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1、 硕士学位论文硕士学位论文 DEA 模型的改进及其在上市公司效率评价中 的应用 IMPROVEMENT OF DEA MODEL AND ITS APPLICATION ON EFFICIENCY EVALUATION OF LISTED COMPANIES 唐坤唐坤 哈尔滨工业大学哈尔滨工业大学 2010 年年 6 月月 国内图书分类号：F83033 学校代码：10213 国际图书分类号：336 密级：公开 经济学硕士学位论文经济学硕士学位论文 DEA 模型的改进及其在上市公司效率评价中的应用 硕 士 研 究 生 ： 唐坤 导 师 ： 孙佰清副教授 申请学位 ： 经济学硕士 学科 ： 金融学
2、 所 在 单 位 ： 经济与管理学院 答 辩 日 期 ： 2010 年 6 月 授予学位单位 ： 哈尔滨工业大学 Classified Index: F830.33 U.D.C: 336 Dissertation for the Master Degree in Economics IMPROVEMENT OF DEA MODEL AND ITS APPLICATION ON EFFICIENCY EVALUATION OF LISTED COMPANIES Candidate： Tang Kun Supervisor： Assoc. Prof. Sun Baiqing Academic De
3、gree Applied for： Master of Economics Speciality： Finance Affiliation： School of Management Date of Defence： June，2010 Degree-Conferring-Institution： Harbin Institute of Technology 哈尔滨工业大学经济学硕士学位论文 I 摘摘 要要 随着我国加入 WTO，市场竞争环境日趋激烈，我国企业面临着前所未有的机遇与挑战，若要保持和提升竞争力，提高效率是一种有效的途径。效率评价是效率研究工作中的重要内容， 也是效率得以提高的一个
4、基本保障。 对效率进行科学、客观的评价能够使上市公司及时发现自身的优势和不足， 并通过改善经营管理策略提高市场竞争力，因此效率评价成为上市公司提高竞争力的重要前提。然而传统的效率评价方法具有很大的局限性。一方面，传统的效率评价方法只是将上市公司看作一个“黑箱” ，忽略了其内部运行机制，只是从最初的投入和最终的产出来考察效率，难以得到全面客观的效率评价结果，因而从探索企业内部运作过程的角度来对上市公司效率进行评价是十分必要的；另一方面，传统的方法绝大部分侧重于静态评价，而实际生产过程是一个动态的过程，它会随着自身和外界的变化而进行相应的调整，静态评价的结果并不能真实的反映生产运作的效率，从而影响
5、管理者决策的正确性，甚至会使公司的战略失误，因此有必要从动态的角度研究生产运作过程的效率。 本文在充分论述国内外现有理论与实证研究成果的基础上， 首先研究了两阶段关联 DEA 模型的若干理论问题，包括系统要素问题、系统结构问题、混合问题，并以系统要素问题为例推导出了改进的两阶段关联 DEA 模型，包括不变规模报酬下的两阶段关联 DEA 模型的改进、 可变规模报酬下的两阶段关联 DEA 模型的改进。 针对要素变化对效率的影响， 引入了效率损失值、 效率增强值的概念，效率损失（增强）值在一定程度上反映了要素损失（增强）所带来的影响。其次，结合上市公司经营的实际过程， 以我国 14 家上市银行为例进
6、行了相对效率评价，结果表明改进的两阶段关联 DEA 模型适用性更广、识别能力更强、测算结果更贴近现实。最后，在上述实证研究的基础上，结合我国已上市的 14 家银行的实际情况提出了相应的效率提高途径， 对于我国上市银行经营管理水平和市场竞争力的提高具有重要的参考价值。 关键词：两阶段关联 DEA 模型；效率评价；上市公司；银行 哈尔滨工业大学经济学硕士学位论文 - II - Abstract After joining the WTO, The market competition environment is becoming increasingly fierce, the enterpri
7、ses in China are facing unprecedented opportunities and challenges, to maintain and enhance competitiveness, improve the efficiency is an effective way. Efficiency evaluation is an important content of efficiency and it is a basic guarantee for efficiency enhancing. Objectively and scientifically on
8、 efficiency evaluation of the listed company to found itself in the advantages and disadvantages, and through the improvement of management strategies to improve efficiency evaluation and market competitiveness, so it is an important premise for improving the competitiveness of listed companies. How
9、ever the traditional efficiency evaluation method has great limitations, on one hand, it take the listed company as “black box“, ignore the internal mechanism and just take the initial input and output to investigate the efficiency, it cant has comprehensive result, thus it is necessary to explore i
10、nternal operation process from the Angle of the listed company efficiency evaluation, On the other hand, the traditional method for most static evaluation, and located in practical production process is a dynamic process, it will be as itself and the changes in the outside world and the correspondin
11、g adjustment, static evaluation results do not reflect the real operation efficiency, which affects the correctness of the decision-making, even the companys strategic errors affect the correct operating company, therefore, it is necessary to study the dynamic process of production efficiency. Based
12、 on the existing theory and empirical research, on the basis of the first two stages DEA model was studied, it has some problems, including the system elements, the system structure, and the mixed problem with system elements is deduced for the improvement of two phase correlation DEA model, includi
13、ng constant scale under two stages of remuneration DEA model, related variable scale under two stages of remuneration of the DEA model associated. According to the changes of the influence of efficiency, increase efficiency loss value on the concept of value, efficiency, efficiency loss (enhancement
14、) in a certain extent, reflected elements loss (enhancement). Secondly, combined with the practical process of listed companies operating in China, with 14 listed Banks, as an example, the relative evaluation results improved two-phase association DEA model, applicability, and stronger ability to id
15、entify more close to reality the results. Finally, in the empirical research on the basis of Chinese listed the actual situation of Banks and puts forward the corresponding ways to improve efficiency and management level of Chinese listed 哈尔滨工业大学经济学硕士学位论文 - III - Banks and market competitiveness has important reference value. Keywords ： Relational two-stage DEA model ， efficiency evaluation ， listed companies，bank 哈尔滨工业大学经济学硕士学位论文 - IV - 目目 录录 摘 要 . 1 Abstract .
