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  • 1
    Electronic Resource
    Electronic Resource
    Relative Performance Evaluation of Mutual Funds: A Non-Parametric Approach (2001)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 28 (2001), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: We propose an alternative mutual fund performance index which addresses the benchmark problem and controls for economies of scale in managing mutual funds. We advance a new concept of ‘return-cost’ efficiency as another important element in evaluating portfolio management, in addition to the mean-variance efficiency concept. Our index based on a non-parametric estimation is shown to be similar to the Sharpe index with multiple slopes (or factors). We have shown that all fund categories, except income funds, have similar average efficiency scores after controlling for economies of scale. Most funds operate in increasing returns to scale and seem to be successful in holding mean-variance efficient portfolios, but unsuccessful in allocating transaction costs efficiently, evidenced by excessive turnovers and loads.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.00396
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Investment and Abandonment Decisions with Uncertain Price and Cost (2000)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 27 (2000), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: We analyze firms’ investment and abandonment decisions when both output price and investment cost change stochastically. The model allows for and makes endogenous the abandonment decision, thereby incorporating irreversibility. We show that the investment trigger may be much higher than the standard net present value rule suggests even when a substantial portion of the investment cost may be recovered. Further, we argue that the correlation between output price and investment costs significantly affects the effect of irreversibility on investment behavior. Empirical implications are discussed with extensive numerical illustrations, along with an application to the banking industry.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.00310
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    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    A Unified Model of Corporate Acquisitions and Divestitures: An Incentive Perspective (1998)
    Springer
    Review of quantitative finance and accounting 10 (1998), S. 127-154 
    Details
    ISSN: 1573-7179
    Keywords: acquisitions ; divestitures ; agency ; unified model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The purpose of this paper is to unify corporate acquisitions and divestitures (e.g., spin-offs, equity carve-outs and sell-offs) into a simple but comprehensive agency model where risk and managerial incentives interact to determine an optimal corporate governance and an incentive compensation scheme. Emphasizing human and nonhuman aspect of corporate assets, the model not only explains existing empirical evidence regarding contractual and organizational changes, but also suggests new perspective regarding firms' behavior around corporate acquisitions and divestitures. Thus, it attempts to reconcile between synergistic and agency viewpoints in the takeover literature and provides determining factors in choosing between spinoffs and equity carve-outs.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008267819853
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    Paper (German National Licenses)
    Fulltext
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