The Effect of Operation and Market Value Efficiency on the Korean Stock Market

Soo-Hyun Kim (Soongsil University)

Journal of Derivatives and Quantitative Studies: 선물연구

ISSN: 1229-988X

Article publication date: 28 February 2015

Abstract

This paper investigates the relationship between output to input efficiency and stock return predictability in the Korean stock market. We measure the efficiency using Data Envelopment Analysis with independent outputs of sales and market value data. Sales efficiency measures the operational efficiency whereas market value efficiency measures the efficiency evaluated by the investors. Through our empirical analysis, it is found that low efficiency stocks in either measures tend to have higher future returns. However, if both efficiency measures are employed at the same time there exists a strong tendency that high operation efficient and low market value efficient stocks generate larger future returns. We find that DEA analysis for efficiency can process a cross-sectional stock return predictability in the Korean stock market.

Keywords

Citation

Kim, S.-H. (2015), "The Effect of Operation and Market Value Efficiency on the Korean Stock Market", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 23 No. 1, pp. 29-40. https://doi.org/10.1108/JDQS-01-2015-B0002

Publisher

:

Emerald Publishing Limited

Copyright © 2015 Emerald Publishing Limited

License

This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode