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This study examines market efficiency levels for the 16 European major stock markets in response to the 2018 financial crisis. Stochastic dominance is used to investigate the existence of four popular value premium (VP) indicators, including book-to-market, earnings-to-price, cash earnings-to-price and dividend-to-price ratios, so a total of 64 market-indicator observations are formed in the pre- and post-crisis periods, respectively. Stocks in the top (bottom) 30% of each indicator are defined as value (growth) portfolio, dubbed 30-40-30 splitting, and 20-60-20 and 10-80-10 partitions are also constructed in this study. Difference test shows that the ratio of the existence of the VP for each partition in the pre-crisis period is significantly higher than its corresponding partition in the post-crisis period, respectively, indicating that market efficiency levels are impacted by financial crisis. Next, difference test also shows that the ratio of the existence of the VP for 30-40-30 partition is significantly lower than that for 20-60-20 partition in the per- and post-crisis periods, respectively. However, the ratio of the existence of the VP between 20-60-20 and 10-80-10 partitions is not significantly different in the pre- and post-crisis periods, respectively. [ABSTRACT FROM AUTHOR]

This study is the first to use stochastic dominance theory to compare the performance of passive and active trading strategies for the Taiwan Stock Index Futures. In total, we test nine common trading strategies, including buy-and-hold (passive) and eight technical trading strategies (active). The results show that the Relative Strength Index (RSI) oscillator and parabolic strategies outperform the other technical trading strategies, and all of the eight technical trading strategies beat the buy-and-hold strategy both before and after transaction costs. In addition, investing a portion of investors’ money in risky assets and a portion in risk-free assets can help distinguish performance among the trading strategies. This implies that the stochastic dominance theory can help investors determine an optimal asset allocation. [ABSTRACT FROM AUTHOR]

The article presents a study on the pattern of commercial paper (CP) on different trading days in Taiwan. The study utilizes the distribution-free stochastic dominance (SD) theory to determine if the day-of-the-week effect, also known as the weekend effect, exists and if the changes in trading days affect the pattern of CP. Results reveal that higher returns of CP appear on the day prior to the last trading day and SD theory can be used as investment strategy to enhance the investors' wealth.

This study examines the impact of stock repurchases on a repurchasing firm's stock returns on the Taiwan Stock Exchange (TWSE). It is clear that significant negative abnormal returns are observed most days prior to the announcement day and that significant positive abnormal returns are detected on the announcement day and during the first few days of the post-announcement period. The total sample is further divided into various sub samples on the basis of the purpose of repurchasing, the industrial sector, firm size and the size of the repurchase. On account of the feature of industrial development in the last ten years in Taiwan, the peculiar finding is that the book-to-market ratio, which has been used to partition the repurchasing sample in the USA and Canada in previous studies, may be more appropriately substituted by the industrial sector. This finding indicates that the stock repurchase announcements of financial firms or conventional firms generate a greater impact on stock returns than do electronics firms. [ABSTRACT FROM AUTHOR]