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Market-to-book production efficiency and future stock performance
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- 발행기관
- 한국생산성학회 바로가기
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- 간행물
- 생산성연구: 국제융합학술지 KCI 등재 바로가기
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- 통권
- 제36권 제1호 (2022.03)바로가기
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- 페이지
- pp.45-70
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- 저자
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- 언어
- 영어(ENG)
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- URL
- https://www.earticle.net/Article/A410758
※ 원문제공기관과의 협약기간이 종료되어 열람이 제한될 수 있습니다.
원문정보
초록
- 영어
- Market-to-book ratios, such as the market-to-book equity ratio, are known to explain average stock returns. Such ratios, however, do not incorporate cross-firm differences in the input-output structure employed to generate a firm’s market and book outputs. In this paper, we propose a version of the market-to-book ratio based on the production efficiency which considers cross-firm differences in the input-output structure, and investigate its relationship with future stock returns. Specifically, we use the industry-wise rank difference between a firm’s sales-oriented and market value-oriented efficiency scores based on the data envelopment analysis technique. Using US data from 1980 to 2015, we find that firms with high (low) sales-oriented and low (high) market value-oriented efficiency scores have the best (worst) future stock returns. A long/short equity investment strategy based on the rank difference generates significantly positive returns and outperforms long/short strategies based on either the sales-oriented or market value-oriented efficiency score or the market-to-book equity ratio. The profitability of the strategy remains significant across most industries and robust to controlling for common risk and momentum factors, to sub-period analyses, and to several alternative ways of measuring the efficiency scores. Taken together, the findings suggest that such a market-to-book ratio based on the production efficiency provides valuable insights into the risks and opportunities faced by a firm.
목차
Ⅰ. Introduction
Ⅱ. Review of related literature
Ⅲ. Research method and data
1. Measurement and strategy
2. Data
Ⅳ. Results
1. Portfolio performance
2. By firm size
3. Seasonal pattern
4. Comparison
5. By industry
6. Risk-adjusted performance
7. Transaction cost
Ⅴ. Conclusion
References
Abstract
키워드
Production efficiency Market-to-book ratio Data envelopment analysis Stock return저자
간행물 정보
발행기관
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- 발행기관명
- 한국생산성학회 [Korea Productivity Association]
- 설립연도
- 1985
- 분야
- 사회과학>경제학
- 소개
- 본 학회는 생산성에 관련된 학술연구의 진흥과 회원상호간의 친목을 도모함을 목적으로 한다. 그리고 다음의 사항에 주력한다. - 생산성에 관련된 학술연구의 진흥 - 생산성 향상을 위한 산학연계의 확립 - 회원상호간의 친교 및 정보교환 강화
간행물
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- 간행물명
- 생산성연구: 국제융합학술지 [Productivity Research: An International Interdisciplinary Journal]
- 간기
- 격월간
- pISSN
- 1225-3553
- 수록기간
- 1987~2025
- 등재여부
- KCI 등재
- 십진분류
- KDC 325 DDC 330
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