Technical Sessions – Monday July 11

HD-17 IFORS 2011 - Melbourne
� HD-17
Thursday, 15:30-17:00
Meeting Room 214
OR in Finance 5
Stream: Finance
Invited session
Chair: Shanying Xu, Academy of Mathematics and Systems Science,
CAS, No.55, Zhongguancun Dong Lu, 100190, Beijing, China,
xsy@iss.ac.cn
Chair: Michi Nishihara, Graduate School of Economics, Osaka
University, 1-7, Machikaneyama, Toyonaka, 560-0043, Osaka, Japan,
nishihara@econ.osaka-u.ac.jp
Chair: Alex Manzoni, Business College, RMIT University, GPO Box
2476, Melbourne, Victoria, Australia, alex.manzoni@rmit.edu.au
1 - Evaluation of Factors Affecting China’s Export - an Empirical
Study Based on the Structural Dynamic Factor
Model
Shanying Xu, Academy of Mathematics and Systems Science,
CAS, No.55, Zhongguancun Dong Lu, 100190, Beijing, China,
xsy@iss.ac.cn, Lin Zhao
Research on the factors affecting China’s export is of great significance; it can
help forecast the export volume, and promote China’s economic development.
Traditional econometric models are ineffective in this research, because they
cannot do well in dealing with the high dimensional data. The structural dynamic
factor model (SDFM) can solve this problem successfully and provide
some useful impulse response information. We use SDFM to explore the main
factors affecting China’s export, to evaluate the varieties and interactions between
these factors. We also compared the SDFM to VAR model.
2 - ETF Performance Measurement — Data Envelopment
Analysis
Kwai-sun Leung, Systems Engineering and Engineering
Management, The Chinese University of Hong Kong, Shatin,
New Territories, Hong Kong, ksleung@se.cuhk.edu.hk, Frank Y
Chen
In this paper we apply Data Envelopment Analysis (DEA) to evaluate the performance
of exchange-traded funds (ETFs). Contrary to other DEA studies
that rely on CCR and BCC models, the range directional measure (RDM) is
employed in this paper to measure ETF performance with an aim to overcoming
the problem of negative-valued data. By including the upside potential
and downside deviation into our DEA model, our results indicate that our DEA
model is able to provide a more comprehensive picture of the ETF performance
appraisal and hence a viable complement to traditional risk-adjusted index.
3 - Optimal Investment Timing under Debt Financing Capacity
Constraint
Takashi Shibata, Graduate School of Social Sciences, Tokyo
Metropolitan University, 1-1, Minami-osawa, 192-0397,
Hachioji, Tokyo, Japan, tshibata@tmu.ac.jp, Michi Nishihara
This paper examines the optimal investment timing decision problem of a firm
subject to an endogenous debt financing capacity constraint. We show that the
investment thresholds have a U-shaped curve with the debt capacity constraint,
in that they are increasing with the constraint for high-liquidity firms while
decreasing for low-liquidity firms. Although the financing constraint distorts
investment timing, it may encourage the constrained levered firm to overinvest
compared with the nonconstrained levered firm.
4 - Measuring Organisation Performance and Corporate
Social Responsiblity using Data Envelopment Analysis
Alex Manzoni, Business College, RMIT University, GPO Box
2476, Melbourne, Victoria, Australia, alex.manzoni@rmit.edu.au
A new approach to measuring performance shows propositions where efficiency
can be calculated for tangible/intangible productivity factors using DEA
to measure performance of corporate social responsibility in a major Australian
bank consistently rated as best performer on a national social responsibility index.
This study shows how it identified the best performing business units.
DEA has not previously been used in this fashion. This study shows how
measuring performance for an organization and its complete supply chain is
possible with an unifying standardized algorithm.
104
� HD-18
Thursday, 15:30-17:00
Meeting Room 215
Applications of DEA in Health Sector
Stream: Data Envelopment Analysis
Invited session
Chair: Chris O’Donnell, University of Queensland, School of
Economics, University of Queensland, 4072, Brisbane, QLD,
Australia, c.odonnell@economics.uq.edu.au
1 - An Econometric Approach to Estimating the Components
of Productivity Change in Public Hospitals
Chris O’Donnell, University of Queensland, School of
Economics, University of Queensland, 4072, Brisbane, QLD,
Australia, c.odonnell@economics.uq.edu.au, Kim Nguyen
Econometric estimation of output distance functions is complicated by the fact
that the outputs are endogenous. Our solution is to use linear programming
to construct an output index. This allows us to write the distance function in
the form of a conventional stochastic production frontier model where the explanatory
variables are uncorrelated with the error term. We use the approach
to estimate and decompose indexes of productivity change in Australian public
hospitals. We find that the main drivers of productivity change are changes in
scale and mix efficiency.
2 - Year-to-year Stability of Data Envelopment Analysis Efficiency
Scores: An Empirical Assessment Using Performance
of Coronary Artery Bypass Graft Surgeries
Mitchell Glavin, Health Care Administration, Stonehill College,
320 Washington Street, 02357, Easton, Massachusetts, United
States, mglavin@alum.mit.edu, Jon Chilingerian
Some critics of DEA maintain that construction of performance frontiers can
be distorted by data errors or extreme values among units evaluated. We investigated
the efficiency of Pennsylvania surgeons and hospitals performing
coronary artery bypass graft surgeries over the 1994-2004 period. Our examination
of efficiency scores in consecutive years support the conclusion that in
practice DEA may not be prone to distortions from noisy or extreme data values.
We observed statistically significant correlations between efficiency scores
and persistence in ranking among the most efficient units.
3 - Measuring Technical Efficiency of the Tertiary Public
Hospitals: Evidence from the National Capital Region
(NCR), Philippines Using Data Envelopment Analysis
(DEA)
Rhory Fernandez, Business Dept., Assumption College, San
Lorenzo Village, Makati, Metro Manila, 1223, Philippines,
rhory_fernandez@yahoo.com
The services provided by the health care facilities in the Philippines have long
been problematic. Since the tertiary public hospitals in NCR received 32.26%
of the total budget of the Department of Health (DOH)and public hospitals’ performance
measurement (PM) is currently one of the priority agenda of health
policy makers especially among the developing countries, this study was made
to measure the degree technical efficiency of the tertiary public hospitals and
to determine the potential resource reductions and cost savings of the government
using input oriented constant returns to scale data envelopment analysis
(DEA). The results indicate that 54% of the hospitals operate at technical efficiency
level way below the efficient frontier and savings could have been P1.5
billion. This study was able to prove that technical inefficiency exists among
the tertiary public hospitals in NCR. This is the first study to measure technical
efficiency among tertiary public hospitals in the Philippines.