Portfolio efficiency analysis with SFA: the case of PSI-20 companies
Autor(a) principal: | |
---|---|
Data de Publicação: | 2016 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/12137 |
Resumo: | This study aimed to assess the technical efficiency (TE) of individual companies and their respective sectors that are traded on the Portuguese stock market. We accomplished this by combining the internal input variables (e.g., ‘market value and return’) with exogenous variables (e.g., ‘interest income’, ‘depreciation’, ‘cost of goods’, ‘employees’ and ‘net sales’) into a Stochastic Frontier Analysis (SFA) model. The TE of the PSI-20 (Portuguese Stock Index) was estimated using factors that affect efficiency variability. The main advantage of using the SFA approach is its potential to discriminate between measurement error and systematic inefficiencies in the estimation process. The results demonstrated that TE is higher for enterprises in the industrial, construction and distribution sectors, whereas the commercial banking sector has the lowest TE scores. The ‘employees’ and ‘depreciation’ are the variables which most contribute to stock market inefficiency. |
id |
RCAP_c07ef230725dec1d77944d88ac55c8a6 |
---|---|
oai_identifier_str |
oai:repositorio.iscte-iul.pt:10071/12137 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Portfolio efficiency analysis with SFA: the case of PSI-20 companiesStochastic frontier analysisStock market efficiencyThis study aimed to assess the technical efficiency (TE) of individual companies and their respective sectors that are traded on the Portuguese stock market. We accomplished this by combining the internal input variables (e.g., ‘market value and return’) with exogenous variables (e.g., ‘interest income’, ‘depreciation’, ‘cost of goods’, ‘employees’ and ‘net sales’) into a Stochastic Frontier Analysis (SFA) model. The TE of the PSI-20 (Portuguese Stock Index) was estimated using factors that affect efficiency variability. The main advantage of using the SFA approach is its potential to discriminate between measurement error and systematic inefficiencies in the estimation process. The results demonstrated that TE is higher for enterprises in the industrial, construction and distribution sectors, whereas the commercial banking sector has the lowest TE scores. The ‘employees’ and ‘depreciation’ are the variables which most contribute to stock market inefficiency.Routledge/Taylor and Francis2016-12-02T18:26:31Z2016-01-01T00:00:00Z20162019-04-09T11:18:37Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/12137eng0003-684610.1080/00036846.2015.1073837Ferreira, N. B.Oliveira, M. M.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:53:17Zoai:repositorio.iscte-iul.pt:10071/12137Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:26:42.661294Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Portfolio efficiency analysis with SFA: the case of PSI-20 companies |
title |
Portfolio efficiency analysis with SFA: the case of PSI-20 companies |
spellingShingle |
Portfolio efficiency analysis with SFA: the case of PSI-20 companies Ferreira, N. B. Stochastic frontier analysis Stock market efficiency |
title_short |
Portfolio efficiency analysis with SFA: the case of PSI-20 companies |
title_full |
Portfolio efficiency analysis with SFA: the case of PSI-20 companies |
title_fullStr |
Portfolio efficiency analysis with SFA: the case of PSI-20 companies |
title_full_unstemmed |
Portfolio efficiency analysis with SFA: the case of PSI-20 companies |
title_sort |
Portfolio efficiency analysis with SFA: the case of PSI-20 companies |
author |
Ferreira, N. B. |
author_facet |
Ferreira, N. B. Oliveira, M. M. |
author_role |
author |
author2 |
Oliveira, M. M. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Ferreira, N. B. Oliveira, M. M. |
dc.subject.por.fl_str_mv |
Stochastic frontier analysis Stock market efficiency |
topic |
Stochastic frontier analysis Stock market efficiency |
description |
This study aimed to assess the technical efficiency (TE) of individual companies and their respective sectors that are traded on the Portuguese stock market. We accomplished this by combining the internal input variables (e.g., ‘market value and return’) with exogenous variables (e.g., ‘interest income’, ‘depreciation’, ‘cost of goods’, ‘employees’ and ‘net sales’) into a Stochastic Frontier Analysis (SFA) model. The TE of the PSI-20 (Portuguese Stock Index) was estimated using factors that affect efficiency variability. The main advantage of using the SFA approach is its potential to discriminate between measurement error and systematic inefficiencies in the estimation process. The results demonstrated that TE is higher for enterprises in the industrial, construction and distribution sectors, whereas the commercial banking sector has the lowest TE scores. The ‘employees’ and ‘depreciation’ are the variables which most contribute to stock market inefficiency. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-12-02T18:26:31Z 2016-01-01T00:00:00Z 2016 2019-04-09T11:18:37Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/12137 |
url |
http://hdl.handle.net/10071/12137 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0003-6846 10.1080/00036846.2015.1073837 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Routledge/Taylor and Francis |
publisher.none.fl_str_mv |
Routledge/Taylor and Francis |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799134830347157504 |