Fundamental analysis of stocks by two-stage DEA

Managerial and Decision Economics

Volumn 25, Issue 5, 2004, Pages 231-241

  Abad, Cristina ^a   Thore, Sten A ^b   Laffarga, Joaquina ^a  

^a UNIVERSITY OF SEVILLE   (Spain)

^b UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 13244255378     PISSN: 01436570     EISSN: None     Source Type: Journal    
DOI: 10.1002/mde.1145     Document Type: Article

References (34)

1. Abad C, Garcia-Borbolla A, Garrod N, Laffarga J, Larrán M, Piñero J. 2000. An evaluation of the value relevance of consolidated versus unconsolidated accounting information: evidence from quoted Spanish firms. Journal of International Financial Management and Accounting 11(3): 156-177.
2. Abarbanell JS, Bushee BJ. 1997. Fundamental analysis, future earnings and stock prices. Journal of Accounting Research 35(1): 1-24.
3. Abarbanell JS, Bushee BJ. 1998. Abnormal returns to a fundamental analysis strategy. The Accounting Review 73(1): 19-45.
4. Ball R. 1992. The earnings-price anomaly. Journal of Accounting and Economics 15: 319-345.
5. Banker RD, Charnes A, Cooper WW. 1984. Models for estimation of technical and scale inefficiencies in data envelopment analysis. Management Science 30(9): 1078-1092.
6. Beaver WH, McNichols MF. 2001. Do stock prices of property and casual insurers fully reflect information about future earnings, accruals, cash flows and development? Review of Accounting Studies 6: 197-220.
7. Beneish MD, Lee CM, Tarpley RL. 2001. Contextual fundamental analysis through the prediction of extreme returns. Review of Accounting Studies 6: 165-189.
8. Bernard VL, Thomas J, Wahlen J. 1997. Accounting-based stock price anomalies: separating market inefficiencies from risk. Contemporary Accounting Research 14: 89-136.
9. Charitou A, Panagiotides G. 1999. Financial analysis, future earnings and cash flows, and the prediction of stock returns: evidence for the UK. Accounting and Business Research 29(4): 281-298.
10. Charnes A, Cooper WW, Lewin AY, Seiford LM. 1994. Data Envelopment Analysis: Theory, Methodology and Applications. Kluwer Academic Publishers: Dordrecht.
11. Charnes A, Cooper WW, Rhodes E. 1978. Measuring the efficiency of decision making units. European Journal of Operational Research 2(6): 429-444.
12. Collins DW, Hribar P. 2000. Earnings-based or accrual-based market anomalies: one effect or two? Journal of Accounting and Economics 29: 101-123.
13. Fairfield PM, Yohn TL. 2001. Using asset turnover and profit margin to forecast changes in profitability. Review of Accounting Studies 6: 371-385.
14. Feltham G, Ohlson J. 1995. Valuation and clean surplus accounting for operating and financial activities. Contemporary Accounting Research 11(2): 689-731.
15. Graham B, Dodd DL. 1962. Security Analysis. McGraw-Hill: New York.
16. Greig AC. 1992. Fundamental analysis and subsequent stock returns. Journal of Accounting and Economics 15: 413-442.
17. Holthausen RW, Larcker DF. 1992. The prediction of stock returns using financial statements information. Journal of Accounting and Economics 15: 373-411.
18. Larrán M, Rees W. 1999. Técnicas, Recursos Informativos y Prácticas Seguidas par los Analistas Financieros en España: Un Estudio Empirico. Documento n. 1: Instituto Español de Analistas Financieros.
19. Lev B. 1989. On the usefulness of earnings and earnings research: lessons and directions from two decades of empirical research. Journal of Accounting Research 27(Suppl.): 153-193.
20. Lev B, Thiagarajan SR. 1993. Fundamental information analysis. Journal of Accounting Research 31(2): 190-215.
21. Mishkin F. 1983. A Rational Expectations Approach to Macroeconomics: Testing Policy Effectiveness and Efficient Market Models. Chicago, IL: University of Chicago Press for the National Bureau of Economic Research.
22. Ou JA. 1990. The information content of non-earnings accounting numbers as earnings predictors. Journal of Accounting Research 28: 144-163.
23. Ou JA, Penman SH. 1989. Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics 11: 295-329.
24. Ohlson J. 1995. Earnings, book values and dividends in equity valuation. Contemporary Accounting Research 11(2): 661-687.
25. Penman SH. 1998. Combining earnings and book values in equity valuation. Contemporary Accounting Research 15: 291-324.
26. Setiono B, Strong N. 1998. Predicting stock returns using financial statements information. Journal of Business Finance and Accounting 25(5&6): 631-657.
27. Sexton TR, Lewis HF. 2000. Two-stage DBA: an application to major league baseball. Working paper. State University of New York at Stony Brook.
28. Sloan RG. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review 71(3): 289-315.
29. Stober TL. 1992. Summary financial statement measures and analysts' forecasts of earnings. Journal of Accounting and Economics 15: 347-372.
30. Thomas WB. 2000. A test of the market's mispricing of domestic and foreign earnings. Journal of Accounting and Economics 28: 243-267.
31. Thore S, Kozmetsky G, Phillips F. 1994. DEA of financial statements data: The U.S. computer industry. Journal of Productivity Analysis 5: 229-248.
32. Thore S, Phillips F, Ruefli RW, Yue P. 1996. DEA and the management of the product cycle: The computer industry. Computers and Operations Research 23(4): 341-356.
33. Thore S. 1996. Economies of scale, emerging patterns, and self-organization in the U.S. computer industry: an empirical investigation using data envelopment analysis. Journal of Evolutionary Economics 6(2): 199-216.
34. Xie H. 2001. The mispricing of abnormal accruals. The Accounting Review 76(3): 357-373.