Modern investment theory has empirically proved that stock returns can be explained by several factors such as market risk, firm size, and book-to-market ratio. Other unknown factors affecting stock returns are also believed to still exist yet to be found. We believe that one of such factors is the operational efficiency of firms in transforming inputs to outputs, considering the fact that operations is a fundamental and primary function of any type of businesses. To support this belief, this study intends to empirically study the relationship between firm efficiency and stock price performance. Firm efficiency is measured using data envelopment analysis (DEA) with inputs and outputs obtained from financial statements. We employ cross-efficiency evaluation to enhance the discrimination power of DEA with a secondary objective function of aggressive formulation. Using the CAPM-based performance regression model, we test the performance of equally weighted portfolios of different sizes selected based upon DEA cross-efficiency scores along with a buy & hold trading strategy. For the empirical test, we collect financial data of domestic firms listed in KOSPI over the period of 2000~2016 from well-known financial databases. As a result, we find that the porfolios with highly efficient firms included outperform the benchmark market portfolio after controlling for the market risk, which indicates that firm efficiency plays a important role in explaining stock returns.

1. 서 론
 2. 이론적 배경
  2.1 운영 효율성과 DEA
  2.2 DEA 교차효율성
  2.3 주식 수익률 성과 회귀모형
 3. 실증 방법
  3.1 데이터 및 실증기간
  3.2 효율성 측정을 위한 DEA 모형의 구성
  3.3 DEA 포트폴리오 구성 및 매매전략
 4. 실증 결과
  4.1 투자 성과 비교
  4.2 CAPM 기반 주가 수익률 성과 회귀분석
 5. 결 론
 References

• Sungmook Lim(Dongguk Business School, Dongguk University-Seoul) | 임성묵 Corresponding Author