Journal Articles
Permanent URI for this collectionhttps://mro.massey.ac.nz/handle/10179/7915
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Item Portfolio's weighted political risk and mutual fund performance: A text-based approach(Elsevier Inc, 2024-08) Nguyen HG; Hoang K; Nguyen QMP; Do HX; Nguyen DKUsing text-based measures of firm-level political risk, we find a negative impact of the portfolio's weighted political risk on U.S. mutual fund performance. This relationship is robust to a wide range of topic-specific political risks at the firm level. We, however, find that national geopolitical risk, the U.S. state-level economic policy uncertainty, and Brexit-induced risk do not affect mutual fund performance. Our results suggest that even though mutual funds are immune from political risk at the macro level, they are significantly exposed to idiosyncratic political risk. We also demonstrate that partisanship matters to mutual fund performance.Item Estimating the productivity of US agriculture: The Fisher total factor productivity index for time series data with unknown prices(John Wiley and Sons Australia, Ltd on behalf of Australasian Agricultural and Resource Economics Society Inc., 2024-05-10) Ngo T; Tripe D; Nguyen DKIn this paper, we propose a straightforward way to estimate the Fisher ideal total factor productivity (TFP) index (FI) in cases where price information is unavailable, using ‘shadow prices’ derived from data envelopment analysis (DEA). A Monte Carlo experiment shows that the shadow price Fisher ideal TFP index (SPFI) can effectively estimate the ‘true’ FI with relatively small (and stable) errors. The empirical application to the US agriculture sector (1948–2017) further suggests that the SPFI is a (superior) alternative to the traditional Malmquist DEA, especially in dealing with unbalanced panel or time series data when price data are unknown.