Abstract Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks regressed on its lagged portfolio weights. Stock fixed effects isolate average from time-series predictive ability. Control variables condition for fund the characteristics held. long-term drives some classical measures, while ability others. A “buy-and-hold drift,” where weights in...

This paper investigates the impact of liquidity on Islamic bank profitability. We examine existence asymmetric causal linkages or structural shifts in profitability-liquidity nexus for a sample 34 banks Middle East and North Africa (MENA) countries over period 2005-2017 using Panel Threshold Regression controlling bank-specific macroeconomic variables. Empirical evidence highlights non-linear r...

This paper studies the cost efficiency of bank in a partial universal banking system (PUBS), Taiwan. Instead of assuming one common technology in the bank cost function, two technologies are assumed to be imbedded in the cost function. We use fee revenues as threshold to divide the banks into two technologies. A bank whose fee revenues exceeding the threshold is designated as universal bank tec...

Our approach involves the use of switching regime models, to take account of the structural asymmetry and time instability of Okun’s coefficient. More precisely, we apply the non-dynamic panel transition regression model introduced by Hansen (1999) to a panel of 20 OECD countries over the last three decades. With all specifications applied, the tests lead to the rejection of the null hypothesis...

Many panel data have the latent subgroup effect on individuals, and it is important to correctly identify these groups since efficiency of resulting estimators can be improved significantly by pooling information individuals within each group. However, currently assumed parametric semiparametric relationship between response predictors may misspecified, which leads a wrong grouping result, nonp...