نوع مقاله : مقاله پژوهشی - کاربردی

نویسندگان

1 گروه مهندسی مالی، دانشکده مدیریت، واحد علوم تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران.

2 گروه ریاضی، دانشکده علوم، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران.

3 گروه مدیریت بازرگانی، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبایی، تهران، ایران.

10.22105/dmor.2021.236731.1163

چکیده

هدف:  کارایی یک مفهوم اقتصادی است که عملکرد طیف گسترده‌ای از فعالیت‌های اقتصادی را در حوزه‌های مختلف یک بخش اقتصادی نشان می‌دهد. در مطالعاتی که از تکنیک مرزی تحلیل پوششی داده‌ها (DEA) استفاده می‌شود، اغلب رابطه‌ی بین برآورد کارایی با شاخص‌های کلیدی عملکرد مورد آزمایش قرار نمی‌گیرد. این درحالی است که DEA از ابزارهای مناسب و کارا در زمینه‌ی سنجش و ارزیابی بهره‌وری است. با این وجود، برآورد رابطه‌ی کارایی با معیارهای عملکرد مالی پذیرفته‌شده، می‌تواند فعالیت‌های الگوبرداری، تصمیمات قیمت‌گذاری و نظارت قانونی را هدایت کند.
روش‌شناسی پژوهش:  در این مقاله فرمول ابرکارایی DEA در دو مدل سودآوری، مورد آزمایش قرار می‌گیرد. چهار نسبت خالص درآمد بهره به کل دارایی‌ها، سود پس از مالیات به کل دارایی‌ها، بازده حقوق صاحبان سهام و وام‌های غیرجاری به کل دارایی‌ها، با مدل سودآوری توسعه‌یافته و همچنین نرخ رشد دارایی‌ها در مدل سودآوری اصلی برپایه‌ی متغیرهای کمکی در تحلیل پوششی داده‌ها محاسبه شده اند.
یافته ها:  در این تحقیق فرمول ابرکارایی DEA در دو مدل سودآوری، برای 15 بانک به مدت دو سال مورد آزمایش قرار می‌گیرد. همبستگی به‌دست‌ آمده به‌طورکلی پایین است. با این حال، چهار نسبت خالص درآمد بهره به کل دارایی‌ها، سود پس از مالیات به کل دارایی‌ها، بازده حقوق صاحبان سهام و وام‌های غیرجاری به کل دارایی‌ها در مدل EPM و نرخ رشد دارایی‌ها در مدل CPM دارای ارتباط قابل‌توجهی با برآوردهای کارایی هستد. درنهایت، نتایج به کیفیت اعتباری ضعیف در بانک‌های ایرانی در سال‌های 1396-1397 اشاره دارد.
اصالت/ارزش افزوده علمی:  در این تحقیق، برای نخستین بار ماهیت ارتباط  کارایی با شاخص‌های کلیدی عملکرد برآورد شده است. تکنیک تحلیل پوششی داده‌ها به منظور شناسایی هدفمند معیارهایی برای تحلیل نسبت‌های مالی مورد استفاده قرار گرفته است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

A comparison of super-efficiency through data envelopment analysis technique and financial ratios in Iranian stock exchange banks

نویسندگان [English]

  • nasrin bagheri mazraeh 1
  • Mohsen Rostami Mal Khalife 2
  • Meysam Varzi 3

1 Department of Financial Engineering, Faculty of Management, Science and Research Branch, Islamic Azad University, Tehran, Iran.

2 Department of Math, Faculty of Science, Science and Research Branch, Islamic Azad University, Tehran, Iran.

3 Department of Business Management, Faculty of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran.

چکیده [English]

Purpose: Efficiency is an economic concept which shows the performance of a wide range of economic activities in different areas of an economic sector. Most of studies using frontier technique Data Envelopment Analysis (DEA) do not test for the relationship of efficiency estimation with key performance indicators. This is despite the fact that DEA is one of the most effective tools for measuring and evaluating efficiency. Nevertheless, identifying the relationship between efficiency estimates and commonly accepted financial measures of performance could guide benchmarking activities, pricing decisions, and regulatory monitoring.
Methodology:  In this paper, the DEA super-efficiency formula is tested in two profitability models. Four ratios of net interest income to total assets, post-tax profit to total assets, owner’s equity returns and impaired loans to total assets, were calculated with a developed profitability model; besides, the growth rate of assets was calculated with main profitability model and all the aforementioned ratios addressed a significant association with efficiency estimates.
Findings: In this study, the DEA super-efficiency formula is tested in two profitability models for 15 banks for two years. The correlation obtained is generally low. However, the four ratios of net interest income to total assets, post-tax profit to total assets, owner’s equity returns and impaired loans to total assets, in the EPM model and asset growth rate in the CPM model have a significant relationship with performance estimates. Finally, the results indicate poor credit quality in Iranian banks in 1397-1397.
Originality/Value: In this study, for the first time, the nature of the relationship between performance and key performance indicators has been estimated. DEA technique has been used to purposefully identify criteria for analyzing financial ratios.

کلیدواژه‌ها [English]

  • Data Envelopment Analysis
  • Financial Ratios
  • Efficiency
  • benchmark Ratio
  • banking
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