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 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 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 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 article introduces total-factor energy productivity change index (TFEPI) based on the concept of total-factor energy efficiency and the Luenberger productivity index to evaluate the energy productivity change of regions in China with a total-factor framework. Moreover, the TFEPI can be...

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...

We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with the relative share of stocks in the risky wealth...

On Taiwan's stock market, foreign institutional investors hold over one-third of the total market value and have enjoyed remarkable returns on their investments. Hence, it is important to investigate the trading behavior of foreign institutional investors. Previous studies have found that...

During the 2007–2009 financial crisis, US subprime mortgage risk exposures led to severe liquidity problems in several other foreign markets. Such risk contagion was caused by enormous changes in interest rates. Although risk contagion has been investigated by several literatures, the...