기업의 운영 효율성과 주식 수익률 성과와의 관계

• 영문명: Relationship between Firm Efficiency and Stock Price Performance
• 발행기관: 한국산업경영시스템학회
• 저자명: 임성묵(Sungmook Lim)
• 간행물 정보: 『산업경영시스템학회지』제41권 제4호, 81~90쪽, 전체 10쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2018.12.30

영문 초록

Modern investment theory has empirically proved that stock returns can be explained by several factors such as market risk, firm size, and book-to-market ratio. Other unknown factors affecting stock returns are also believed to still exist yet to be found. We believe that one of such factors is the operational efficiency of firms in transforming inputs to outputs, considering the fact that operations is a fundamental and primary function of any type of businesses. To support this belief, this study intends to empirically study the relationship between firm efficiency and stock price performance. Firm efficiency is measured using data envelopment analysis (DEA) with inputs and outputs obtained from financial statements. We employ cross-efficiency evaluation to enhance the discrimination power of DEA with a secondary objective function of aggressive formulation. Using the CAPM-based performance regression model, we test the performance of equally weighted portfolios of different sizes selected based upon DEA cross-efficiency scores along with a buy & hold trading strategy. For the empirical test, we collect financial data of domestic firms listed in KOSPI over the period of 2000~2016 from well-known financial databases. As a result, we find that the porfolios with highly efficient firms included outperform the benchmark market portfolio after controlling for the market risk, which indicates that firm efficiency plays a important role in explaining stock returns.

목차

1. 서 론

2. 이론적 배경

3. 실증 방법

4. 실증 결과

5. 결 론

키워드

Firm Efficiency Stock Price Performance Data Envelopment Analysis Cross-Efficiency CAPM