We develop a nonparametric test of productive efficiency that accounts for the possibility of errors-in-variables. The test allows for statistical inference based on the extreme value distribution of the L?? norm. In contrast to the test proposed by Varian, H (1985): 'Nonparametric Analysis of...

Electricity prices are known to be very volatile and subject to frequent jumps due to system breakdown, demand shocks, and inelastic supply. As many international electricity markets are in some state of deregulation, more and more participants in these markets are exposed to these stylised...

We review Irving Fisher’s seminal work on UIP and on the closely related equation linking interest rates and inflation. Like Fisher, we find that the failures of UIP are connected to individual episodes in which errors surrounding exchange rate expectations are persistent, but eventually...

We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is...

We derive empirical tests for the mean-variance efficiency of a given portfolio. The tests can be computed using straightforward linear programming, and they give substantial flexibility in modeling the investment possibilities. Using this test, we can reject the hypothesis that the S&P 500...

This study investigates the extent to which Dutch organizations use ‘new’ performance measures to deal with the perceived inadequacies of traditional accounting performance measures. In addition, the determinants of the use of these ‘new’ performance measures are documented; finally, the...

Abe de Jong (1970) is Professor in Corporate Finance and Corporate Governance at RSM Erasmus University. He obtained a PhD in finance at Tilburg University (1999). His research and teaching interests are in the area of empirical corporate finance and include capital structure choice, dividend...

News plays a crucial role in determining prices in financial markets. In an efficient market, current prices fully and correctly reflect all available information, such that only truly new information leads to price adjustment. This lecture shows that using high-frequency data makes it possible...

Private equity has become an increasingly important part of our economy. Around the world the companies owned by private equity investors account for a substantial percentage of Gross Domestic Product (GDP) and private sector employment. These investors have recently been under fire in the media...

We examine the relationship between exchange-rate changes and stock returns for a sample of Dutch firms over 1994-1998. We find that over 50% of the firms are significantly exposed to exchange-rate risk. Furthermore, all firms with significant exchange-rate exposure benefit from a depreciation...