Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
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Evaluating Stock Value using Data Envelopment Analysis

자료포괄분석(DEA)을 이용한 주식의 가치 평가

  • 김범석 (서강대학교 경영전문대학원) ;
  • 김명석 (서강대학교 경영전문대학원) ;
  • 민재형 (서강대학교 경영전문대학원)
  • Received : 2011.08.11
  • Accepted : 2011.10.25
  • Published : 2011.11.30
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Abstract

This study suggests a DEA(Data Envelopment Analysis) based model to evaluate the value of corporate stock. The model integrating PER(Price-Earning Ratio), PBR(Price-BookValue Ratio), PSR(Price-Sales Ratio) and volatility in DEA structure has an advantage of overcome the limitation of traditional financial ratio based models. In order to show the effectiveness of the suggested model. we compare the performance of portfolio composed by DEA approach with those of portfolios made by traditional approaches such as PER, PBR, and PSR in terms of stock return and volatility. Specifically, we use the data of all the enterprises listed on the S&P 500 in the U.S. in 2007 and 2009 as the sample data for the experiments. The results of the experiments show that the performance of the DEA approach is clearly better than those of other approaches. Particularly, in sharply plummeting market, the performance of the DEA approach is shown to be prominently better than those of other approaches as the DEA approach reflects investment risk as well as profitability and growth. The DEA score combining the existing investment indices may serve as a useful barometer for selecting a stable and profitable portfolio.

Keywords

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