Liew Kah Fai, Lam Weng Siew, Lam Weng Hoe
Department of Physical and Mathematical Science, Faculty of Science, Universiti Tunku Abdul Rahman, Kampar Campus, Jalan Universiti, Bandar Barat, Kampar 31900, Perak, Malaysia.
Entropy (Basel). 2022 Jul 31;24(8):1056. doi: 10.3390/e24081056.
In this paper, we propose a multi-criteria decision making (MCDM) model by integrating the entropy-DEMATEL with TOPSIS model to analyze the causal relationship of financial ratios towards the financial performance of the companies. The proposed model is illustrated using the financial data of the companies of Dow Jones Industrial Average (DJIA). The financial network analysis using entropy-DEMATEL shows that the financial ratios such as debt to equity ratio (DER) and return on equity (ROE) are classified into the cause criteria group, whereas current ratio (CR), earnings per share (EPS), return on asset (ROA) and debt to assets ratio (DAR) are categorized into the effect criteria group. The top three most influential financial ratios are ROE, CR and DER. The significance of this paper is to determine the causal relationship of financial network towards the financial performance of the companies with the proposed entropy-DEMATEL-TOPSIS model. The ranking identification of the companies in this study is beneficial to the investors to select the companies with good performance in portfolio investment. The proposed model has been applied and validated in the portfolio investment using a mean-variance model based on the selection of companies with good performance. The results show that the proposed model is able to generate higher mean return than the benchmark DJIA index at minimum risk. However, short sale is not allowed for the applicability of the proposed model in portfolio investment.
在本文中，我们通过将熵权-决策试验与评价实验室（DEMATEL）方法与理想解排序法（TOPSIS）模型相结合，提出了一种多准则决策（MCDM）模型，以分析财务比率与公司财务绩效之间的因果关系。使用道琼斯工业平均指数（DJIA）成分股公司的财务数据对所提出的模型进行了说明。利用熵权-DEMATEL方法进行的财务网络分析表明，诸如资产负债率（DER）和净资产收益率（ROE）等财务比率被归类为原因准则组，而流动比率（CR）、每股收益（EPS）、资产收益率（ROA）和资产负债率（DAR）则被归类为结果准则组。最具影响力的三大财务比率是ROE、CR和DER。本文的意义在于，利用所提出的熵权-DEMATEL-TOPSIS模型确定财务网络与公司财务绩效之间的因果关系。本研究中对公司的排名识别有助于投资者在投资组合选择中挑选出业绩良好的公司。所提出的模型已在基于业绩良好公司选择的均值-方差模型的投资组合投资中得到应用和验证。结果表明，所提出的模型能够在最低风险下产生高于基准DJIA指数的平均回报率。然而，所提出的模型在投资组合投资中的适用性不允许卖空。
