| Summary: | 碩士 === 國立中正大學 === 財務金融系研究所 === 105 === There is a contradictory result of the relationship between efficiency and stock return in previous studies. This paper addresses the problem and finds that the contradictory is really due to risk. Therefore, the paper constructs non-risk-adjusted and risk-adjusted stochastic frontier to estimate efficiency. The empirical result suggests that non-risk-adjusted efficiency involves risk and is a value-added factor for investor. However, the positive relationship implies only a positive relation between risk and stock return which lead a spurious relationship between efficiency and stock return. In the contrary, risk-adjusted efficiency not involving risk is not a value-added factor. The negative relation between efficiency and stock return suggests that investors would require a higher return when the risk-adjusted efficiency is lower because of Firm’s inefficient operations. According to the opposite results of non-risk-adjusted efficiency and risk-adjusted efficiency, we can know that only risk-adjusted efficiency provide a correct testing of the relation between efficiency and stock returns. In addition, for more accuracy and comparison, this paper provides three types of efficiency estimation. The three parts of empirical results are consistent. It suggests that the relationship between efficiency and stock return is indeed different in non-risk-adjusted efficiency and risk-adjusted efficiency.
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