 Selection of Variables in Data Envelopment Analysis for Evaluation of Stock PerformanceB. Senthil Arasu, Desti Kannaiah, Nancy Christina J. and Malik Shahzad Shabbir Management and Labour Studies, 2021, vol. 46, issue 3, 337-353 Abstract: This study deploys data envelopment analysis (DEA) to identify the appropriate variables for the performance valuation of stocks. For this purpose, sixty-nine non-financial stocks of the Nifty 100 index of The National Stock Exchange of India Ltd (NSE) were selected as a sample for this study. We segregated the selected stocks into three groups of inputs and outputs for DEA based on fundamental indicators (financial ratios); technical indicators (momentum indicators); and both, fundamental and technical indicators. The stock performance indicators are sourced from the ACE database from financial year 2014 to 2019. The results of the study suggest that all three sets of stock performance indicators help in the identification of efficient stocks. However, stocks identified under momentum indicators are seen to have been better performing in stock return compared to the other two groups. The outcome of this study may help academicians and investors construct an effective portfolio and analyse/study its performance evaluation Keywords: Non-financial stocks; fundamental variables; momentum variables; efficient stocks; National Stock Exchange; data envelopment analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:manlab:v:46:y:2021:i:3:p:337-353 DOI: 10.1177/0258042X211002511 Access Statistics for this article More articles in Management and Labour Studies from XLRI Jamshedpur, School of Business Management & Human Resources |
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