European Journal of Finance 

About: European Journal of Finance is an academic journal published by Chapman and Hall London. The journal publishes majorly in the area(s): Volatility (finance) & Stock market. It has an ISSN identifier of 1351-847X. Over the lifetime, 1387 publications have been published receiving 25993 citations.

The impact of board size on firm performance: evidence from the UK

Abstract: We examine the impact of board size on firm performance for a large sample of 2746 UK listed firms over 1981–2002. The UK provides an interesting institutional setting, because UK boards play a weak monitoring role and therefore any negative effect of large board size is likely to reflect the malfunction of the board's advisory rather than monitoring role. We find that board size has a strong negative impact on profitability, Tobin's Q and share returns. This result is robust across econometric models that control for different types of endogeneity. We find no evidence that firm characteristics that determine board size in the UK lead to a more positive board size–firm performance relation. In contrast, we find that the negative relation is strongest for large firms, which tend to have larger boards. Overall, our evidence supports the argument that problems of poor communication and decision-making undermine the effectiveness of large boards.

Board size and corporate performance: evidence from European countries

Abstract: This paper examines the effects of board size on corporate performance across a number of European economies. Agency models suggest that large boards may destroy corporate value. Our fixed effects econometric evidence demonstrates that the effect of board size on corporate performance is generally negative. A negative effect is isolated for all five European countries in question when performance is measured as return on equity; this inverse relationship is more difficult to isolate using market-based measures of performance.

Efficiency of Banks: Recent Evidence from the Transition Economies of Europe, 1993–2000

Abstract: This study examines the cost and profit efficiency of banking sectors in twelve transition economies of Central and Eastern Europe (CEE) over the period 1993–2000, using the stochastic frontier approach (SFA) and the distribution-free approach (DFA). The managerial inefficiencies in CEE banking markets were found to be significant, with average cost efficiency level for 12 countries of 72% and 77% by the DFA and the SFA, respectively. The alternative profit efficiency levels are found to be significantly lower relative to cost efficiency. According to the SFA, approximately one-third of banks’ profits are lost to inefficiency, and almost one-half according to the DFA. The results of the second-stage regression analyses suggest that higher efficiency levels are associated with large and well-capitalized banks. The degree of competition has a positive influence on cost efficiency and a negative one on profit efficiency, while market concentration is negatively linked to efficiency. Finally, foreign banks ar...

Copula goodness-of-fit testing: an overview and power comparison

Abstract: Several copula goodness-of-fit approaches are examined, three of which are proposed in this paper. Results are presented from an extensive Monte Carlo study, where we examine the effect of dimension, sample size and strength of dependence on the nominal level and power of the different approaches. While no approach is always the best, some stand out and conclusions and recommendations are made. A novel study of p-value variation due to permutation order, for approaches based on Rosenblatt's transformation is also carried out. Results show significant variation due to permutation order for some of the approaches based on this transform. However, when approaching rejection regions, the additional variation is negligible.

Models for construction of multivariate dependence – a comparison study

Abstract: A multivariate data set, which exhibit complex patterns of dependence, particularly in the tails, can be modelled using a cascade of lower-dimensional copulae. In this paper, we compare two such models that differ in their representation of the dependency structure, namely the nested Archimedean construction (NAC) and the pair-copula construction (PCC). The NAC is much more restrictive than the PCC in two respects. There are strong limitations on the degree of dependence in each level of the NAC, and all the bivariate copulas in this construction has to be Archimedean. Based on an empirical study with two different four-dimensional data sets; precipitation values and equity returns, we show that the PCC provides a better fit than the NAC and that it is computationally more efficient. Hence, we claim that the PCC is more suitable than the NAC for hich-dimensional modelling.