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This study evaluates risk‐adjusted performance of socially responsible mutual funds during the period 1991‐2000, using objective statistical measures grounded in modern portfolio theory. A socially responsible mutual fund is defined as one which employs “social screens” in stock selection, such as whether a fi rm manufactures tobacco products, whether it is in the gambling business, whether it heeds environmental safety, its human rights records, etc. The main objective of this study is to provide empirical documentation on the risk‐adjusted returns of these mutual funds, for the benefit of investors. To our knowledge, this is one of the first, if not the first, academic study to utilize a relatively new risk‐adjusted performance measure, posited by Nobel Laureate Franco Modigliani and Leah Modigliani in 1997 (hereafter referred to as M Squared), to evaluate socially responsible mutual funds. The idea that underlies their methodology is to adjust the investment risk of a mutual fund to the level of risk in an unmanaged benchmark stock‐market index and then measure the returns on the risk‐matched fund. The M Squared measure not only relates the level of risk to the level of reward, but also enables risk‐adjusted returns to be reported on a percentage basis, rather than on an absolute basis, which makes them more easily understood by the average investor. The results of this study can be used in decision making by investors who seek objective criteria to select a socially responsible mutual fund from among a menu of several funds.

This paper aims to evaluate the risk‐adjusted performance of US‐based international equity funds using objective statistical measures grounded in modern portfolio theory, and to present the results in a manner which is easily understood by the average investor.

This study evaluates the performance of 50 large US‐based international equity funds using risk‐adjusted returns during 1994‐2003. In particular, a relatively new risk‐adjusted performance measure (M squared), first proposed by Franco Modigliani and Leah Modigliani in 1997, is used to evaluate these equity funds.

The empirical results show that the funds with the highest average returns may lose their attractiveness to investors once the degree of risk embedded in the fund has been factored into the analysis. Conversely, some funds, whose average (unadjusted) returns do not stand out, may look very attractive once their low risk is factored into their performance.

It may be worthwhile to examine the effects of factors such as fund manager compensation, service fees, corporate governance metrics, and overweighting in risky countries/regions on the performance of international equity funds.

The evidence presented in this study can be used as input in decision making by investors who are exploring the possibility of participating in the global stock market via international equity funds.

This paper is one of the first studies that apply the new M squared measure to evaluate the performance of international equity funds using both domestic and international benchmark indices. Various other performance metrics are also utilized including Sharpe and Treynor measures, and Jensen's Alpha.

Lowering of investment barriers between European nations has led to increasing integration of their capital markets. Consequently, global investors may be well‐advised to evaluate European stocks, not on the basis of the country of listing, but on the basis of the transnational industrial sector to which the stocks belong. This study utilizes performance measures, grounded in modern portfolio theory, to assess the risk‐adjusted return that has accrued to major transnational industrial sectors in Europe, such as consumer products, technology, utilities and financial services. The empirical documentation generated here can be used by international investors as input in decision making for sectorial allocation of funds in the European component of their global stock portfolios.

The paper aims to investigate the long‐run performance of privatised initial public offerings (IPOs) and their effects on the New Zealand share market (NZSE) and the Australian share market (ASX).

The paper examines the relationship between privatisation and share market capitalisation, liquidity and share ownership. The research also evaluates long‐run risk‐return performance of the privatised companies' portfolios.

The analysis reveals that privatisations have significantly increased share market capitalisation and have impacted on the market liquidity. In general, anyone investing in privatised companies' portfolios could have received significantly higher returns than investing in an aggregate market portfolio.

The findings have significant practical implications for individual and institutional investors.

Notes rapid growth in the number of depositary receipt (DR) listings on US exchanges and presents a study of those from East Asia. Explains how they allow US investors to trade in the equity or debt of non‐US companies through US institutions and reviews the relevant literature. Classifies 605 East Asian DRs at March 2000 by country, year of issue, sponsorship status, exchange, depositary bank and industry; and discusses reasons for the differences found. Tests the relationship between exchange rates and the issuance of DRs and presents the results, which show that firms may be more likely to issue DRs when their home currency is strong relative to the US dollar, i.e. when they can obtain the best listing price in US markets.

This paper seeks to evaluate the risk‐adjusted performance of the largest US‐based equity mutual funds using rigorous analysis grounded in modern portfolio theory and present the results in a manner which is comprehensible to a lay investor.

This study evaluates the performance of the 20 largest US‐based mutual funds using risk‐adjusted returns during 1995‐2004. In particular, a relatively new risk‐adjusted performance measure by Modigliani and Modigliani is used to evaluate these equity funds. This study also utilizes a variation of the Sortino Ratio to account for downside risk.

The results show that the funds with the highest returns may lose their attractiveness once the degree of risk had been factored into the analysis. Conversely, some funds may look very attractive once their low risk is factored into their performance.

Future researchers may want to investigate the effects of factors, such as fund manager, compensation, service fees, corporate governance metrics, and overweighting in risky industries on the performance of mutual funds.

The empirical evidence presented in this study can be used as input in decision making by investors who are exploring the possibility of participating in the stock market via large mutual funds, but are not sure of what selection criteria to employ.

The paper is one of the first studies that apply the new M² measure to evaluate the performance of mutual funds. Various other performance metrics are also utilized including the Sharpe, Sortino, Treynor measures and Jensen's α.

US studies show significant price effects when shares enter or leave an index during index revisions. Studies on other markets generally yield similar results with smaller price reactions. This study aims to examine the price effects resulting from revisions to the Australian S&P/ASX 100 and 300 indices.

The event study methodology is used to examine abnormal price and volume effects around the announcement dates and implementation dates of index revisions.

In contrast with studies on US index changes, this study shows no abnormal returns for additions to or deletions from the S&P/ASX 100 index and only a weak effect for the S&P/ASX 300, which showed a median abnormal return of  + 1.06 per cent on the implementation date for additions and −2.78 per cent for deletions.

These results give a cautionary warning to those who wish to speculate on the changes to index constituents on the Australian market, or other similar markets where the strength of the index effect has not been clearly quantified.

This study adds to the body of knowledge on the index effect by providing Australian evidence.

This paper aims to examine the motivations of firms that issue global bonds. Specifically, it seeks to test whether firms are motivated to offer bonds in multi‐markets to raise more capital, take advantage of being well‐known in foreign markets and/or owing to poor domestic economic conditions.

A sample of global bond offerings of US industrial firms during the period 1995 to 2001 was studied. Logistic regressions were used to examine the determinants of the choice between global and domestic debt offerings. The factors that explain the stock price reaction of global bond issues were also analyzed.

The authors find evidence suggesting that firms with a good reputation abroad and firms that want to raise large amounts of funds choose to issue global bonds instead of domestic bonds. Firms also tend to issue global bonds when the domestic economy is weak. In addition, the stock markets do not react more positively to global bond issues than domestic bond issues, suggesting that the issuing cost of global bonds is not lower than the cost of domestic bonds.

Future researchers may want to investigate why some firms choose to issue global bonds while others choose Eurobonds when they want to issue debt internationally.

The findings of this study suggest that, although firms might be able to raise more capital by issuing global bonds, the issuing costs are not lower.

This is the first paper to study the determinants of the choice between global bonds and domestic bonds and examine the factors that affect the stock price reaction to global bonds.