This paper applies a four-stage data envelopment analysis (DEA) approach proposed by Fried et al. (1999) to measure the operational environment-adjusted efficiency of sixty mutual funds in Taiwan from 2006 to 2010. We adopt the approach for adjusting negative output as suggested by Lovell and...

We study a novel mechanism through which real options play a prominent role in inducing the skewness of stock returns. Building on the investment-based asset pricing framework, we show that firms’ real options to contract (expand) their businesses when productivity is low (high) can increase...