Performance Assessment and Ranking Listed Companies of Stock Market Using an Integrated DEA-VIKOR Approach

Decision making on buying stock is a complex process. Comparing various companies based on the industry they belong to and the identification of the superior industries through their performance assessment can be a useful guide for stakeholders. Since a set of parameters is considered for decision, in this study beside identification of factors affecting decision-making process and determining input and output parameters affecting the ranking of selected companies that are active in Tehran stock exchange market, data envelopment analysis (DEA) has been used to evaluate the performance of companies in several different industries. This method is a nonparametric method to measure and assess the relative efficiency of decision-making units with multiple inputs and outputs. Identified inputs and outputs include net profit margin, quick ratio, fixed asset turnover, equity rate, return on assets, equity, current debt, current assets, and debt ratios. First, input orientation CCR method is used to determine efficient and deficient companies. Entropy method is used to determine the weights of indicators. Finally, VIKOR method is used to rank efficient companies and with the ranking of inefficient companies, models have been presented to reach the efficiency frontier.