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An aggregate measure of financial ratios using a multiplicative DEA model

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  • Ali Emrouznejad
  • Emilyn Cabanda

Abstract

This paper examines the problems in the definition of the General Non-Parametric Corporate Performance (GNCP) and introduces a multiplicative linear programming as an alternative model for corporate performance. We verified and tested a statistically significant difference between the two models based on the application of 27 UK industries using six performance ratios. Our new model is found to be a more robust performance model than the previous standard Data Envelopment Analysis (DEA) model.

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Bibliographic Info

Article provided by Inderscience Enterprises Ltd in its journal Int. J. of Financial Services Management.

Volume (Year): 4 (2010)
Issue (Month): 2 ()
Pages: 114-126

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Handle: RePEc:ids:ijfsmg:v:4:y:2010:i:2:p:114-126

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Web page: http://www.inderscience.com/browse/index.php?journalID=76

Related research

Keywords: multiplicative DEA; data envelopment analysis; financial ratios; GNCP; general non-parametric corporate performance; MNCP; multiplicative non-parametric corporate performance; modelling.;

References

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  1. Seiford, Lawrence M. & Thrall, Robert M., 1990. "Recent developments in DEA : The mathematical programming approach to frontier analysis," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 7-38.
  2. Halkos, George & Salamouris, Dimitrios, 2001. "Efficiency Measures of the Greek Banking Sector: A Non-Parametric Approach for the Period 1997-1999," MPRA Paper 2858, University Library of Munich, Germany.
  3. Banker, Rajiv D. & Cooper, William W. & Seiford, Lawrence M. & Thrall, Robert M. & Zhu, Joe, 2004. "Returns to scale in different DEA models," European Journal of Operational Research, Elsevier, vol. 154(2), pages 345-362, April.
  4. B. Hollingsworth & P. Smith, 2003. "Use of ratios in data envelopment analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 733-735.
  5. Cecilio Mar-Molinero & Carlos Serrano-Cinca, 2001. "Bank failure: a multidimensional scaling approach," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 165-183.
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Cited by:
  1. Mehdiloozad, Mahmood & Sahoo, Biresh K. & Roshdi, Israfil, 2014. "A generalized multiplicative directional distance function for efficiency measurement in DEA," European Journal of Operational Research, Elsevier, vol. 232(3), pages 679-688.

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