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專題討論報告 PowerPoint PPT Presentation


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專題討論報告. 指導老師:黃振勝 報告學生:陳常彬 班級:碩工管一甲 學號: M99U0106. 報告題目: 應用資料包絡分析選擇股票投資 標的之 研究-以上市食品產業為例. 資料來源: 台灣農學會報第十一卷第五期 J. Agri. Assoc. Taiwan 11(5) : 409- 428 , 2010. 摘要. 本研究運用 資料包絡分析 (Data Envelopment Analysis, DEA) 視窗分析 (Window Analysis) 探討上市食品產業之公司的經營績效與股價報酬關係,進而供投資人在選股上之參考。

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專題討論報告

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M99U0106


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J. Agri. Assoc. Taiwan 11(5)

409- 4282010


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(Data Envelopment Analysis, DEA)

(Window Analysis)


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1

2

3

4

5

6


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(Data Envelopment Analysis, DEA)

2005 2008


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DEA

( ) DEA

( )

DEA22 2005 2008


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DEA DEA


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Feroz et al . (2003) (ROE)

= (NI) / (S)

= (S) / (A)

= (A) / (E)

4 ( ) (NI)( ) (S)( ) (A)( ) (E)4 ( ) ( ) DEA


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DEA

DEA

(Window Analysis)


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(Pareto Optimality) (Decision Making Unit, DMU) DEA Farrell 1957 Charnes et al . (1978) Farrell(1957) (Deterministic Non-parametric Approach) (Mathematical Programming) (Efficiency Frontier)DMU DMU

Banker et al . (1984) CCR BCC CCR BCC


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DEA Lovell (1993)


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(1)

Yrjj DMU r

Xijj DMU i

Urj DMU r

Vij DMU i

hkk DMU

: (Non-Archimedean Constant)

( ) CCR

Charnes et al . 1978 CCR Farrell n DMUDMUj (j=1,, n) m Xi (i=1, , m)s Yr (r=1, , s)k DMU (DMUk )


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(1)

(2)

(3)

(3)


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( ) BCC

CCR DMU DMU

Banker et al . 1984 CCR BCCCCR (total efficiency,TE) (Pure Technical Efficiency, PTE) (Scale Efficiency, SE)BCC


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BCC CCR

BCC DMU

0 DMU (DRS)

=0DMU (CRS)

0DMU (IRS)


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Charnes et al . 1985 DEA 14 1996 2005 20 50 DMU DEA3

42 (3*14) DMU 1 1 3 2 1 DMU4 DMU DEA DMU DMU

1.

2.DMUs

3.

4.SMUs


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22 :

1


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(http://newmops.tse.com.tw/)2005 2008

DEA


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1

DEA 2


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2


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DEA DEA

( )


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DEA


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3

DMU Golany and Roll (1989) DMU 22


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42008 DEA

DEA

2008 DEA


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( ) CCR

CCR 1 DUM2008 1 12 10

( ) BCC

BCC DMU DMU 1

6 2008


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( )

1DMU (Increasing-IRS)DMU 1DMU (Decreasing-DRS)DMU 1DMU (Constant-CRS)

5


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2005 2008 4 5

52005-2008


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52005-2008 ( )

1


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DEA 2008 DEA 2008 1 1 2009 6


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62009


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(2008.1.2) 1231

( )

( ( 1 ) 12 )221.03 12 / 31 21.1 13.65 9.30 3.95 9.95 2.77 22.7 4.00 12.6 10.7 8.95 8.05 127.72127.72 / 221.03 57.78%

( )

( 2005-2008 1 2 ) 37.2512 / 31 16.616.6 / 37.25 44.56%


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( )

( 4 )79.112 / 31 36.8536.85 / 79.1 46.59%

( )

( 22 )318.86200.7962.97%

7

22 22 2009 DEA


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DEA DEA

2009.12.31


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