Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/12137
Author(s): | Ferreira, N. B. Oliveira, M. M. |
Date: | 2016 |
Title: | Portfolio efficiency analysis with SFA: the case of PSI-20 companies |
Volume: | 48 |
Number: | 1 |
Pages: | 1 - 6 |
ISSN: | 0003-6846 |
DOI (Digital Object Identifier): | 10.1080/00036846.2015.1073837 |
Keywords: | Stochastic frontier analysis Stock market efficiency |
Abstract: | 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. |
Peerreviewed: | yes |
Access type: | Embargoed Access |
Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Ferreira_and_Oliveira_2016.pdf Restricted Access | Versão Editora | 1,04 MB | Adobe PDF | View/Open Request a copy |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.