A Support Vector Machine model for classification of efficiency: An application to M&amp;A

Petridis, Konstantinos; Tampakoudis, Ioannis; Drogalas, George; Kiosses, Nikolaos

doi:10.1016/j.ribaf.2022.101633

Cited by 11 publications

(4 citation statements)

References 52 publications

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“…Another level of analysis of the average performance between the groups of quartiles of mutual funds’ ESG scores is performed with ANOVA. Empirical evidence suggests that higher ESG scores lead to higher efficiency (Petridis et al , 2022). The hypotheses assumed are shown in Table 13 for DPEI and RDM efficiency results.…”

Section: Resultsmentioning

confidence: 99%

The impact of mutual funds’ ESG scores on their financial performance during the COVID-19 pandemic. A data envelopment analysis

Tampakoudis

Kiosses

Petridis

2023

Self Cite

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Purpose The purpose of this study is to evaluate the performance of mutual funds during the COVID-19 pandemic with environmental, social and governance (ESG) criteria. The main research question is whether mutual fund performance differs with respect to the level of the mutual fund’s ESG score. Design/methodology/approach The data set contains global fund data, and mutual fund performance is analyzed using two types of data envelopment analysis (DEA) models: the DEA portfolio index (DPEI) and the range direction measure (RDM) DEA. Propensity score matching and logistic regression are also applied. Findings The results reveal that: nonequity mutual funds present significantly higher performance compared to the performance of equity mutual funds; mutual funds with high ESG scores are associated with significantly higher performance compared to those with low to medium ESG scores; funds with high ESG scores experience higher performance irrespective of their type; and efficiency scores derived from the RDM DEA are significantly higher than those derived from the DPEI model. Research limitations/implications Investors, fund managers and market participants can benefit from the findings of this study and improve their investment decision-making process, including more sustainable funds in their portfolios. Regulators and policymakers should further promote or even require the inclusion of more sustainable investments in the financial products offered by institutional investors. The main limitation of the study is related to data availability regarding the ESG score of mutual funds. Originality/value To the best of the authors’ knowledge, this is the first study that provides robust evidence in support of a positive association between ESG scores and mutual fund performance during the pandemic-induced crisis applying a DEA methodology.

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Section: Resultsmentioning

confidence: 99%

The impact of mutual funds’ ESG scores on their financial performance during the COVID-19 pandemic. A data envelopment analysis

Tampakoudis

Kiosses

Petridis

2023

Self Cite

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“…Data envelopment analysis has been widely used for financial applications (Abreu et al, 2019; Bruni et al, 2014). At the same time, the use of DEA to measure the impact of ESG factors on corporate financial efficiency is still under‐researched (Petridis et al, 2022). Xie et al (2019) examining the effect of ESG on corporate efficiency, calculated with DEA, found that ESG disclosure has a positive association with corporate efficiency at the moderate level of disclosure, rather than at the high or low level of disclosure.…”

Section: Methodsmentioning

confidence: 99%

The impact of ESG factors on financial efficiency: An empirical analysis for the selection of sustainable firm portfolios

Iazzolino

Bruni

Veltri

et al. 2023

Corp Soc Responsibility Env

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Environmental, Social, and Governance (ESG) factors are increasingly at the center of corporate and investment decisions. In this context, the aim of the paper was to test whether ESG factors impact on financial efficiency of a sample of firms belonging to different European sectors. This study enriches the literature of the field through a multi-sectoral analysis. The Data Envelopment Analysis was used as widely considered in empirical and financial studies. Research findings showed that ESGs impact on firm efficiency differently over sectors: some of them are more sensitive than others to ESG factors. Furthermore, for most sensitive sectors the risk-return characteristics related to ESGs were represented in order to provide insights for investors aiming to construct efficient and sustainable firm portfolios to invest in.

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“…The SVM is initially developed as a method for solving two-class linear data classification problems and later evolved into a method for solving both nonlinear and multiple data classification problems. Essentially, the objective of SVM is to create a hyperplane that separates the classes in the most effective way [21,22].…”

Section: Artificial Intelligence Methodsmentioning

confidence: 99%

Artificial Intelligence-Based Prediction of Crude Oil Prices Using Multiple Features under the Effect of Russia–Ukraine War and COVID-19 Pandemic

et al. 2022

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The effect of the COVID-19 pandemic on crude oil prices just faded; at this moment, the Russia–Ukraine war brought a new crisis. In this paper, a new application is developed that predicts the change in crude oil prices by incorporating these two global effects. Unlike most existing studies, this work uses a dataset that involves data collected over twenty-two years and contains seven different features, such as crude oil opening, closing, intraday highest value, and intraday lowest value. This work applies cross-validation to predict the crude oil prices by using machine learning algorithms (support vector machine, linear regression, and rain forest) and deep learning algorithms (long short-term memory and bidirectional long short-term memory). The results obtained by machine learning and deep learning algorithms are compared. Lastly, the high-performance estimation can be achieved in this work with the average mean absolute error value over 0.3786.

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A Support Vector Machine model for classification of efficiency: An application to M&A

Cited by 11 publications

References 52 publications

The impact of mutual funds’ ESG scores on their financial performance during the COVID-19 pandemic. A data envelopment analysis

The impact of mutual funds’ ESG scores on their financial performance during the COVID-19 pandemic. A data envelopment analysis

The impact of ESG factors on financial efficiency: An empirical analysis for the selection of sustainable firm portfolios

Artificial Intelligence-Based Prediction of Crude Oil Prices Using Multiple Features under the Effect of Russia–Ukraine War and COVID-19 Pandemic

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