Article ID: | iaor20061184 |
Country: | Japan |
Volume: | 48 |
Issue: | 4 |
Start Page Number: | 308 |
End Page Number: | 317 |
Publication Date: | Dec 2005 |
Journal: | Journal of the Operations Research Society of Japan |
Authors: | Ueda Tohru, Hoshina Kenichi |
Keywords: | management, performance, time series & forecasting methods |
The efficiencies of firms should be evaluated, based on their historical financial data. Here a process for evaluation is proposed. Each historical data set is reduced to a distribution function with a mean and a variance estimated by Kalman filter. Then, a stochastic efficiency model is applied to this reduced data. Then a new efficiency measure is proposed and compared with existing measures. An application is made to three kinds of firms.