Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence...

Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on local smoothing and an empirical process,...

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...