This paper investigates the non-monotonic and non-linear effect of diversification on mutual fund performance. We apply a frontier-based efficiency measure, the stochastic frontier approach, to estimate fund efficiency and the benefit of diversification. The empirical results indicate that...

This article follows a three-stage data envelopment analysis (DEA) approach proposed by Fried et al. (2002) to decompose mutual fund underperformance, in order to obtain pure managerial performance. In the first stage, DEA is used to compute each fund's performance. In the second stage, a...

This study investigates the sources of bank productivity growth in China over the period 2002–2009. In order to perform this research, we propose an advanced index – input slack-based productivity index (ISP) – a model that disaggregates total factor productivity growth into each input...

This article examines the profitability of trading rules based on the smoothed probability of Markov-switching models and executes two models in Taiwan's case. The results present that both proposed models can earn excess returns over the buy-and-hold strategy and support that both can be used...

This study investigates the role of risk in determining the cost efficiency of international banks in eight emerging Asian countries. Researchers of this paper consider three distinct risk aspects under a total of eight risk measures: credit risk, operational risk, and market risk. We apply a...

A two-player model is established in order to examine the effects of environmental policy instruments, budget control, and bribery on decision making of local government and the firms. With or without bribery, the central government can always promote the abatement input by stipulating a higher...

The solvency issue of life insurance companies has become more important in recent years as business risks turn increasingly greater. This study examines the relationship among investing risk, underwriting risk, and the capital ratio during the post risk-based capital regulation period of...

Using the stochastic frontier analysis (SFA) model, we estimate total-factor energy efficiency (TFEE) scores for 47 regions across Japan during 1996–2008. We extend the cross-sectional SFA model proposed by Zhou et al. (Applied Energy, 2012) to panel data models and add environmental...

With uncertain scope of patent protection and imperfect enforcement, the effective strength of patent protection is determined by the legal system. We analyze how the legal system affects the incentives of firms to innovate, taking into account possibilities of strategic licensing and litigation...