non parametric production analysis in non competitive environments we extend the non parametric methodology for empirical production analysis to deal with endogenous prices as price endogeneity is often complemented by price uncertainty we consider both the case of certain prices and the case of uncertain prices the extensions are fully compatible with existing tools for eliciting and representing technology and price information and preserves the tractable mathematical programming structure of the original methodology an empirical application to the dutch electricity distribution sector illustrates our extension

does shari ah screening cause abnormal returns empirical evidence from islamic equity indices islamic equity funds are subject to the screening criteria for stock selection imposed by the principles of islamic jurisprudence shari ah equities must pass three basic screens revenue source business activity and financial factors to be included in an islamic fund however screening criteria are not universal especially for the financial factors one can use financial ratios based on either the book value of total assets or the market value of equity for screening of stocks this may not only result in a different portfolio composition but also entail diverse rebalancing and monitoring costs the performance of 29 islamic equity indices ieis versus conventional indices from four major international index providers using different shari ah screening criteria are analyzed in a single as well as in a multi equation framework the use of a multi equation framework has the added advantage of utilizing the information content of different screening criteria adopted by different index providers the empirical findings suggest that the difference in screening criteria does not significantly affect the performance of ieis returns deviation if any stems from the relative riskiness of the iei as compared with the relevant benchmark work needs to done to streamline the quantitative screening criteria to avoid confusion among the investing public

re examining uranium supply and demand new insights abstract in this paper we derive a simultaneous system of equations which aims at analysing the uranium supply and demand in addition to reviewing and updating previous studies dealing with the uranium market analysis in particular amavilah 1995 the contribution of the paper lies in putting attention to some questions which are still either controversial or unanswered they are especially related to the controversial hypothesis of the interdependence between uranium market and other commodities markets both with respect to the demand side i e oil and coal markets and the supply side i e gold market the paper also casts lights on electricity and uranium price effects on uranium demand as well as on the simultaneous interdependencies that may exist between nuclear consumption and nuclear installed capacity the model is estimated for three different time periods which takes into account the major events that have influenced the nuclear uranium development that is that have constrained the growth rate of nuclear generating capacity i e oil crisis and nuclear accidents this permits to show if uranium market reaction is independent or it is correlated with specific events associated with each time periods the model was estimated by using the 3sls method that correct for the presence of contemporaneously error terms correlation and for the existence of simultaneity bias in the model main results give evidence of significant correlation between uranium price and competing fossil fuel prices they also point out that uranium price is significantly correlated with the supply forces where supply is significantly dependent on gold prices moreover results show that the electricity prices have a significant effect on the uranium demand only in the post 1990 period probably following the worldwide electricity prices increasing trend further our estimations show that uranium demand is significantly correlated with uranium price only in the period of nuclear major expansion as for the nuclear electric consumption and the nuclear installed capacity results show that they are simultaneously correlated and that the uranium demand depends on both of them but only for the pre 1990 period interestingly our results give evidence of low elasticities and inelastic reaction of independent model variables to exogenous variables fluctuations except for the uranium price equation based on these results some policy implications related to first the competitiveness of the uranium market and second to the supply demand policy and the associated pricing mechanisms on the uranium market are discussed

new strategies and a new paradigm for shariah compliant portfolio optimization in this paper we analyze the effects of different strategies to construct shariah compatible financial portfolios the difference between conventional and current shariah portfolio management is the application of sector screens and financial screens by which the asset universe is reduced yet here different schools of scholars define different screening rules leading to significant differences with respect to compliance but also with respect to performance after analyzing this discrepancy we propose several new strategies to apply the inconsistent rule systems and a new paradigm for defining shariah compliance under this new paradigm compliance is attributed to the portfolio and not to the individual assets of the universe we report results of an empirical study analyzing the potentials of these strategies and of the paradigm we can show that under the proposed concepts shariah compliant portfolios can be realized which have return and risk profiles comparable to the conventional non constrained portfolios

portfolio optimization with stochastic dominance constraints abstract we consider the problem of constructing a portfolio of finitely many assets whose return rates are described by a discrete joint distribution we propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return rate we develop optimality and duality theory for these models we construct equivalent optimization models with utility functions numerical illustration is provided

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

tail dependence risk exposure and diversification potential of islamic and conventional banks this paper undertakes a rolling window comparative analysis of risks for portfolios consisting of gcc islamic and conventional bank indices we draw our empirical results by employing canonical dr

are football managers as efficient as coaches performance analysis with ex ante and ex post inputs in the premier league there is a controversy on sport performance literature about what type of inputs might explain more deeply the performance of sports clubs inputs specification controversy by one side several p

controlling for the use of extreme weights in bank efficiency assessments during the financial crisis we propose a method for bank efficiency assessment based on weight restricted dea that limits banks abilities to use extreme weights corresponding to extreme judgements of the risk adjusted prices on funding sources and assets based on a data set comprising the largest european banks during the financial crisis we illustrate the impact of the proposed weight restrictions in two different efficiency models one related to banks funding mix and one related to their asset mix the results show that using a more balanced set of weights tend to reduce the estimated efficiency scores more for those banks which were bailed out during the crisis which confirms the potential bias within standard dea that does not control for extreme weights applied by highly risky banks we discuss the use of the proposed method as a regulatory tool to constrain discretion when complying with regulatory capital benchmarks such as the basel regulatory capital ratios

a bi objective weighted model for improving the discrimination power in mcdea lack of discrimination power and poor weight dispersion remain major issues in data envelopment analysis dea since the initial multiple criteria dea mcdea model developed in the late 1990s only goal programming approaches that is the gpdea ccr and gpdea bcc were introduced for solving the said problems in a multi objective framework we found gpdea models to be invalid and demonstrate that our proposed bi objective multiple criteria dea bio mcdea outperforms the gpdea models in the aspects of discrimination power and weight dispersion as well as requiring less computational codes an application of energy dependency among 25 european union member countries is further used to describe the efficacy of our approach

effects of technological learning and uranium price on nuclear cost preliminary insights from a multiple factors learning curve and uranium market modeling this paper studies the effects of returns to scale technological learning i e learning by doing and learning by searching and uranium price on the prospects of nuclear cost decrease we use an extended learning curve specification named multiple factors learning curve mflc in a first stage we estimate a single mflc in a second stage we estimate the mflc under the framework of simultaneous system of equations which takes into account the uranium supply and demand this permits not only to enhance the reliability of the estimation by incorporating the uranium price formation mechanisms in the mflc via the price variable but also to give preliminary insights about uranium supply and demand behaviors and the associated effects on the nuclear expansion results point out that the nuclear cost has important prospects for decrease via capacity expansion i e learning by doing effects in contrast they show that the learning by searching as well as the scale effects have a limited effect on the cost decrease prospects conversely results also show that uranium price exerts a positive and significant effect on nuclear cost implying that when the uranium price increases the nuclear power generation cost decreases since uranium is characterized by important physical availability and since it represents only a minor part in the total nuclear cost we consider that in a context of increasing demand for nuclear energy the latter result can be explained by the fact that the positive learning effects on the cost of nuclear act in a way to dissipate the negative ones that an increase in uranium price may exert further results give evidence of important inertia in the supply and demand sides as well as evidence of slow correlation between the uranium market and oil market which may limit the inter fuels substituability effects that is nuclear capacity expansion and associated learning by doing benefits

does the shariah screening process matter evidence from shariah compliant portfolios abstract this study compares the performance of market weighted shariah compliant portfolios scps with conventional benchmark portfolios cbps from the usa canada europe the gcc and japan portfolios are constructed from constituent level monthly price data using the shariah screening criteria as proposed by msci ftse dow jones s p and aaoifi the unique scp construction approach used in this study removes any concerns of performance deviation due to the portfolio construction methodology rebalancing timing and management skills for security selection or market timing empirical results indicate that scps are generally less risky than cbps we also find that shariah screening standards are insignificant in their effect on return performance scps using the bvta approach usually report a little better nominal and risk adjusted returns than scps using the mve approach for financial screening the negligible difference in risk adjusted performance and rebalancing based on different criteria indicate a need for greater consistency in applying shariah screening standards

getting implicit shadow prices right for the estimation of the malmquist index the case of agricultural total factor productivity in developing countries abstract the malmquist index has become extensively used in international comparisons of agricultural productivity since it does not require prices for its estimation which are normally not available however the dea approach used to estimate this index still uses implicit price information this entails potential problems because these methods are susceptible to the effect of data noise and shadow prices can prove to be inconsistent with prior knowledge on cost shares in this paper we analyze implicit input shadow shares used in the dea approach to estimate agricultural productivity using the malmquist index for 72 developing countries we then set bounds to the implicit input shares introducing information on their likely value and compare constrained and unconstrained input shares we conclude that the incidence of zero shadow prices justifies the introduction of constraints in the estimation of the malmquist index the paper also presents detailed results of tfp growth in developing countries using constrained shadow shares for their estimation we find that agricultural tfp has been growing steadily in the past 20 years even if countries like china brazil and india are not considered remarkably we find a clear improvement in the performance of sub saharan africa since the mid 1980s key words malmquist shadow prices total factor productivity jel codes d2

simulating weights restrictions in data envelopment analysis by means of unobserved dmus data envelopment analysis dea is a method for assessing the comparative efficiencies of decision making units e g banks and schools by relating their output to their input levels restrictions are often imposed in these assessments to reflect prior judgments on the values of input and or output variables this paper introduces a new approach to capturing and using value judgments in dea based on unobserved decision making units in so doing it opens up a whole new approach for reflecting value judgments in dea assessments which can offer advantages in certain situations

ethical screening and financial performance the case of islamic equity funds whether ethical screening affects portfolio performance is an important question that is yet to be settled in the literature this paper aims to shed further light on this question by examining the performance of a large global sample of islamic equity funds iefs from 1984 to 2010 we find that iefs underperform conventional funds by an average of 40 basis points per month consistent with the underperformance hypothesis in line with popular media claims that islamic funds are a safer investment iefs outperformed conventional funds during the recent banking crisis however we find no such outperformance for other crises or high volatility periods based on fund holdings based data we provide evidence of a negative curvilinear relation between fund performance and ethical screening intensity consistent with a return trade off to being more ethical

strategic corporate social responsibility and economic performance this article proposes a novel corporate social responsibility csr index based on a data envelopment analysis dea model acknowledging the argument that companies might favour those csr dimensions that provide strategic competitive advantages we argue that the index can capture companies strategic approach to csr furthermore our findings reveal a neutral relationship between this strategic csr index and economic performance as measured by return on assets roa and tobin s q when controlling for firm unobserved heterogeneity and past economic performance by contrast an equally weighted index of the same csr indicators is found to be negatively related with roa which reinforces our claim that this specific dea based index is a measure of strategic csr

improving envelopment in data envelopment analysis under variable returns to scale in a data envelopment analysis model some of the weights used to compute the efficiency of a unit can have zero or negligible value despite of the importance of the corresponding input or output this paper offers an approach to preventing inputs and outputs from being ignored in the dea assessment under the multiple input and output vrs environment building on an approach introduced in allen and thanassoulis 2004 for single input multiple output crs cases the proposed method is based on the idea of introducing unobserved dmus created by adjusting input and output levels of certain observed relatively efficient dmus in a manner which reflects a combination of technical information and the decision maker s value judgements in contrast to many alternative techniques used to constrain weights and or improve envelopment in dea this approach allows one to impose local information on production trade offs which are in line with the general vrs technology the suggested procedure is illustrated using real data 2011 elsevier b v all rights reserved

using data envelopment analysis for costing bank products an important problem that many banks face is to provide satisfactory cost estimates for the variety of products and services they offer accurate product cost estimates can be used to support better product mix and pricing decisions in this paper we present a method for providing efficient and reliable cost estimates of bank products at the branch level based on the non parametric benchmarking technique of data envelopment analysis dea results from an empirical study undertaken in a banking environment to demonstrate the applicability of the method are also presented

estimating most productive scale size using data envelopment analysis abstract the relation between the most productive scale size mpss for paparticular input and output mixes and returns to scale for multiple inputs multiple outputs situations is explicitly developed this relation is then employed to extend the applications of data envelopment analysis dea introduced by charnes cooper and rhodes ccr to the estimation of most productive scale sizes for convex production possibility sets it is then shown that in addition to productive inefficiencies at the actual scale size the ccr efficiency measure also reflects any inefficiencies due to divergence from the most productive scale size two illustrations of the practical applications of these results to the estimation of most productive scale sizes and returns to scale for hospitals and stem electric generation plants are also provided emphasize the advantage of this method in examining specific segments of the efficient production surface

cost efficiency of french rugby clubs this article analyses the cost efficiency of french first league rugby clubs using a stochastic frontier model the frontier estimation confirmed that the model fits the data well with all coefficients correctly signed and in line with the theoretical requirements the results show that one of the clubs is operating efficiently with the majority of clubs clustered around 20 inefficiency policy implications are derived

eco efficiency and convergence in oecd countries this paper assesses the convergence in eco efficiency of a group of 22 oecd countries over the period 1980 2008 in doing so three air pollutants representing the impact on the environment of economic activities are considered namely carbon dioxide text co 2 nitrogen oxides text no mathrm x and sulphur oxides text so mathrm x furthermore eco efficiency scores at both country and air pollutant specific level are computed using data envelopment analysis techniques then convergence is evaluated using the recent approach by phillips and sul econometrica 75 1771 1855 2007 which tests for the existence of convergence groups first we find that eco efficiency has improved over the period with the exception of text no mathrm x emissions second switzerland is the most eco efficient country followed by some scandinavian economies such as sweden iceland norway and denmark in contrast southern european countries such as portugal spain and greece in addition to hungary turkey canada and the united states are among the worst performers finally we find that both the most eco efficient countries and the worst tend to form clubs of convergence

measuring efficiency with a linear economic model this paper modifies and interprets data envelopment analysis dea using a linear economic model this approach is similar to the cone input output and assurance region approaches to dea but it is implemented so that the multipliers are measured in the same units across all linear optimization problems this approach allows one to interpret alternatives as profit maximizing organizations and the dea multipliers as prices that are comparable across the alternatives this is a useful extension of the assurance region concept but more important is that our approach enhances communication with decision makers the improved communication is illustrated by applying the model to the siting of a long term health care facility this application is interesting because the multiplier bounds make practical sense and because the problem has dimensions that sometimes lead to interpretation problems with the traditional dea model for example the site characteristics do not result from coordinated decisions some s

regulatory reforms and productivity an empirical analysis of the japanese electricity industry the japanese electricity industry has experienced regulatory reforms since the mid 1990s this article measures productivity in japan s steam power generation sector and examines the effect of reforms on the productivity of this industry over the period 1978 2003 we estimate the luenberger productivity indicator which is a generalization of the commonly used malmquist productivity index using a data envelopment analysis approach factors associated with productivity change are investigated through dynamic generalized method of moments gmm estimation of panel data our empirical analysis shows that the regulatory reforms have contributed to productivity growth in the steam power generation sector in japan

hypercongestion in production correspondences an empirical exploration this empirical contribution reviews the rather limited existing literature measuring congestion in production it first compares current ways to measure congestion using nonparametric specifications of technologies in particular it focuses on the magnitude and incidence of the congestion detected in empirical studies using traditional radial efficiency measures thereafter it shows the limitations of this radial measurement and how alternative measurement schemes may reveal higher amounts of congestion then the new more general methodology of measuring s congestion is presented in particular we first present a numerical example to illustrate the way the s disposable technologies allow to capture more extreme forms of congestion by setting empirically determined upper bounds to the wasting of inputs then an empirical illustration is presented based on an existing sample of data a final section concludes

contestable markets an uprising in the theory of industry structure presents a transcript of the presidential address delivered at the 94th meeting of the american economic association on december 29 1981 discussion of developments in the theory of industry structure welfare attributes of contestable markets behavior characteristics of oligopoly equilibrium intertemporal vulnerability to inefficient entry ebsco

a study of optimal weights restriction in data envelopment analysis data envelopment analysis dea is a mathematical programming approach to assessing relative efficiencies within a group of decision making units dmus an important outcome of such an analysis is a set of virtual multipliers or weights accorded to each input or output factor taken into account due to the factor weight flexibility of the dea model a dmu may assign very low factor weight scores to some of its unfavourable inputs or outputs and appear as efficient thus producing nonsensical results in some cases this study focuses on this shortcoming to integrate an optimal weights restriction model and absolute restriction method to restricting weight flexibility in dea so that the evaluation result can be more realistic and finally takes the garbage clearance of each district in kaohsiung city in taiwan as an example for the illustration

restricting weights in value efficiency analysis in this paper we consider the problem of incorporating additional preference information into value efficiency analysis by using the price information of inputs and outputs this is done to improve the accuracy of the estimation of the value efficiency scores value efficiency developed by halme et al 1999 is an efficiency concept which takes into account the decision maker s preferences value efficiency analysis is based on the assumption that an implicitly known value function reaches its maximum at the most preferred solution on the efficient frontier the most preferred solution is an input output vector preferred to all other possible input output vectors the ultimate goal is to measure a need to improve radially the values of inputs and or outputs to make them equally preferred to the most preferred solution because we do not know the value function we approximate the indifference curves of all possible value functions satisfying certain assumptions by their tangents at the most preferred solution the resulting cone of the tangents consists of points less or equally preferred to the most preferred solution however in addition to the most preferred solution information about the prices of inputs and outputs may be available as well we show how this information can be incorporated into the analysis and illustrate the approach by an example on the performance of municipal dental units in finland

improving envelopment in data envelopment analysis data envelopment analysis defines the relative efficiency of a decision making unit dmu as the ratio of the sum of its weighted outputs to the sum of its weighted inputs allowing the dmus to freely allocate weights to their inputs outputs however this measure may not reflect a dmu s true efficiency as some inputs outputs may not contribute reasonably to the efficiency measure traditionally to overcome this problem weights restrictions have been imposed this paper offers a new approach to this problem where dmus operate a constant returns to scale technology in a single input multi output context the approach is based on introducing unobserved dmus created by adjusting the output levels of certain observed relatively efficient dmus reflecting a combination of technical information of feasible production levels and the dm s value judgments its main advantage is that the information conveyed by the dm is local with reference to a specific observed dmu the approach is illustrated on a real life application 2003 elsevier b v all rights reserved

performance assessment of alternative energy resources in brazilian power sector using data envelopment analysis abstract the brazilian power sector is known for the strong participation of renewable sources this characteristic is maintained thanks to government incentives for alternative sources with particular emphasis on wind generation small hydroelectric and sugar cane bagasse fired power plants because these are more costly than conventional plants they are nevertheless less costly than other alternative sources such as residue based generation the government s policy is based however on a purely economic analysis if socio environmental variables were to be taken into account the government s orientation in favor of renewable sources might be different the present article uses the data envelopment analysis dea method to incorporate such variables in the government s energy policies the results demonstrate the advantage of promoting residue based generation above that from other sources

the measurement of productive efficiency a reconsideration the purpose of this paper is to generalize the farrell indexes of productive efficiency to nonhomothetic production technologies and at the same time maintain the cost interpretation of the farrell measures since the generalized indexes rely heavily on recent developments in the estimation of frontier cost and production functions several frontier models are reviewed in addition to generalized indexes of technical allocative and overall productive efficiency a variety of single factor efficiency measures are discussed the applicability of the proposed efficiency measures is illustrated with a numerical example of electric power generation

exploring the existence of kuznets curve in countries environmental efficiency using dea window analysis abstract this paper using data envelopment dea window analysis and generalized method of moments gmm estimators examines the existence of a kuznets type relationship between countries environmental efficiency and national income specifically it measures the environmental efficiency of 17 oecd countries by constructing environmental efficiency ratios for the time period 1980 2002 the analysis with the application of dynamic panel data reveals that there isn t a kuznets type relationship between environmental efficiency and income allowing for dynamic effects we find that the adjustment to the target ratio is instantaneous we also find that increased economic activity does not always ensure environmental protection and thus the path of growth is important in addition to the growth itself

an intertemporal approach to measuring environmental performance with directional distance functions greenhouse gas emissions in the european union abstract the impact of economic activity on the environment is a matter of growing concern for firm managers policymakers researchers and society as a whole building on previous work by kortelainen 2008 dynamic environmental performance analysis a malmquist index approach ecological economics 64 701 715 we contribute an approach to assessing intertemporal environmental performance at the level of the management of specific pollutants as the result of change in eco efficiency and environmental technical change which identify catching up with best available environmental practices and eco innovation respectively in doing so we use data envelopment analysis techniques directional distance functions and luenberger productivity indicators our approach is employed to assess environmental performance in the emission of greenhouse gases in the european union 28 over the period 1990 2011 the main result is that environmental performance has been boosted by environmental technical change rather than by increases in eco efficiency although with certain differences among air pollutants accordingly policy measures aimed at enhancing eco efficiency are recommended to improve environmental performance in european countries regarding greenhouse gas emissions