Modeling leakage in two-stage DEA models: An application to US mutual fund families

Galagedera, Don Upatissa Asoka; Watson, John; Premachandra, I. M.; Chen, Yao

doi:10.1016/j.omega.2015.07.007

Cited by 33 publications

(18 citation statements)

References 49 publications

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“…The overall efficiency of a mutual fund can be conceptualized into two components: decision quality efficiency and capital magnet efficiency. The two‐stage concept presented in Figure comports with the literature (e.g., Galagedera et al, ; Premachandra et al, ), with a particular focus on window time effects in this study. The first stage discusses decision quality efficiency, particularly (a) a fund manager's ability to select shares for either short‐term or long‐term investments via buying and selling turnover ratios, which represent the number of transactions, and (b) how decisions are made to determine whether a fund can obtain excess returns from expenses, namely, management fees ratio and transaction costs ratio.…”

Section: Methodsmentioning

confidence: 77%

“…Similarly, Galagedera et al () inserted a new dimension to the two‐stage model of Premachandra et al () by adding total cash flow to investors as the output of the first‐stage efficiency, thereby increasing the model's discriminatory power. They showed that small fund families tend to perform better than their bigger counterparts.…”

Section: Mutual Fund Performance Evaluationmentioning

confidence: 99%

“…This allows certain performance indicators that remain hidden in other tools to be uncovered. In the literature the following studies (e.g., Galagedera, Watson, Premachandra, & Chen, ; Galagedera, Roshdi, Fukuyama, & Zhu, ; Premachandra, Zhu, Watson, & Galagedera, ) have applied DEA in evaluating mutual funds.…”

Section: Introductionmentioning

confidence: 99%

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Mutual fund performance: The decision quality and capital magnet efficiencies

Hsieh

Tebourbi

et al. 2020

Manage Decis Econ

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This study employs a two-stage network data envelopment analysis model to analyze the decision quality and capital magnet efficiencies of 155 mutual funds in Taiwan during the period 2007-2016. The empirical results show that fund managers improved their decision quality; however, their capital magnet efficiency declined.This study also found 10 mutual funds performing in decision quality and capital magnet efficiencies, from which practical suggestions are provided to investors.Finally, this study constructs a market competition matrix to help fund managers (and investors) improve their operating and portfolio performance, plus resource allocation.

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Section: Methodsmentioning

confidence: 77%

Section: Mutual Fund Performance Evaluationmentioning

confidence: 99%

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Mutual fund performance: The decision quality and capital magnet efficiencies

Hsieh

Tebourbi

et al. 2020

Manage Decis Econ

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show abstract

“…While radial models assume that input reductions and output expansions change proportionally (Seiford & Zhu, 1999;Lewis & Sexton, 2004;Castelli, Pesenti, & Ukovich, 2010;Yang & Liu, 2012;Kao, Wu, & Huang, 2017;Marchetti & Wanke, 2017), non-radial models are a more flexible evaluation tool that can compute input contractions and output improvements individually (Yu & Lin, 2008;Barros, Managi, & Matousek, 2012;Xu & Cui, 2017). Furthermore, given that slacks have been recognized as important factors in explaining inefficient behavior (Mahlberg & Sahoo, 2011), a network slacks-based measure (NSBM) model proposed by Tone and Tsutsui (2009) has been widely used for performance evaluation in various industries (Avkiran, 2009;Yu, 2010;Galagedera, Watson, Premachandra, & Chen, 2016;Zha, Liang, Wu, & Bian, 2016;Xu & Cui, 2017).…”

Section: Introductionmentioning

confidence: 99%

Performance Evaluation of Taiwanese International Tourist Hotels: Evidence From a Modified Ndea Model With Ica Technique

Chiu

Lin

2018

Technological and Economic Development of Economy

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Abstract. The motivation for this study is to assess the managerial performance in Taiwanese international tourist hotels based on the two-stage NDEA performance mechanism with ICA technique for enhancing the discriminatory power of performance evaluation model. The two-stage managerial performance structure is applied, incorporating the service production and service operation stages, as a reduced form to introduce the relatively complex business environment of modern enterprise. However, we have need to be considerable of dimensionality curse problem in NDEA performance model. A modified NDEA-based evaluation model, therefore, is proposed to integrate the network slacks-based measure (NSBM) with a dimensional reduction technique, the independent component analysis (ICA). The results indicate that the performance of the profit dimension significantly hampers operational performance, and that both regulators and managers must adjust their market orientation business strategy. Moreover, compared with the NSBM model, this modified ICA-NSBM performance model has a high discriminatory ability to measure the relative performance of the selected hotels.

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“…Based on the production technology and following Galagedera et al (2016) we can calculate an approximation of the input distance function as the reciprocal of the Farrell technical efficiency(Färe et al, 1992b). It must be noted that our proposed distance function and the distance function ofGalagedera et al (2016) are approximations of the input distance function proposed byFäre et al (1992b). InGalagedera et al (2016) model (B.2), the component (1 − 0 ) 0 at the third constraint does not allow for proportional reductions of all intermediate variables.…”

mentioning

confidence: 98%

Productivity growth in network models: An application to banking during the financial crisis

Kourtzidis

Matoušek

Tzeremes

2018

Journal of the Operational Research Society

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We construct Malmquist Productivity indices for two-stage processes. A two-stage data envelopment analysis model with an additive efficiency decomposition is used for the modeling of the two-stage process. We incorporate prior information into the analysis using the Weight Assurance Region model. This model offers advantages such as the weights representing the contribution of each stage to the overall process are always positive and we also can restrict them into a region given the available prior information. We extend this model from efficiency analysis to productivity analysis and we calculate Malmquist Productivity indices using four alternative decomposition approaches. The model is applied to a panel of banks in Central and Eastern European countries and productivity change is evaluated for three periods of the financial crisis. The alternative decompositions allow us to examine the various sources of productivity change during the financial crisis. Convergence patterns are also examined.

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Modeling leakage in two-stage DEA models: An application to US mutual fund families

Cited by 33 publications

References 49 publications

Mutual fund performance: The decision quality and capital magnet efficiencies

Mutual fund performance: The decision quality and capital magnet efficiencies

Performance Evaluation of Taiwanese International Tourist Hotels: Evidence From a Modified Ndea Model With Ica Technique

Productivity growth in network models: An application to banking during the financial crisis

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