The relationship between stock market returns and technical efficiency innovations: Evidence from the US airline industry

被引：82

作者：

Alam, IMS

Sickles, RC

机构：

[1] Tulane Univ, Dept Econ, New Orleans, LA 70118 USA

[2] Rice Univ, Dept Econ, Houston, TX 77005 USA

来源：

JOURNAL OF PRODUCTIVITY ANALYSIS | 1998年 / 9卷 / 01期

关键词：

panel data; productivity; technical efficiency; stock market performance; airline industry;

D O I：

10.1023/A:1018368313411

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper analyzes the association between two firm performance measures: stock market returns and relative technical efficiency. Using linear programming techniques (Data Envelopment Analysis and Free Disposal Hull), technical efficiencies are calculated for a panel of eleven US airlines observed quarterly from 1970-1990, A relationship, between efficiency news in a quarter and stock market performance in the following two months, is found. A risky arbitrage portfolio strategy, of buying firms with the most positive efficiency news and short-selling those with the worst news during this time frame, results in zero beta risk yet yields annual returns of 17% and 18% for the two methodologies.

引用

页码：35 / 51

页数：17

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