Formulate stock trading strategies using DEA: A Taiwanese case

INFOR

Volumn 48, Issue 2, 2010, Pages 75-81

  Hwang, Shiuh Nan ^a   Chuang, Wang Ching ^b   Chen, Yi Chieh ^a  

^a Min Chuan University   (Taiwan)

^b NANYA INSTITUTE OF TECHNOLOGY   (Taiwan)

Author keywords

Data Envelopment Analysis (DEA); Malmquist productivity index; stock classification

Indexed keywords

EID: 78149355957     PISSN: 03155986     EISSN: None     Source Type: Journal    
DOI: 10.3138/infor.48.2.075     Document Type: Article

References (15)

1. Ali, I. and Seiford, L. (1990), "Translation invariance in data envelopment analysis", Operations Research Letters, 9: 403-405.
2. Bae, K. H. and Kim, J. B. (1998), "The usefulness of earnings versus book value for predicting stock returns and cross corporate ownership in Japan", Japan and the World Economy, 10: 467-485.
3. Banuman, W. S. and Miller, R. E. (1997), "Investor expectations and the performance of value stocks versus growth stocks", Journal of Portfolio Management, 23: 57-68.
4. Chopra, N., Lakonishok, J., and Ritter, J. R. (1992), "Measuring abnormal performance: do stocks overreact?", Journal of Financial Economics, 31: 235-268.
5. Cooper, W. W., Park, K. S., and Pastor, J. T. (1999), "A range adjusted measure of inefficiency for use with additive models, and relations to other models and measures in DEA", Journal of Productivity Analysis, 11: 5-42.
6. Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (1998), "Investor psychology and security market under and overreactions", Journal of Finance, 53(6): 1839-1886. (Pubitemid 128165285)
7. Diakoulaki, D., Mavrotas, G., and Papayannakis, L. (1992), "A multi-criteria approach for evaluating the performance of industrial firms", International Journal of Management Science, 20: 467-474.
8. Färe, R., Grosskopf, S., Lindgren, B., and Roos, P. (1992), "Productivity changes in Swedish pharmacies 1980-1989: a non-parametric Malmquist approach", The Journal of Productivity Analysis, 3: 85-101.
9. Jegadeesh, N. (1990), "Evidence of predictable behavior of security returns", Journal of Finance, 4: 881-898.
10. Keith, K. S. L. (2002), "The relationship between size, book-to-market equity ratio, earnings-price ratio and return for the Hong Kong stock market", Global Finance Journal, 13: 163-179.
11. Lakonishok, J., Shleifer, A., and Vishny, R. W. (1994), "Contrarian investment, extrapolation, and risk", Journal of Finance, 49: 1541-1578.
12. Martikainen, T. (1993), "Stock returns and classification pattern of firm-specific financial variables: empirical evidence with Finnish Data", Journal of Business Finance and Accounting, 20: 539-559.
13. Mear, R. and Firth, M. (1987), "Assessing the accuracy of financial analyst security return predictions", Accounting, Organizations and Society, 12: 331-340.
14. Schadler, F. P. and Eakins, S. G. (2001), "A stock selection model using Morningstar's Style Box", Financial Services Review, 10: 129-144.
15. Zhu, J. (2009), Quantitative Models for Performance Evaluation and Benchmarking: DEA with Spreadsheets, Springer, Boston.