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: firstname.lastname@example.org
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
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