mutual fund performance an analysis of quarterly portfolio holdings this article employs the 1975 84 quarterly holdings of a sample of mutual funds to construct an estimate of their gross returns this sample which is not subject to survivorship bias is used in conjunction with a sample that contains the actual net returns of the mutual funds in addition to allowing the authors to estimate the bias in measured performance that is due to the survival requirement and to estimate total transaction costs the sample is used to test for the existence of abnormal performance the tests indicate that the risk adjusted gross returns of some funds were significantly positive copyright 1989 by the university of chicago

identifying the efficiency status in network dea abstract data envelopment analysis dea is commonly employed to evaluate the efficiency performance of a decision making unit dmu that transforms exogenous inputs into final outputs in such a black box dea approach details of an internal production process of the dmu are typically ignored and hence the locations of inefficiency are not adequately provided in view of this dea researchers have recently developed various network approaches by looking into the black box where the inputs that enter the box and the outputs that come out of it are only considered however most of these network approaches evaluate divisional efficiency by using an optimal solution of their respective optimization problem if such an optimal solution is used in the case when there are multiple optima then managerial guidance based on this solution alone may be inappropriate because more appropriate targets from the viewpoint of management may be ignored taking this fact into account therefore we propose a network approach for identifying the efficiency status of each dmu and its divisions this approach provides a practical computational procedure

multi factor performance measure model with an application to fortune 500 companies abstract the paper develops tools for reconciling diverse measures which characterize the financial performance of the fortune 500 companies the technology of data envelopment analysis dea is employed to determine a multi factor financial performance model which inherently recognizes tradeoffs among various financial measures this study offers an alternative perspective and characterization on the performance of the fortune 500 companies it is shown that the top ranked companies by revenue do not necessarily have top ranked performance viewed as being multidimensional only about 3 companies were operating on the best practice frontier substantial technical and scale inefficiencies are found decreasing returns to scale drs are uncovered among the relatively large revenue top ranked companies the study of congestion shows that a reduction in current levels of employees assets and equity may actually increase revenue and profit levels factor specific measures within the framework of multidimensional measure are developed to further study the performance of companies and industries the performance of best practice frontier companies is analyzed by constructing reference share measures which indicate the role each frontier company plays in evaluating non frontier companies finally the reliability of the best practice frontier is examined

the economic psychology of stock market bubbles in china the chinese stock markets were extremely volatile during the period 2005 08 the shanghai stock exchange sse composite index increased more than sixfold from 1 012 in 2005 to 6 124 by the end of 2007 it then declined continuously to reach a low of 1 929 on 17 september 2008 or a drop of 70 per cent from its peak in less than 10 months although the market downturn may have been affected by the financial crisis in the united states and the rest of the world the extreme fluctuations of stock prices signify a big market bubble and the burst of that bubble must be explained by intrinsic characteristics or the economic psychology of chinese investors based on a detailed market data analysis this paper attributes the development of the stock market bubble to three key psychological factors greed envy and speculation and the burst of the bubble to three contrasting factors fear lack of confidence and disappointment it concludes that only after chinese companies become really commercialised and profitable and investors become rational can the stock markets become stable without extreme volatility as seen in the past government policies can play a role in soothing market volatility detrimental to shareholders and the wider economy but investors should not depend on government for making their own investment decisions journal compilation 2009 blackwell publishing ltd

some models for estimating technical and scale inefficiencies in data envelopment analysis in management contexts mathematical programming is usually used to evaluate a collection of possible alternative courses of action en route to selecting one which is best in this capacity mathematical programming serves as a planning aid to management data envelopment analysis reverses this role and employs mathematical programming to obtain ex post facto evaluations of the relative efficiency of management accomplishments however they may have been planned or executed mathematical programming is thereby extended for use as a tool for control and evaluation of past accomplishments as well as a tool to aid in planning future activities the ccr ratio form introduced by charnes cooper and rhodes as part of their data envelopment analysis approach comprehends both technical and scale inefficiencies via the optimal value of the ratio form as obtained directly from the data without requiring a priori specification of weights and or explicit delineation of assumed functional forms of relations between inputs and outputs a separation into technical and scale efficiencies is accomplished by the methods developed in this paper without altering the latter conditions for use of dea directly on observational data technical inefficiencies are identified with failures to achieve best possible output levels and or usage of excessive amounts of inputs methods for identifying and correcting the magnitudes of these inefficiencies as supplied in prior work are illustrated in the present paper a new separate variable is introduced which makes it possible to determine whether operations were conducted in regions of increasing constant or decreasing returns to scale in multiple input and multiple output situations the results are discussed and related not only to classical single output economics but also to more modern versions of economics which are identified with contestable market theories

housing development and urbanisation in china rapid urbanisation and rising income have led to a strong demand for housing in urban china however housing development has been distorted by speculation income inequality and lack of government support for low cost houses in recent years house prices become so high making the vast majority of urban residents unable to afford whereas rich families are able to buy many and leave them vacant income inequality is a major cause for rising house prices which in turn exaggerates income inequality further this vicious relationship has caused social tension between the rich and the poor and unhappiness among the middle and low income groups this paper discusses the factors responsible for the housing bubble in china and recommends appropriate policies to resolve this problem

additive efficiency decomposition in two stage dea kao and hwang 2008 kao c hwang s n 2008 efficiency decomposition in two stage data envelopment analysis an application to non life insurance companies in taiwan european journal of operational research 185 1 418 429 develop a data envelopment analysis dea approach for measuring efficiency of decision processes which can be divided into two stages the first stage uses inputs to generate outputs which become the inputs to the second stage the first stage outputs are referred to as intermediate measures the second stage then uses these intermediate measures to produce outputs kao and huang represent the efficiency of the overall process as the product of the efficiencies of the two stages a major limitation of this model is its applicability to only constant returns to scale crs situations the current paper develops an additive efficiency decomposition approach wherein the overall efficiency is expressed as a weighted sum of the efficiencies of the individual stages this approach can be applied under both crs and variable returns to scale vrs assumptions the case of taiwanese non life insurance companies is revisited using this newly developed approach

evaluating the environmental efficiency of a two stage system with undesired outputs by a dea approach an interest preference perspective abstract in this study we propose a new dea model to evaluate the environmental efficiency of a two stage system with undesired outputs the two stage system consists of two parts a production subsystem and a pollution treatment subsystem different choices for allocating resources to each subsystem represent different interest preferences of decision makers with the production subsystem corresponding to short term interests and the pollution treatment subsystem corresponding to long term interests based on a proposed new dea model three theorems are established to show the relationships between the interest preference parameter and the change of efficiency scores an empirical analysis was conducted using the data of 30 provinces and municipalities eight regions of china the empirical results show the effectiveness of the proposed model and the usefulness of the theorems for the real world data optimal efficiency rankings of the eight regions are provided and the efficiency rankings truly reflect the current environmental situations of these eight regions to examine the economic impacts and facilitate sustainable development we also analyze the shadow prices for undesired outputs corresponding implications of the empirical analysis are also discussed

decomposing technical efficiency and scale elasticity in two stage network dea abstract the constant returns to scale assumption maintained by neoclassical theorists for justifying the black box structure of production technology in long run does not necessarily allow one to infer that there are no scale benefits available in its sub technologies most of real life production technologies are multi stage in nature and the sources of increasing returns lie in the sub technologies it is therefore imperative to estimate the scale economies of a firm not only for the network technology but also for the sub technologies to accomplish this two approaches are suggested in this contribution based on the premise concerning whether a network technology construct considers allocative inefficiency the first approach which is ours makes use of a single network technology for two interdependent sub technologies the second approach which is due to kao and hwang 2011 however assumes complete allocative efficiency by considering two independent sub technology frontiers one for each sub technology the distinction between these two approaches is important from a policy point of view since the network efficiencies revealed from these two approaches have distinctive causative factors that do not permit them to be used interchangeably

industrial eco efficiency in china a provincial quantification using three stage data envelopment analysis abstract the coordinated development of industrialization and the ecological environment is vital to achieve ecological civilization in china integratively considering the economy energy and resources and environment this study aims to measure the industrial eco efficiency of 30 provinces autonomous regions and municipalities in china between 2005 and 2013 a three stage data envelopment analysis dea modeling approach is adopted to eliminate interference of the external environment and statistical noise with industrial eco efficiency measurement the results show that regional industrial eco efficiency in china is affected by the factors of the environmental regulation technological innovation level of economic development and industrial structure after eliminating the impacts of external environment and statistical noise china s national average industrial eco efficiency declines by 30 between 2005 and 2013 the industrial eco efficiency of the 30 provinces increases but at different rates of growth the variation of overall regional industrial eco efficiency is primarily caused by scale efficiency furthermore all the 30 provinces are classified into four groups to interpret the causes of variation and differences of regional industrial eco efficiency in general the management and technology level and the economy of scale of industries should be improved simultaneously even though specific opportunities for industrial eco efficiency improvement vary across provinces in china

frontier projection and efficiency decomposition in two stage processes with slacks based measures abstract in the prior literature on measuring the efficiency of two stage processes there are both radial and non radial methods of efficiency measurement in some cases non radial methods which allow all inputs intermediate measures and outputs to change non proportionally are more appropriate than radial methods but they do not ensure stage efficiency or allow for the efficiency decomposition of two stage processes based on slacks based measure sbm this paper develops both envelopment based and multiplier based models to obtain simultaneously both the frontier projection and the efficiency decomposition specifically we propose the variable intermediate measures sbm vsbm model to evaluate the system efficiency of two stage processes and consider the following three properties of the vsbm model 1 we derive the efficient dea frontier projection based on the vsbm model 2 we address potential conflicts in this model with respect to the intermediate measures 3 we prove that the system inefficiency is equivalent to the sum of inefficiencies of the two stages furthermore we derive the efficiency decomposition of two stage processes based on the dual of the vsbm model finally we apply our proposed approach to real data of us commercial banks and extend our approach to settings in which the assumption of variable returns to scale vrs holds or there are more general network structures

benchmarking superannuation funds based on relative performance in this article we assess fund performance using data envelopment analysis dea for each inefficient fund dea provides a set of role model funds whose best practices may be emulated for performance improvement we find that the role models of most inefficient funds consist entirely of funds different from their own type to overcome this situation we suggest a multi step dea procedure the procedure starts by categorizing funds on a hierarchical basis we establish the hierarchy based on the frequency of efficient funds that belong to each fund type thereafter a set of role model funds for each inefficient fund is found by pooling the funds in its own category and the funds that belongs to the categories at the lower levels in the hierarchy and applying dea this procedure is repeated by augmenting the pool with funds at the next higher level and so on until all the sampled funds are included at each step a set of role models is identified an inefficient fund can thus reach the efficient frontie

the adequacy of investment choices offered by 401k plans abstract the choices made by 401 k participants are the product of two different decisions what is offered and what is chosen while there have been a number of studies of the decisions made by participants in 401 k plans there have been no studies of the adequacy of the full set of choices offered to 401 k participants this paper analyzes the adequacy and characteristics of the choices offered to 401 k plan participants for over 400 plans we find that only 53 of the plans offer an adequate set of options and that over a 20 year period offering inadequate options makes a difference in terminal wealth of over 53 we find that funds included in the plans are riskier but have a slightly higher return than the general population of funds in the same categories however we find that the return difference is roughly equal to the difference in expenses between funds selected by plans and randomly selected funds we study the characteristics of plans that are associated with adequate investment choices including an analysis of the use of company stock plan size and the use of sophisticated strategies

mean variance theory in complete markets two paradigms in the pricing of risky assets are the complete markets model of arrow and debreu and mean variance pricing as embodied in the capital asset pricing model capm the former is primarily of theoretical interest in fact prior to the recent work of banz and miller 1978 and breeden and litzenberger 1978 there was little thought or hope of practical applications on the other hand the hegemony of the capm is due mostly to its apparent ease of applicability and to a lesser extent its empirical justification in a competitive market with no taxes transactions costs or institutional constraints on portfolio holdings the allocation of the available assets will be pareto optimal the end of period distribution of wealth or the consumption goods however will typically be pareto optimal only when there is available an arrow debreu security for each contingency since by definition a pareto superior reallocation is weakly preferred by all investors a complete set of arrow debreu markets should naturally arise provided they are not too costly to establish the complete markets model of arrow and debreu and the meanvariance capital asset pricing model capm are two paradigms of risky asset markets this paper provides an integration of these two theories we prove that the standard meanvariance separation theorem obtains in a complete market only if all investors have quadratic utility in addition the familiar capm pricing relation can hold for all assets in a complete market only if arbitrage opportunities exist on the positive side we show that the validity of this relation for the primary assets in a complete market is unaffected by the distribution of returns on the created financial assets

decomposition weights and overall efficiency in two stage additive network dea abstract data envelopment analysis dea is a technique for performance evaluation of peer decision making units dmus the network dea models study the internal structures of dmus using two stage network structures as an example the current paper examines additive efficiency decomposition where the overall efficiency is defined as a weighted average of stage efficiencies and the weights are used to reflect relative importance of individual stages we show that weights may not affect the calculation of stage efficiency scores and that variation in the overall efficiency resulting from using different weights can be associated with constant stage efficiencies we demonstrate the need to isolate the impact of weights on the overall efficiency we propose to use a new overall efficiency index to address some pitfalls in weighted additive efficiency decomposition our findings are illustrated using two empirical data sets representing two types of two stage network structures

efficiency of mutual funds and portfolio performance measurement a non parametric approach abstract in finance portfolio performance assessment is an important area of research the two popular indices of performance are the jensen s alpha and the sharpe index however there are a number of shortcomings of the above measures that have been highlighted in the literature we propose a new measure of performance that seeks to address the limitations of the earlier indices the new index is calculated by employing a well known method in operations research called data envelopment analysis we show the benefits of the proposed approach and assess the performance of mutual funds we compare the results with traditional indices of performance an interesting result we obtain is that the mutual funds are all approximately mean variance efficient

productivity and customer satisfaction in swedish pharmacies a dea network model this paper presents a data envelopment analysis dea network model that allows inclusion of customer satisfaction in efficiency and productivity measures the network consists of a production node and a consumption node and offers flexibility in modelling the production and consumption process where a firm specific allocation of input resources to production and customer oriented activities is allowed the proposed model is applied on a sample of swedish pharmacies with organizational objectives that necessitates a monitoring of efficiency and productivity as well as customer satisfaction estimation results from the network model and a direct productivity model without customer satisfaction are compared and indicate that the technical efficiency is lower under the network model the productivity results indicate productivity progress under both models albeit with a slower rate of change under the network model

the persistence of risk adjusted mutual fund performance the authors examine predictability for stock mutual funds using risk adjusted returns they find that past performance is predictive of future risk adjusted performance applying modern portfolio theory techniques to past data improves selection and allows the authors to construct a portfolio of funds that significantly outperforms a rule based on past rank alone in addition they can form a combination of actively managed portfolios with the same risk as a portfolio of index funds but with higher mean return the portfolios selected have small but statistically significant positive risk adjusted returns during a period where mutual funds in general had negative risk adjusted returns copyright 1996 by university of chicago press

development path of china and india and the challenges for their sustainable growth the segmentation of global manufacturing and services provided china and subsequently india with a golden opportunity to make full use of their absolute advantage low cost yet educated labour to integrate into the world economy within a comparatively shorter period of time than some earlier industrialisers though international trade functioned as a vent of surplus in view of the narrowness of their domestic markets at the beginning of their economic catch up the label of export led model may not reflect the real picture as imports underwent dramatic increases during their respective growth periods in particular for china foreign direct investment has played a pivotal role in their economic growth and has major presence in international trade and investment in leading sectors of both countries giving rise to certain special features and weak links for their economic expansion and sustainability of fast

dea like models for efficiency evaluations of specialized and interdependent units abstract the problem of evaluating the efficiency of a set of specialized and interdependent decision making subunits dmsus that make up a larger decision making unit dmu is considered the dmsus are interdependent in the sense that part of the output produced by each of them may be used as an input by the other ones they are also specialized hence non homogeneous as they may have not the same inputs and outputs for this problem some efficiency indexes are introduced and they are shown to satisfy some basic properties

on income convergence among china hong kong and macau hong kong and macau were reunited with china in the late 1990s as two special administrative regions sars over the last half century they were china s good examples of economic development windows of openness and investors owing to historical reasons china lagged far behind hong kong and macau in terms of per capita incomes however rapid economic growth in china over the last three decades must have brought about a significant convergence of the three economies china s economic success has benefited from the integration of its two sars and the coastal provinces especially guangdong in terms of technological spillover massive investment and trade the economic trickledown direct investment and trade must have been important drivers of economic integration and income convergence this paper aims to analyse the trend and studies the determinants of income convergence between china and its two sars both parametric and non parametric techniques are employed to quantify the pace of convergence on per capita incomes in hong kong macau and the chinese provinces over a period of more than 40 years we find no evidence of convergence in the pre reform period but strong evidence of both absolute and conditional convergence in the post reform period over the reform period the pace of convergence is less than 1 per cent per annum without controlling for trade and more than 2 per cent conditional on trade

efficiency analysis of major cruise lines three major cruise lines account for 82 of the total market share their financial statements show different results between the operating incomes and net incomes over time to examine the major causes of the differences this study measured the efficiency of the top three cruise lines to develop a network dea model to analyze the cruise operations at two stages namely operating and non operating stages in addition the determinants of the efficiencies were examined using a bootstrapped truncated regression model overall cruise lines were efficient at the operating stage but varied widely in the efficiency of the non operating stage cruise lines attempting high capacity expansion were relatively inefficient because of the heavy interest payments arising from the high debt to capital ratio moreover the neglected hedging policy regarding the financial risks also contributed to the inefficiency

best performing us mutual fund families from 1993 to 2008 evidence from a novel two stage dea model for efficiency decomposition when analyzing relative performance especially at the institutional level the traditional data envelopment analysis dea models do not recognize vastly different and important activities as separate functions and therefore cannot identify which function may be the main source of inefficiency we propose a novel two stage dea model that decomposes the overall efficiency of a decision making unit into two components and demonstrate its applicability by assessing the relative performance of 66 large mutual fund families in the us over the period 1993 2008 by decomposing the overall efficiency into operational management efficiency and portfolio management efficiency components we reveal the best performers the families that deteriorated in performance and those that improved in their performance over the sample period we also make frontier projections for poorly performing mutual fund families and highlight how the portfolio managers have managed their funds relative to the others during financial crisis periods

network dea pitfalls divisional efficiency and frontier projection under general network structures abstract data envelopment analysis dea is a method for measuring the efficiency of peer decision making units dmus recently network dea models been developed to examine the efficiency of dmus with internal structures the internal network structures range from a simple two stage process to a complex system where multiple divisions are linked together with intermediate measures in general there are two types of network dea models one is developed under the standard multiplier dea models based upon the dea ratio efficiency and the other under the envelopment dea models based upon production possibility sets while the multiplier and envelopment dea models are dual models and equivalent under the standard dea such is not necessarily true for the two types of network dea models pitfalls in network dea are discussed with respect to the determination of divisional efficiency frontier type and projections we point out that the envelopment based network dea model should be used for determining the frontier projection for inefficient dmus while the multiplier based network dea model should be used for determining the divisional efficiency finally we demonstrate that under general network structures the multiplier and envelopment network dea models are two different approaches the divisional efficiency obtained from the multiplier network dea model can be infeasible in the envelopment network dea model this indicates that these two types of network dea models use different concepts of efficiency we further demonstrate that the envelopment model s divisional efficiency may actually be the overall efficiency

multi period efficiency and malmquist productivity index in two stage production systems abstract conventional two stage data envelopment analysis dea models measure the overall performance of a production system composed of two stages processes in a specified period of time where variations in different periods are ignored this paper takes the operations of individual periods into account to develop a multi period two stage dea model which is able to measure the overall and period efficiencies at the same time with the former expressed as a weighted average of the latter since the efficiency of a two stage system in a period is the product of the two process efficiencies the overall efficiency of a decision making unit dmu in the specified period of time can be decomposed into the process efficiency of each period based on this decomposition the sources of inefficiency in a dmu can be identified the efficiencies measured from the model can also be used to calculate a common weight global malmquist productivity index mpi between two periods in that the overall mpi is the product of the two process mpis the non life insurance industry in taiwan is used to verify the proposed model and to explain why some companies performed unsatisfactorily in the specified period of time

nerlovian revenue inefficiency in a bank production context evidence from shinkin banks the paper further advances the contemporary methodological and empirical research on bank efficiency we introduce a bank two stage network revenue decomposition analysis based on the slack based directional inefficiency measurement framework by building upon the approaches of epure and lafuente 2015 fukuyama and weber 2009 2010 fukuyama and matousek 2017 and fare fukuyama grosskopf and zelenyuk 2015 2016 we apply the model on the segment of japanese financial institutions shinkin banks we examine the efficiency performance of shinkin banks during the period from march 2007 to march 2015 this covers the recent years after the turmoil in the us subprime residential mortgage market which started early 2007 the applied innovative framework is particularly suitable for this type of banks since the financing of their business activities is mainly dependent on the different types of deposits that the proposed model takes into consideration

market timing and mutual fund performance an empirical investigation the evaluation of investment performance is of importance for allocating investment funds efficiently and setting appropriate management fees because actively managed mutual funds are an important form of investment in the united states a valid question is whether the active management has achieved a sufficient increase in returns to offset the associated costs of information and transactions as well as the management fees charged as a corollary the ability to earn superior returns based on superior forecasting ability would be a violation of the efficient markets hypothesis and would have far reaching implications for the theory of finance 2 henriksson and merton 1981 present statistical techniques for testing forecasting ability with a particular emphasis on the market timing ability of investment managers the tests are derived from the basic model of market timing developed by merton 1981 where the forecaster predicts when stocks will outperform riskless securities and when riskless securities will outperform stocks but does not predict the magnitude of the relative returns the evaluation of the performance of investment managers is a topic of considerable interest to practitioners and academics alike using both the parametric and nonparametric tests for the evaluation of forecasting ability presented by henriksson and merton the market timing ability of 116 open end mutual funds is evaluated for the period 1968 80 the empirical results do not support the hypothesis that mutual fund managers are able to follow an investment strategy that successfully times the return on the market portfolio

resolving the deposit dilemma a new dea bank efficiency model abstract one of the weaknesses of current bank efficiency models is a disagreement as to the role of deposits in the bank production process some models view deposits as an input while others view them as an output such disparity of approaches results in inconsistent efficiency estimates in this study we propose an alternative data envelopment analysis dea bank efficiency model that treats deposits as an intermediate product thus emphasizing the dual role of deposits in the bank production process consequently the effect of the amount of deposits on bank efficiency depends on the efficiency at both stages of the bank production process the main advantage of our model is that it does not require a researcher to make a judgment call as to whether having more production approach or less intermediation approach deposits is better for bank efficiency our unified framework has the potential to produce more consistent efficiency estimates

lessons from privatization in britain abstract the process of privatizing most of britain s major public enterprises yields interesting conclusions on the three related issues 1 a problem of policy assignment arose in the use of privatization and liberalization to achieve both allocative and productive efficiency 2 evidence on the behavior of the public enterprises is consistent with an organizational model of the relevant principal agent relationships predicting certain types of slack absorption 3 the privatization process entailed policy choices that bear on their future productive efficiency effectiveness of monitoring by the market for corporate control and allocative efficiency provision for regulation

performance evaluation of participating nations at the 2012 london summer olympics by a two stage data envelopment analysis this study measures the performance of participating nations at the olympics considering the quest for medals as a two stage olympic process the first stage is characterized as athlete preparation ap and the second stage as athlete competition ac we extend the relational model from the constant returns to scale framework to the variable returns to scale version the efficiency of each participating nation in the entire two stage olympic process is calculated as a product of the efficiencies of both stages and a heuristic search is applied to the extended relational model the efficiency of each stage can be obtained and directions for improving the performance of participating nations in the two stage olympic process can be identified an empirical study of the 2012 london summer olympic games reveals that the efficiency of the ap stage is higher than that of the ac stage for the majority of participants in addition a plot of the relationship between these three efficiencies shows that the efficiency of the entire two stage olympic process is more significantly related to that of the ac stage than that of the ap stage

china coming to grips with the new global player this paper analyses china s economic performance in the last 25 years and discusses its prospect for growth in the future exports and investment have been the two driving forces for the high annual gdp growth rates fdi plays an important role however structural issues such as the loss making state owned firms and the fragile banking industry have to be solved monetary policy is complicated by the accumulation of reserves which however provide an insurance for the fragile banking system property rights a crucial element in transforming a communist society are far from being clearly developed major policy issues in the future include the correction of the distorted growth process and of the institutional deficits especially with respect to the rule of law and the lack of democracy

the role of financial systems for cross country differences in the link between income and consumption inequality abstractthis article discusses why consumption inequality stays low despite high income inequality in the u s but income inequality is closely followed by consumption inequality in china we show that different financial systems can play a critical role in shaping the cross country different links between income and consumption inequality this phenomenon is consistent with the cross country different relationships between income inequality and saving rates consumer credit expansion in the u s makes inequality much less serious for consumption than for income and this result holds to an even larger extent if more domestic credit can be financed by foreign savings but this is not the case in china whose financial system focuses only on investment and trade while neglecting liquidity constraints on consumption our assertions accord well with evidence found from the u s china and other related economies

reliability risk aversion and the positive theory of public enterprise abstract this paper extends the theory of reliability by developing it in the context of the positive theory of public enterprise the public enterprise is assumed to be a size maximiser and to choose price and capacity in the face of uncertain demand and subject to an expected profit target it is shown that a risk averse public enterprise will set its levels of price capacity and reliability either all above or all below those of a risk neutral public enterprise depending on the value of the elasticity of expected sales relative to unity in addition it is shown that price changes may be superior to capacity changes as a guide to changes in reliability

measuring investment performance in a rational expectations equilibrium model much research has been concerned with evaluating the performance of managed portfolios e g mutual funds and examining whether portfolio managers display in some sense superior performance superior performance would seemingly turn on the possession of superior information that is utilized in managing portfolios in general a fund s asset holdings or portfolio weights might not be observable to an outsider whether they are or not however they are likely to change over time this happens especially when better performance is a result of superior information since managers will change their portfolio composition on obtaining private information since such changes must be taken into account the problem of measuring performance of managed portfolios is inherently different from that of evaluating the performance of individual assets groups of assets or generally portfolios with constant and known composition

a note on two stage network dea model frontier projection and duality abstract in chen cook kao and zhu 2013 it is demonstrated as a network dea pitfall that while the multiplier and envelopment dea models are dual models and equivalent under the standard dea such is not necessarily true for the two types of network dea models in deriving divisional efficiency scores and frontier projections as a reaction to this work we demonstrate that the duality in the standard dea naturally migrates to the two stage network dea formulas are developed to obtain frontier projections and divisional efficiency scores using a dea model s and its dual solutions the case of taiwanese non life insurance companies is revisited using the newly developed approach

influencing factors on hydrogen energy r d projects an ex post performance evaluation abstract to enhance its energy security korea made a significant r d investment in developing hydrogen energy technology over a period of 10 years the hydrogen energy r d center was established in 2003 with a 100 billion korean won krw government investment that would fund the initiative through 2012 this paper is a meaningful attempt to evaluate the ex post performance of completed hydrogen energy r d projects using data envelopment analysis dea through empirical analysis we focus mainly on measuring ex post performance and uncovering the influencing factors on that performance the results of our empirical analysis reveal several interesting findings first overall the ex post performance of completed projects is relatively low however there are major performance gaps among projects second r d type technology type and private sector investment are factors influencing project performance more specifically projects identified as basic research storage technology or without private sector investment had the highest performance with an acceptable level of statistical significance third dea can provide unique information such as results of returns to scale and slack analysis which cannot be gleaned from parametric methods as time went on the decreasing returns to scale drs ratio increased and the increasing returns to scale irs ratio decreased this means that the r d budget was used less and less effectively as time passed moreover among the three year project period the second year s r d budget was used most efficiently in each r d project this study can provide meaningful information to policy makers to enhance the performance of future r d projects and to promote hydrogen r d projects as well as advance the hydrogen economy

modelling superannuation fund management function as a two stage process for overall and stage level performance appraisal we assess superannuation fund performance in a multi dimensional framework by conceptualizing its management function as a serially linked two sub process operational management om and portfolio

productivity and intermediate products a frontier approach abstract in recent years it has become popular to measure productivity using non parametric approaches however this has been done while ignoring intermediate products here we develop a non parametric productivity measure that explicitly incorporates such products

price quality and regulation an analysis of price capping and the reliability of electricity supply abstract this paper examines the relationship between price cap regulation and the reliability of supply of a private monopoly two situations are considered one in which reliability is excluded from the price cap and one in which it is included if reliability is excluded it is shown that there is a tendency for the firm to protect profits by lowering reliability when cost increases must be absorbed whereas if reliability is included then this tendency is eliminated however this inclusion creates an incentive for the firm to exploit the positive relationship between price and reliability when cost increases can be passed on but this problem can be controlled by reducing the exogenous weight applied to reliability in the price cap formula

deriving the dea frontier for two stage processes data envelopment analysis dea is a method for measuring the efficiency of peer decision making units dmus recently dea has been extended to examine the efficiency of two stage processes where all the outputs from the first stage are intermediate measures that make up the inputs to the second stage the resulting two stage dea model provides not only an overall efficiency score for the entire process but as well yields an efficiency score for each of the individual stages due to the existence of intermediate measures the usual procedure of adjusting the inputs or outputs by the efficiency scores as in the standard dea approach does not necessarily yield a frontier projection the current paper develops an approach for determining the frontier points for inefficient dmus within the framework of two stage dea

risk and return abstract this paper examines the seasonality in the basic relationship between expected return and risk during 1935 82 the results reveal that the positive relationship between return and risk is unique to january the risk premiums during the remaining eleven months are not significantly different from zero

the performance of us equity mutual funds the paper examines the performance of us no load equity mutual funds fund performance is derived using stochastic frontier analysis for a flexible functional form this analysis allows us to derive parametric estimates of efficiency scores for each fund in our sample for the first time in the literature our results indicate that us no load equity funds display varying levels of efficiency over time but also depending on size and on investment style robustness analysis reaffirm the efficiency scores remain consistent across different selections of inputs and outputs as well as the underlying distribution of the return having estimated each fund s efficiency in the sample we unveil their underlying dynamics also with respect to risk and operational characteristics such as flows assets and morningstar star ratings panel var estimations reveal that the response of funds efficiency to a shock in risk is positive and substantial some evidence of reverse causality is also observed finally we extend our analysis to investigate the relationship between funds performance and key covariates across subgroups defined by size

hot hands in mutual funds short run persistence of relative performance 1974 1988 the relative performance of no load growth oriented mutual funds persists in the near term with the strongest evidence for a one year evaluation horizon portfolios of recent poor performers do significantly worse than standard benchmarks those of recent top performers do better though not significantly so the difference in risk adjusted performance between the top and bottom octile portfolios is six to eight percent per year these results are not attributable to known anomalies or survivorship bias investigations with a different previously used data set and with some post 1988 data confirm the finding of persistence

market volatility and investor behavior it appears that speculative asset prices tend to show excess volatility relative to simple present value efficient markets models and that prices are partly forecastable as tending to returning to mean appropriately defined but what does this tell us about how speculative prices are determined are there fads in prices and if so how do they behave the question has arisen recently whether there is really room for fads in speculative prices whether or not speculative prices are too volatile if stock prices are highly correlated with dividends we might conclude that the movements in stock prices are driven by fundamentals not fads a question of longer standing is whether fads models that entail feedback from price change to price change are consistent with the observed approximate random walk price behavior that is rather low serial correlation of short run price changes we can also ask whether the feedback models are consistent with the observed relation of stock prices to dividends and earnings

assessment of china transit and economic efficiencies in a modified value chains dea model abstract this study incorporates the concepts of undesirable intermediate intermediate input uncontrollable input and undesirable output to the value chains model chen and zhu 2004 thereby creating a modified value chains model to compute transit and economic efficiencies in 30 regions of china the modified value chains model forms a more general formulation to the value added chains in the utilization of the above concepts it also provides an optimal intermediate measure which differs from the independent two stage measure empirical evaluations indicate that large scale transit development in china s coastal area does not necessarily represent higher transit efficiency because in the coastal area there is a lack of significant positive relationships between transit and economic efficiency high economic efficiency does not contribute to greater transit efficiency the finding also suggests that by simultaneously decreasing the quantity in passenger and freight transport transit and economic efficiencies have greatly improved in most regions of china

cost and learning efficiency drivers in australian schools a two stage network dea approach this article explore performance issues in australian public schools using a two stage dea network model which accounts simultaneously for both cost and learning efficiency levels in the cost efficiency stage different types of expenses and investments are employed to support a given number of students teachers and administrative staff in the learning efficiency stage these groups of individuals help to produce important outputs related to performance in student tests and school rankings results indicate that australian public schools are heterogeneous policy implications are also discussed

dea frontier improvement and portfolio rebalancing an application of china mutual funds on considering sustainability information disclosure abstract data envelopment analysis dea has been a widely used methodology for evaluating the relative performance of portfolios extensive work has appeared for realizing the role of dea in the aspect of assessing portfolio performance and deriving the relative rankings however the role of providing realizable benchmarks is not fully explored in the existing literatures most importantly the dea based portfolio performance evaluation methods developed in the existing literatures can hardly provide support for fund managers in pursuing sustainability performance in this paper we first propose a dea frontier improvement approach under the mean variance framework this approach provides investor with a rebalancing strategy as well as an improved dea frontier which approximates the portfolio efficient frontier better than the traditional dea model does then this approach is extended to a general return risk framework our in sample simulation results verify the effectiveness of the proposed approach for a wide range of applications in addition the out of sample tests show that the rebalancing investment strategies can achieve higher sharpe ratios and sortino ratios than those of the original ones finally we apply the proposed approach to evaluate mutual fund performance in china with the consideration of sustainability information disclosure we construct a disclosure index to indicate the extent of sustainable information disclosure of each mutual fund the results show that the proposed approach provides not only investment recommendations but also references for constructing sustainable green funds

on economic theory and recovery of the financial crisis this paper presents a new economic theory to explain the evolution of a financial crisis and why a major crisis may take a long time to recover it suggests that asymmetric psychological reactions of market players to gains and losses are the principal cause of a crisis and responsible for prolonging recovery three different shapes of recovery v u and l are defined and explained during the current financial crisis some countries such as china and india may have a v shaped recovery others such as the uk and the us may have a u shaped recovery an important policy implication is that effective macroeconomic policies should be designed to smooth market movements and implementation of such policies has to be countercyclical rather than pro cyclical

interprovincial two stage water resource utilization efficiency under environmental constraint and spatial spillover effects in china although existing studies have paid much attention to the measurement model of water resource utilization efficiency they have failed to consider the spatial spillover effect of some influencing factors of water resource utilization efficiency causing biased results this study measures the water resource utilization efficiency of 31 provincial administrative regions in china from 2001 to 2014 and the efficiency of each stage by adopting a slack based efficiency evaluation model based on the relaxation of two stages to consider undesirable output then this study employs a spatial durbin econometric model by considering spatial effect to analyze the influencing factors of the overall efficiency of water resource utilization by per capita water resources industrial water living water consumption per capita gross domestic product degree of opening to the outside world industrial structure technological progress and other aspects by comparison existing studies do not consider the spatial spillover effect this study estimates the direct and indirect effects of the influencing factors of water resource utilization efficiency to distinguish local and neighbors impacts of influencing factors of water resource utilization efficiency the results are as follows 1 first stage overall efficiency is significantly higher than second stage water resource utilization efficiency overall efficiency is close to second stage efficiency and second stage efficiency determines the overall effectiveness of water resource utilization 2 the spatial autocorrelation intensity of water resource utilization overall efficiency is significantly greater than zero and water resource utilization overall efficiency presents concentration distribution in the space for which the eastern coastal regions are high high type and the central and western regions are low low type 3 the overall efficiency of water resource utilization has spatial spillover effects and the region s overall efficiency is influenced by both region and neighborhood region 4 the direct and indirect effects of domestic water consumption degree of opening up and industrial structure are the primary significant influencing factors of overall efficiency of water resources in china the spatial spillover effects of domestic water consumption and industrial structure have a significant impact to improve water resource utilization efficiency the government and citizens should focus on such solutions as pollution reduction domestic water savings and transforming the industrial structure moreover china should consider the spatial effects of these influencing factors when government policies are designed

development and application of the hicks moorsteen productivity index for the total factor productivity assessment of wastewater treatment plants abstract the assessment of the productivity change in wastewater treatment plants is essential to improve performance and reduce operational costs several indices are available to compute unit productivity however some assessments are more reliable than others in the absence of price data the malmquist productivity index is the most commonly applied but it does not maintain total factor productivity properties under variable returns to scale technology hence malmquist productivity index is not a suitable index to compute total factor productivity change in wastewater treatment plants the present study served to overcome such limitations by calculating for the first time total factor productivity changes in a sample of 204 spanish wastewater treatment plants using the hicks moorsteen productivity index it is a multiplicatively complete index which can be decomposed as several sub indices representing technical and efficiency changes therefore this study also investigated the drivers of total factor productivity change in wastewater treatment plants results showed a 5 4 total factor productivity decline per year from 2003 to 2008 in the plants analysed the primary driver in the reduction was efficiency change alternatively technical change improved during the five years of study the results of this study provide support for policymakers and managers in decision making processes and contribute to the improvement of technical and economic wastewater treatment plants performance in addition it is evidenced that wastewater treatment plants current dependence on external energy sources should be reduced to improve productivity and reduce costs to citizens who pay for wastewater treatment services

monetary policy vagabonding liquidity and bursting bubbles in new and emerging markets an overinvestment view credit booms have globally fuelled hikes in stock raw material and real estate markets which have culminated in the recent us subprime market crisis we explain the global asset market booms since the mid 1980s based on the overinvestment theories of hayek wicksell and schumpeter we argue that ample liquidity supply originating in the large industrialized countries has contributed to overinvestment cycles in japan east asia new markets in the industrial countries and many emerging market economies expansionary monetary policies in response to the burst of bubbles are argued to have contributed to vagabonding bubbles around the globe

on the new economic policies promoted by the 17th ccp congress in china the 17th chinese communist party congress in october 2007 attracted attention within and outside china for the bold development agenda that was placed before delegates after 30 years of economic reform that has produced a remarkable improvement in living standards and china s reintegration into the world economy the party unveiled a programme that would push china to become a world superpower over the next 30 years china s ambition is to become a technologically innovative state to make china a moderately prosperous and harmonious society with a scientific outlook on development and to achieve full industrialisation and sustainable prosperity whether china is able to attain its objectives will critically depend on the party s ability to implement the new economic policies and address the social and political challenges that economic growth has created the aim of the paper is to examine the policies motivations and constraints that china faces in achieving the objectives laid out at the party congress

measuring the efficiency of china s regional innovation systems application of network data envelopment analysis dea chen k and guan j measuring the efficiency of china s regional innovation systems application of network data envelopment analysis dea regional studies this study applies a relational network data analysis envelopment to the systematic evaluation of the innovation efficiency of china s regional innovation systems by decomposing the innovation process into the two connecting sub processes technological development and subsequent technological commercialization the results show that only one fifth of china s regional innovation systems are operating on the empirical best practice frontier during the whole process from technological development to commercialization furthermore it is found that substantial inconsistencies exist between technological development capacity and commercialization capacity in most regional innovation systems and that downstream commercialization capacity plays a more important role in the innovation performance of regional innovation systems chen k et guan j evaluer

financial globalisation and emerging markets volatility the volatility of capital flows to emerging market em countries and frequency of financial crises have imposed high welfare costs on the countries involved the empirical literature provides at best a mixed picture on the relationship between long run em country growth and financial integration meanwhile the prevailing policy discourse regarding reform of the international financial system remains incomplete the focus has largely been on either institutional and policy measures required of em countries or international crisis resolution procedures the role played by private financial markets and institutions in the developed world has not received adequate attention this paper describes some of the structural features inherent in today s financial markets that directly contribute to the instability in em capital flows