Abstract
This study aims to adopt and use the Data Envelopment Analysis (DEA) procedure in order to evaluate the performance of win-loss investment portfolios based on the fundamental efficiency of internal corporate factors. To this end, current ratio, debt ratio, accounts receivable turnover, total assets turnover, inventory turnover, fixed asset turnover, and the ratio of inventory to working capital are considered as model inputs. In addition, ROA, ROE, net profit margin, EPS, P/E, operating income, and Tobin's Q are calculated as outputs of the model. Finally, the future performance of the win-loss portfolio market is evaluated based on efficiency using the random dominance method. The statistical sample of research includes 382 companies admitted to the Tehran Stock Exchange in the period from 2011 to 2023. The results of the research show that the future performance of the winning portfolio based on six-month, one-year, and adjusted one-year future returns is significantly superior to the future performance of the losing portfolio. But the future performance of the winning portfolio based on six-month adjusted future returns is lower than the future performance of the losing portfolio based on six-month adjusted future returns.
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Article Details
- Year: 2026
- Volume: 47
- Issue: 2
- Pages: 259 - 300
- Accepted: 02.03.2026
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DOI:
https://doi.org/10.5281/zenodo.21640785 -
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How to Cite?
Ali Moradi, Abdolmajid Abdolbaghi Ataabadi, Seyed Mohammad Hassan Hosseini (2026). Using DEA for Evaluating Winner-Loser Investment Portfolios based on Intra-Firm Efficiency: Evidence from the Tehran Stock Exchange. Journal of Economic Cooperation and Development, 47(2), 259-300. https://doi.org/10.5281/zenodo.21640785
