廠商生產效率與股票報酬之關聯－資料包絡分析法的應用

The Association between Technical Efficiency Innovations and Stock Returns: An Application of Data Envelopment Analysis

10.29977/JCIIE.200403.0004

蔡秋田(Chiu-Tien Tsai)；王媛慧(Yuan-Huei Wang)

技術效率 ； 資料包絡分析法 ； 股票報酬 ； 異常報酬 ； technical efficiency ； data envelopment analysis ； stock returns ； abnormal returns

工業工程學刊

21卷2期（2004 / 03 / 01）

136 - 145

繁體中文

本文旨在探討台灣電子業生產效率變動與股票報酬之關聯。生產效率係用以評估廠商於生產過程中，善用投入與極大產出之能力；而股票報酬可以反映廠商之價值。生產效率係採用資料包絡分析法(data envelopment analysis,DEA)估計，然後，形成避險性投資組合，對於生產效率好轉廠商之股票採買進策略；對於生產效率轉差廠商之股票則採賈空策略。實證結果顯示，當持有投資組合達12個月時，可以獲得正的累積異常報酬；而且在控制beta風險、未預期盈餘、益本比、淨值市價比、以及廠商規模等因素後，生產效率變動對於未來股票異常報酬之解釋能力仍然顯著。

This paper examines the association between two measures of a firm's performance inTaiwan Electronic Industry:its relative technical efficiency scores and its stock marketreturns.The first measure evaluates a firm's competence at combining inputs and outputs inits production process while the second measure reflects firm's fundamental value.Wemeasure technical efficiency scores by using Data envelopment analysis(DEA).Then ahedge portfolios strategy,of buying firms with the most positive efficiency news andshort-selling those with the worst news,is formed in turn.Empirical results in dicate that thestrategy yields positive buy-and-hold abnormal returns.More importantly,the addition ofvariables designed to capture beta risk,unexpected earnings,earnings-to-price,book-to-maket and size has no impact on the robustness of technical efficiency to predictfuture returns

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