Data envelopment analysis (DEA) based performance evaluation system for investment companies: Case study of Tehran Stock Exchange

摘要

An investment company is a company that invests money on behalf of its shareholders who are participant in profits and losses. Therefore, appraisal of performance of such companies is most important for related investors. As we know, data envelopment analysis (DEA) is a nonparametric method that measures the relationship between produced outputs and consumed inputs and determines an efficiency score and has been widely applied in performance evaluation domain. This paper provides a DEA based system for evaluation of the performance of Iranian investment companies using financial statement analysis. Four different versions of DEA are applied for efficiency analysis and AP-DEA is applied for ranking of twelve considered companies. Ten different financial ratios are considered as inputs and outputs of each decision making unit. The results show that the BCC form of DEA is not able to distinguish between efficient and inefficient units and AP-DEA is an appropriate method to obtain full ranking of companies. Using this performance evaluation system, a new ranking of investment companies is obtained compared to the traditional ranking presented by Tehran stock exchange (TSE).