Association between environmental factors and equity market performance: Evidence from a nonparametric frontier method

Financial Markets and Portfolio Management

Volumn 24, Issue 3, 2010, Pages 245-269

  Galagedera, Don U A ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Data envelopment analysis; Developed markets; Emerging markets; Operational environment; Relative performance

Indexed keywords

EID: 77955175899     PISSN: 15554961     EISSN: 1555497X     Source Type: Journal    
DOI: 10.1007/s11408-010-0133-y     Document Type: Article

References (37)

1. Albrecht, C., Albrecht, C. C., Freeman, L. R., Albrecht, W. S.: The effect of country and organisational factors on public equity market access. Int. Res. J. Finance Econ. 8, 107-125 (2007).
2. Andersen, P., Petersen, N. C.: A procedure for ranking efficient units in data envelopment analysis. Manag. Sci. 39, 1261-1264 (1993).
3. Bainbridge, C., Galagedera, D. U. A.: Relative performance of equity markets: An assessment in the conventional and downside frameworks. Int. J. Bus. 14, 22-45 (2009).
4. Banker, R. D., Charnes, A., Cooper, W. W.: Some models for estimating technical and scale inefficiencies in data envelopment analysis. Manag. Sci. 30, 1078-1092 (1984).
5. Berger, A. N., Humphrey, D. B.: Efficiency of financial institutions: International survey and directions for future research. Eur. J. Oper. Res. 98, 175-212 (1997).
6. Charnes, A., Cooper, W. W., Rhodes, E.: Measuring the efficiency of decision-making units. Eur. J. Oper. Res. 2, 429-444 (1978).
7. Eling, M.: Performance measurement of hedge funds using data envelopment analysis. Financ. Mark. Portf. Manag. 20, 442-471 (2006).
8. Fama, E. F., French, K. R.: Common risk factors in the returns on stocks and bonds. J. Financ. Econ. 33, 3-56 (1993).
9. Fried, H. O., Lovell, C. A. K., Schmidt, S. S., Yaisawarng, S.: Accounting for environmental effects and statistical noise in data envelopment analysis. J. Product. Anal. 17, 157-174 (2002).
10. Fuss, R., Bechtel, M. M.: Partisan politics and stock market performance: The effect of expected government partisanship on stock returns in the 2002 German federal election. Public Choice 135, 131-150 (2007).
11. Galagedera, D. U. A.: A survey of investment-performance appraisal methods with special reference to data envelopment analysis. Sri Lankan J. Manag. 8, 48-70 (2002).
12. Galagedera, D. U. A., Silvapulle, P.: Australian mutual fund performance appraisal using data envelopment analysis. Manag. Finance 28, 60-73 (2002).
13. Gregoriou, G., Sedzro, K., Zhu, J.: Hedge fund performance appraisal using data envelopment analysis. Eur. J. Oper. Res. 164, 555-571 (2005).
14. Griffin, J. M.: Are the Fama and French factors global or country-specific? Rev. Financ. Stud. 15, 783-803 (2002).
15. Gstach, D.: Estimating Output-Specific Efficiency. Kluwer Academic, Dordrecht (2002).
16. Harvey, C. R., Siddique, A.: Conditional skewness in asset pricing tests. J. Finance 55, 1263-1296 (2000).
17. Heri, E.: Tia's bets. Some ideas about where to concentrate research efforts. Financ. Mark. Portf. Manag. 16, 1-9 (2002).
18. Hu, J. L., Chang, T. P.: Decomposition of mutual fund underperformance. Appl. Financ. Econ. Lett. 4, 363-367 (2008).
19. Jensen, M. C.: Risk, the pricing of capital assets and the evaluation of investment performance. J. Bus. 42, 167-247 (1969).
20. Johnson, A. L., McGinnis, L. F.: Outlier detection in two-stage semiparametric DEA models. Eur. J. Oper. Res. 187, 629-635 (2008).
21. Kostakis, A.: Performance measures and incentives: Loading negative co-skewness to outperform the CAPM. Eur. J. Finance 15, 463-486 (2009).
22. Kraus, A., Litzenberger, R. H.: Skewness preference and the valuation of risky assets. J. Finance 31, 1085-1100 (1976).
23. Leblang, D., Mukherjee, B.: Government partisanship, elections and the stock market: Examining American and British stock returns, 1930-2000. Am. J. Polit. Sci. 49, 780-802 (2005).
24. McGillivray, F.: Redistributive politics and stock price dispersion. Br. J. Polit. Sci. 33, 367-369 (2003).
25. McMullen, P. R., Strong, R. A.: Selection of mutual funds using data envelopment analysis. J. Bus. Econ. Stud. 4, 1-12 (1998).
26. Modigliani, F., Modigliani, L.: Risk-adjusted performance. J. Portf. Manag. 23, 45-54 (1997).
27. Mosley, L., Singer, D. A.: Taking stock seriously: Equity market performance, government policy, and financial globalization. Int. Stud. Q. 52, 405-425 (2008).
28. Murthi, B. P. S., Choi, Y. K., Desai, P.: Efficiency of mutual funds and portfolio measurement: A non-parametric approach. Eur. J. Oper. Res. 98, 408-418 (1997).
29. Norman, M., Stoker, B.: Data Envelopment Analysis: The Assessment of Performance. Wiley, Chichester (1991).
30. Powers, J., McMullen, P. R.: Using data envelopment analysis to select efficient large market cap securities. J. Bus. Manag.. 7, 31-42 (2000).
31. Sharpe, W. F.: Mutual fund performance. J. Bus. 39, 119-138 (1966).
32. Sharpe, W. F.: Morningstar's risk-adjusted ratings. Financ. Anal. J. 54, 21-33 (1998).
33. Simar, L., Wilson, P. W.: Estimation and inference in two-stage semiparametric models of production processes. J. Econom. 136, 31-64 (2007).
34. Treynor, J. L.: How to rate management of investment funds. Harv. Bus. Rev. 44, 131-136 (1965).
35. Wilson, P. W.: Detecting influential observations in data envelopment analysis. J. Product. Anal. 6, 27-45 (1995).
36. Worthington, A. C., Hurley, E. V.: Cost efficiency in Australian general insurers: A non-parametric approach. Br. Account. Rev. 34, 89-108 (2002).
37. Wyss, R. V.: Performance measurement of equity funds-Do the SPSS enhance transparency? Financ. Mark. Portf. Manag. 15, 173-186 (2001).