Many prior studies on Indian banking efficiency have typically regressed non-parametric estimates of production efficiency on environmental variables in a two-stage process. However, Simar and Wilson (2007) have demonstrated that the studies that use such conventional approaches are invalid due...

This paper examines prediction of U.S. bank failure with a probit model that uses bias-corrected technical efficiency estimated using bootstrap data envelopment analysis as the measure of management quality. The model is tested on a sample of failed and non-failed banks during the sub-prime...

The 2008 financial crisis has spurred investors to wonder about adding tail risk hedges to their portfolios. However, the cost of these hedges can often be a deterrent. As a consequence, many financial institutions have tried to develop cost-effective products for investors who wished to protect...

This paper evaluates the predictive ability of dividend yield for stock return using a new bootstrap test for the significance of predictive coefficients. The predictive model is expressed as a restricted vector autoregressive model, and the bootstrap is conducted with resampling based on...

The purpose of this investigation is to research the causal link between economic policy uncertainty (EPU) and the housing returns (HR) in Germany. In the estimated vector autoregressive models, we test its stability and find the short-run relationship between HR and EPU is unstable. As a...

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

We propose a new way to conduct multiple hypothesis testing in economics research. Our framework allows for correlation among tests and incomplete data, both of which are prevalent in economic meta-analysis. Our simulations show that that our method is able to produce the correct p-value cutoff...