score, it has a better performance than its competitors and does not need to improve its efficiency. Therefore, the empirical results of the study can help farmers and governments to realize the trends of agricultural productivity and also help the listed companies to understand the characteristics of their competitors, leading to improvements in their organizations.

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Contrarian investment strategy with data envelopment analysis concept

Cited by 13 publications

References 10 publications

Enhancement of value portfolio performance using data envelopment analysis

Enhancement of value portfolio performance using data envelopment analysis

Financial Performance Assessment of Construction Firms by Means of RAM-Based Composite Indicators

The performance measurement of listed companies of the agribusiness sector on the stock exchange of Thailand

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