Selection Input Output by Restriction Using DEA Models Based on a Fuzzy Delphi Approach and Expert Information

Stock evaluation has always been an interesting problem for investors. In this paper, a comparison regarding the efficiency stocks of listed companies in Bursa Malaysia were made through the application of estimation method of Data Envelopment Analysis (DEA). One of the interesting research subjects in DEA is the selection of appropriate input and output parameter. In this study, DEA was used to measure efficiency of stocks of listed companies in Bursa Malaysia in terms of the financial ratio to evaluate performance of stocks. Based on previous studies and Fuzzy Delphi Method (FDM), the most important financial ratio was selected. The results indicated that return on equity, return on assets, net profit margin, operating profit margin, earnings per share, price to earnings and debt to equity were the most important ratios. Using expert information, all the parameter were clarified as inputs and outputs. The main objectives were to identify most critical financial ratio, clarify them based on expert information and compute the relative efficiency scores of stocks as well as rank them in the construction industry and material completely. The methods of analysis using Alirezaee and Afsharian's model were employed in this study, where the originality of Charnes, Cooper and Rhodes (CCR) with the assumption of Constant Return to Scale (CSR) still holds. This method of ranking relative efficiency of decision making units (DMUs) was value-added by the Balance Index. The interested data was made for year 2015 and the population of the research includes accepted companies in stock markets in the construction industry and material (63 companies). According to the ranking, the proposed model can rank completely for 63 companies using selected financial ratio.