Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: International Journal of Financial Studies : open … 8 (2020) 2/24, pp. 1-18
the performance of the model, including and omitting the efficiency factor. The results show that the efficiency factor … largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis … (DEA) techniques can help improve the performance of multifactor models. Specifically, we test the explanatory power of the …