Predicting Japanese bank stock performance with a composite relative efficiency metric: A new investment tool

被引：20

作者：

Avkiran, Necmi K. ^{[1
]}

Morita, Hiroshi ^{[2
]}

机构：

[1] Univ Queensland, UQ Business Sch, Brisbane, Qld 4072, Australia

[2] Osaka Univ, Dept Informat & Phys Sci, Suita, Osaka 565, Japan

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2010年 / 18卷 / 03期

关键词：

Stock performance; Contextual analysis; Generalized DEA; Simulated annealing; Japanese banks; DATA ENVELOPMENT ANALYSIS; FUNDAMENTAL ANALYSIS; PORTFOLIO OPTIMIZATION; EARNINGS; RETURNS; INFORMATION; DEA; MODELS; INDUSTRY; RATIOS;

D O I：

10.1016/j.pacfin.2010.01.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper's main objective is to predict bank stock performance one year ahead with a composite efficiency metric from relative contextual financial analysis. We bring together financial ratios, generalized data envelopment analysis and simulated annealing to rank Japanese banks on stock performance predicted from relative efficiency scores. An application of this ranking in a profitable investment strategy by designating long and short portfolios underscores the potential commercial value of the method. The method can also be used to monitor the effectiveness of ratios in forecasting stock performance and it is conducive to selecting predictive ratios when markets are changing rapidly. Crown Copyright (C) 2010 Published by Elsevier B.V. All rights reserved.

引用

页码：254 / 271

页数：18

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