This research presents a systematic method to evaluate the performance of accepted investment companies listed on Tehran Stock Exchange. The analysis is based on a set of criteria that are determined by experts and the values of criteria’s are extracted from the actual data reported to stock exchange. The efficiency measurement carried out by value efficiency analysis, which is an extension of data Envelopment Analysis. Finally, according to the model’s results, the efficient investment companies are introduced and they are ranked based on the defined criteria. The preliminary results indicate that both methods are capable of providing appropriate rankings for different financial firms.
How to cite this paper
Shabani, M & Shams, N. (2014). Measuring the performance of accepted investment companies in Tehran’s stock exchange by value efficiency analysis.Management Science Letters , 4(6), 1229-1232.
Refrences
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Amjadi Moheb, T. (2002). A repetitive method to estimate the value efficiency in DEA. Master thesis in applied mathematics, Islamic Azad University, Science and Research, 39-45.
Banker, R. D., Charnes, A., & Cooper, W. W. (1984). Some models for estimating technical and scale inefficiencies in data envelopment analysis. Management Science, 30(9), 1078-1092.
Buyukbasaran, T. (2005). Ranking units by target direction set value efficiency analysis & Mixed Integer Programming. Thesis Submitted to Graduate Shcool of Natural and Apply Sciences Middle East Technical University, the degree of master of science in financial engineering.
Charnes, A., Cooper, W. W., & Rhodes, E. (1978). Measuring the efficiency of decision making units. European Journal of Operational Research, 2(6), 429-444.
Daneshvar, M. (2006). Design and explaining performance of branches of Dana insurance by using Data envelopment analysis technique. Industrial Management Master Thesis. Tarbiat Modares University. 23-45.
Eskelinen, J., Halme, M., & Kallio, M. (2014). Bank branch sales evaluation using extended value efficiency analysis. European Journal of Operational Research, 232(3), 654-663.
Faghidloo, M. (2002). The weight restrictions on the efficiency of value. Master thesis in applied mathematics. Islamic Azad University, Science and Research, 50-61.
Halme, M., Joro, T., Korhonen, P., Salo, S., & Wallenius, J. (1999). A value efficiency approach to incorporating preference information in data envelopment analysis. Management Science, 45(1), 103-115.
Halme, M., & Korhonen, P. (2000). Restricting weights in value efficiency analysis. European Journal of Operational Research, 126(1), 175-188.
Haji Bozorgi, J. (1996). Assessment coordination of investment companies’ performance and their goals in the stock market. Thesis Master of Business Administration, School of Management, Allameh Tabatabai University, 1374.23-46.
Korhonen, P., Siljam?ki, A., & Soismaa, M. (1998). Practical aspects of value efficiency analysis (No. ir98042).
Korhonen, P., Tainio, R., & Wallenius, J. (2001). Value efficiency analysis of academic research. European Journal of Operational Research, 130(1), 121-132.
Korhonen, P. J., & Syrj?nen, M. J. (2005). On the interpretation of value efficiency. Journal of Productivity Analysis, 24(2), 197-201.
Korhonen, P., Soismaa, M., & Siljam?ki, A. (2002). On the use of value efficiency analysis and some further developments. Journal of Productivity Analysis, 17(1-2), 49-64.
Khedmatgozar, H. R., Kazemi, A., & Hanafizadeh, P. (2013). Mutual fund performance evaluation: a value efficiency analysis approach. International Journal of Electronic Finance, 7(3), 263-280.
Marshall, E., & Shortle, J. (2005). Using DEA and VEA to evaluate quality of life in the Mid-Atlantic states. Agricultural and Resource Economics Review, 34(2), 185.
Najafi, M. (2005). Assessment of efficiency of Sepah Bank by AHP technique and data envelopment analysis. Industrial Management Master Thesis. Faculty of Humanities, Tarbiat Modarres University.
Amjadi Moheb, T. (2002). A repetitive method to estimate the value efficiency in DEA. Master thesis in applied mathematics, Islamic Azad University, Science and Research, 39-45.
Banker, R. D., Charnes, A., & Cooper, W. W. (1984). Some models for estimating technical and scale inefficiencies in data envelopment analysis. Management Science, 30(9), 1078-1092.
Buyukbasaran, T. (2005). Ranking units by target direction set value efficiency analysis & Mixed Integer Programming. Thesis Submitted to Graduate Shcool of Natural and Apply Sciences Middle East Technical University, the degree of master of science in financial engineering.
Charnes, A., Cooper, W. W., & Rhodes, E. (1978). Measuring the efficiency of decision making units. European Journal of Operational Research, 2(6), 429-444.
Daneshvar, M. (2006). Design and explaining performance of branches of Dana insurance by using Data envelopment analysis technique. Industrial Management Master Thesis. Tarbiat Modares University. 23-45.
Eskelinen, J., Halme, M., & Kallio, M. (2014). Bank branch sales evaluation using extended value efficiency analysis. European Journal of Operational Research, 232(3), 654-663.
Faghidloo, M. (2002). The weight restrictions on the efficiency of value. Master thesis in applied mathematics. Islamic Azad University, Science and Research, 50-61.
Halme, M., Joro, T., Korhonen, P., Salo, S., & Wallenius, J. (1999). A value efficiency approach to incorporating preference information in data envelopment analysis. Management Science, 45(1), 103-115.
Halme, M., & Korhonen, P. (2000). Restricting weights in value efficiency analysis. European Journal of Operational Research, 126(1), 175-188.
Haji Bozorgi, J. (1996). Assessment coordination of investment companies’ performance and their goals in the stock market. Thesis Master of Business Administration, School of Management, Allameh Tabatabai University, 1374.23-46.
Korhonen, P., Siljam?ki, A., & Soismaa, M. (1998). Practical aspects of value efficiency analysis (No. ir98042).
Korhonen, P., Tainio, R., & Wallenius, J. (2001). Value efficiency analysis of academic research. European Journal of Operational Research, 130(1), 121-132.
Korhonen, P. J., & Syrj?nen, M. J. (2005). On the interpretation of value efficiency. Journal of Productivity Analysis, 24(2), 197-201.
Korhonen, P., Soismaa, M., & Siljam?ki, A. (2002). On the use of value efficiency analysis and some further developments. Journal of Productivity Analysis, 17(1-2), 49-64.
Khedmatgozar, H. R., Kazemi, A., & Hanafizadeh, P. (2013). Mutual fund performance evaluation: a value efficiency analysis approach. International Journal of Electronic Finance, 7(3), 263-280.
Marshall, E., & Shortle, J. (2005). Using DEA and VEA to evaluate quality of life in the Mid-Atlantic states. Agricultural and Resource Economics Review, 34(2), 185.
Najafi, M. (2005). Assessment of efficiency of Sepah Bank by AHP technique and data envelopment analysis. Industrial Management Master Thesis. Faculty of Humanities, Tarbiat Modarres University.