This article examines the profitability of trading rules based on the smoothed probability of Markov-switching models and executes two models in Taiwan's case. The results present that both proposed...
Decomposition of mutual fund underperformance
This article follows a three-stage data envelopment analysis (DEA) approach proposed by Fried et al. (2002) to decompose mutual fund underperformance, in order to obtain pure managerial performance....