Application of Generalized Data Envelopment Analysis on Warsaw Stock Exchange

Sergiusz Herman

Abstract

Fundamental analysis is one of the techniques used by stock investors. Its main aim is the estimation of financial situation of companies. Companies’ financial statements are the source of information that allow for estimation of financial ratios for various operations of these companies. Elements of financial statements are also used to analyse analyse operating efficiency of companies with the use of parametric and non-parametric methods. Efficiency estimated with the use of these methods is rarely used for the assessment of joint-stock companies. There are three main goals of the research. Firstly, it aims to verify whether there is a statistical valid dependence between operating efficiency of joint-stock companies in Poland and their return rates on the Warsaw Stock Exchange. The second aim of the research is to point variables which should be used to estimate operating efficiency of companies in chosen industries. The other aim is to verify if an investor may benefit from information about operating efficiency of joint-stock companies when building an investment portfolio. Empirical studies were conducted on 72 joint-stock companies in Poland. These companies represent following industries: construction, clothes and cosmetics industry, food and drinks industry. The calculations were performed using the Generalized Data Envelopment Analysis.
Author Sergiusz Herman (WIiGE / KE)
Sergiusz Herman,,
- Department of Econometrics
Pages160-169
Publication size in sheets0.5
Book Papież Monika, Śmiech Sławomir (eds.): Proceedings of the 12th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena, Socio-Economic Modelling and Forecasting, no. 1, 2018, Foundation of the Cracow University of Economics, ISBN 978-83-65907-20-2, 611 p.
Keywords in Polishefektywność operacyjna, stopa zwrotu, Metoda Obwiedni Danych, giełda papierów wartościowych
Keywords in Englishoperating efficiency, stock returns, Data Envelopment Analysis, stock exchange
DOIDOI:10.14659/SEMF.2018.01.16
URL http://semf.pl/semf_1/pdf/Herman.pdf
Languageen angielski
Score (nominal)5
Score sourcepublisherList
ScoreMinisterial score = 5.0, 12-03-2020, ChapterFromConference
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