基于DEA的行业相对估值效率测度——理论与实证

Abstract

Abstract: A comprehensive, relative, and dynamic model of valuation efficiency is put forward and an inefficient index of market valuation based on DEA from the integrated valuation factors and relative valuation perspective is constructed in this paper. It is reflected that each stock should have a reasonable valuation in the efficient market. The model can be used to analyze the efficiency of market valuation, the preferences of market valuation and other timing features and evolution pattern with cross-sectional data and panel data. The empirical analysis on industries index shows that this indicator is more comprehensive in reflecting the characteristics and trends of relative valuation efficiency of the market and the internal industries than the traditional P/E indicator.

Key words: data envelopment analysis (DEA), comprehensive valuation factors, relative valuation efficiency, inefficient index of market valuation

CLC Number:

YI Rong-hua, LIU Yun, LIU Jia-peng. The Measure on Relative Valuation Efficiency of Industries Based on DEA: Theory and Empirical Study[J]. Chinese Journal of Management Science, 2012, (3): 79-85.

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The Measure on Relative Valuation Efficiency of Industries Based on DEA: Theory and Empirical Study

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