Utilising data envelopment analysis for selecting stock and benchmark firms in Tehran stock exchange

Masoud Ahmadzade, Safar Fazli, Davod Khosroanjom and Reza Kiani Mavi

International Journal of Operational Research, 2011, vol. 12, issue 4, 446-463

Abstract: The purpose of this paper is to utilise data envelopment analysis (DEA) for selecting portfolio and benchmark firms’ performance of Tehran stock exchange (TSE). DEA has been recognised as a robust tool that is used for evaluating the performance of business organisations. The proposed approach is deployed based on empirical data collected from six major industries include machinery, metal ores mining, non-metallic mineral products, pharmaceuticals, cement and chemicals and by-products in TSE during the period 2005–2008 years. On a scale of 0–1.0, DEA analysis assesses the relative efficiency of every firm relative to the rest of the firms in terms of financial performance. The results show that Banker, Charnes and Cooper (BCC) and Charnes, Cooper and Rhodes (CCR) models are efficient for selecting stock and benchmark firms in Tehran stock exchange.

Keywords: stock selection; benchmarking; performance measurement; Tehran; Iran; stock exchanges; Malmquist DEA; data envelopment analysis; portfolio selection; portfolios; firm performance; performance evaluation; machinery manufacture; metal ores; mining industry; non-metallic minerals; pharmaceuticals; cement industry; chemicals industry; chemical by-products; mineral products; relative efficiency; financial performance; William Cooper; Abraham Charnes; Rajiv Banker; operational research. (search for similar items in EconPapers)
Date: 2011
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