Volume 53, Number 2, April-June 2019
|Page(s)||645 - 655|
|Published online||13 June 2019|
Gangless cross-evaluation in DEA: an application to stock selection
Faculty of Business, University of New Brunswick at Saint John, E2L 4L5 Saint John, NB, Canada
2 Department of Operations Management and Business Statistics, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman
* Corresponding author: email@example.com
Accepted: 7 July 2018
This paper discusses the impact of ganging decision making units (DMUs) on the cross-efficiency evaluation in data envelopment analysis (DEA). A group of DMUs are said to be ganging-together if the minimum and the maximum cross-efficiency scores they give to all other DMUs are identical. This study demonstrates that the ganging phenomenon can significantly influence the cross-efficiency evaluation in favour of some DMUs. To overcome this shortcoming, we propose a gangless cross-efficiency evaluation approach. The suggested method reduces the effect of ganging and generates a more diversified list of top performing units. An application to the Tehran stock market is used to show the benefits of gangless cross-evaluation.
Mathematics Subject Classification: 90B30 / 90B50 / 90C05 / 90C90
Key words: Data envelopment analysis / cross-efficiency evaluation / ganging decision making units / gangless cross-evaluation / stock selection
© EDP Sciences, ROADEF, SMAI 2019
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.