Fundamental analysis of stocks by two-stage DEA

Cristina Abad, Sten A. Thore and Joaquina Laffarga
Additional contact information
Sten A. Thore: The University of Texas at Austin, USA, Postal: The University of Texas at Austin, USA
Joaquina Laffarga: Universidad de Sevilla, Sevilla, Spain, Postal: Universidad de Sevilla, Sevilla, Spain

Managerial and Decision Economics, 2004, vol. 25, issue 5, 231-241

Abstract: Fundamental analysis of stocks links financial data to firm value in two consecutive steps: a predictive information link tying current financial data to future earnings, and a valuation link tying future earnings to firm value. At each step, a large number of causal factors have to be factored into the evaluation. To effect these calculations, we propose a new two-stage multi-criteria procedure, drawing on the techniques of data envelopment analysis. At each stage, a piecewise linear efficiency frontier is fitted to the observed data. The procedure is illustrated by a numerical example, analyzing some 30 stocks in the Spanish manufacturing industry in the years 1991-1996. Copyright © 2004 John Wiley & Sons, Ltd.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1002/mde.1145 Link to full text; subscription required (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:mgtdec:v:25:y:2004:i:5:p:231-241

DOI: 10.1002/mde.1145

Access Statistics for this article

Managerial and Decision Economics is currently edited by Antony Dnes

More articles in Managerial and Decision Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().