Financial performance measurement of the top 50 companies on the stock exchange using non-radial models of data envelopment analysis

Subject Areas : Financial engineering

Saeid Rezaeilava ¹ , Mirfeyz Fallah ² , Masoud Sanei ³ , Shokofeh Banihashemi ⁴

1 - Department of Finance Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Department of Financial Management, central Tehran Branch, Islamic Azad University. Tehran, Iran and member of Modern Financial Risk Research Group
3 - Department of Mathematics, Central Tehran Branch, Islamic Azad University, Tehran, Iran
4 - Department of Mathematics, Faculty of Statistics, Allameh Tabatabai University, Tehran, Iran

Received: 2020-04-11 Accepted : 2020-11-07 Published : 2022-03-21

Keywords: Data envelopment analysis, Negative data, ranking indicators, super performance, progress and regression,

Abstract :

The purpose of this study is to select the optimal stock portfolio using data envelopment analysis and to carry out the project of stock exchange information about the top 50 active companies in the summer of 1398 and trace the analysis of the same data in the spring of 1398. To calculate the relative efficiency and progress of companies, a developed data envelopment analysis (SORM) model has been used, where inputs can be changed only at a limited and specified distance, and with the same assumption, the output can be limited to a limited distance. The negative data can be analyzed and the final model facilitates the efficiency and optimization of stock portfolio selection according to the information extracted from the community under discussion. The results of this analysis show that 13 companies achieved a performance equal to 1, which indicates the highest level of efficiency, and Bank Saderat, including 1.32 Fanavaran Petrochemical Company, with the figure of 1.15, has been classified as having the highest progress and growth rate, respectively, on the first and second floors of productivity.Keywords: negative data, data envelopment analysis, ranking indicators, super performance, progress and regression.