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A reference work covering all aspects of finance. Coverage includes finance and statistical applications in finance. For students, professors and researchers.

The main purposes of this paper are (i) to review investment, financing, dividend, and production policies in some detail; (ii) to discuss how these four policies are interrelated and integrate these four policies into a composite policy; (iii) to discuss the impacts of financing, dividend, and production policies on the beta coefficient; and (iv) to develop hypotheses to be used for empirical studies on the interaction among financing, dividend, and production policies. A theoretical relationship between beta coefficient and financing, dividend, and production policies is developed. This paper gives an overall view of the four policies used in finance education and research for the last five decades.

Value-added performance measures, such as economic value added (EVA), are promoted as a means to better align managerial incentives and improve firm performance. This paper empirically examines whether EVA adopters outperform a peer group of non-adopters over a long term horizon. It also explores the determinants associated with differences in relative market performance of these two groups. We find mixed results consistent with previous studies. In examining risk adjusted market returns, we find that the full sample significantly underperforms the market. However, during the period of the study, EVA adopters exhibit less negative performance than non-adopters. Moreover, over the entire study period, adopter performance improves in a positive direction, while non-adopters experience a performance decline. Adopting firms also exhibit higher earnings growth and higher returns. In perspective, these results suggest there is some benefit to EVA adoption, relative to a peer group, as adopters outperform their peer group. In a comparison of peer matched groups, firm size and growth opportunities are found to have a significant impact on performance for three size-based groups.

Using returns of 4,916 stocks from 22 developed countries and 15 developing countries, this study examines the relative magnitude of conditional volatility and the international market systematic risk of stock prices in countries at different developmental stages and in various geographical areas. Consistent with the finding of Bekaert et al. (2008), the results of non-parametric Mann-Whitney tests suggest that the stock prices in emerging markets are riskier than the ones in developed countries, measured by both conditional volatility and global beta. Our empirical findings also support the geographical variation in stock risks. Specifically, the equity values in Southeast Asia, South Europe, and Latin America are more volatile than the rest of the world. Similar results can be found in the country-level tests. The time-series analysis suggests that the stock returns in high risk countries tend to be less volatile but the conditional volatility of stock return in less risky countries leans to increase.

AbstractWe show that E[X(g(Y1, …, Yn)] (where E[.] is the expectation operator) can be decomposed into a product of two expected values plus a sum of n comovement terms, if X, Y1, …, Yn follow a distribution that admits linear conditional expectation (LCE). We then apply this relation to show that if each asset return is LCE distributed with the market and/or the factors, many capital asset pricing models and the mutual fund separation theorem can be obtained. A well‐known example of a class of distributions that admits LCE is the elliptical distributions, of which the normal is a special case. A larger family, not mentioned in the existing literature, that admits LCE is the Pearson system. As a result, the distribution assumption to derive the capital asset pricing theories can be relaxed to the wider LCE family. We also present the relation of the LCE family to Ross's (1978) separating distribution family.

Taking into account only financial factors does not provide complete information on performance. This paper takes into consideration of both financial and non-financial performances when evaluating 35 sampled publicly traded commercial banks in Taiwan. The performance of banks is measured using an indexing method consisting of financial and non-financial measures. Banks are classified into two categories according either to the year founded, or to the type of major stockholders of a bank when founded. The results show that privatized government-owned/old banks are larger than private/new banks, respectively. Moreover, privatized government-owned banks have significantly higher financial performance index than private banks but both types of banks are not significantly different from each other in non-financial performance index. New and old banks are not significantly different from each other in both financial and non-financial performance indexes. With relatively large scale, higher profitability and better management, banks will perform relatively better among competitors in the following year. Furthermore, non-financial factors are important predictors of future financial and total performance indexes, though individual factor may not be consistently significant. More branch offices, better capital structure and solvency, and higher rates of growth in deposits and loans all result in more profits, and lead to higher customer satisfaction and more efficient management. Providing better technology to customers is an efficient way in promoting customer services, which in turn produces more profits and results in efficient management. CEOs, on average, have plans for better management and more profits. Among the factors that have direct and positive impacts on profitability, increasing the efficiency of management is the most efficient way. On the contrary, adding more branch offices contributes the least profits. Therefore, to increase bank profits, CEOs should aim to improve bank management, capital structure and solvency, rather than to add more branch offices.