Portfolio Construction Using Data Envelopment Analysis - A Case Study of the Taiwan Financial Industry

• Main Authors: XUE, YA-WEN, 薛雅文
• Other Authors: CHIU, HSIN-YU
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/37z8gx

碩士 === 國立屏東大學 === 財務金融學系碩士班 === 107 === 　　This study applies data envelopment analysis (DEA) and slacks-based measure of super-efficiency (super SBM) to examine the relation between operational efficiency and monthly stock returns of the Taiwan financial companies. On a quarterly basis, we sort all financial stocks into three or five groups according their operational efficiency. We investigate the profitability of the investment strategy that buys all stocks in the highest operational efficiency group and sells those in the lowest operational efficiency group. The results show that: (1) financial companies with higher operational efficiency have higher monthly returns; (2) the investment strategy that buys the stocks in the highest operational efficiency group and sells those in the lowest operational efficiency group can earn abnormal returns.