This study adopts a two-stage approach, data envelopment analysis (DEA) and tobit regression, to investigate the bank efficiency index and efficiency effect incorporated into account credit and market risk. The authors use the DEA method in the first stage to estimate bank cost efficiency, and the tobit regression model in the second stage to estimate efficiency effects. The empirical results are summarized as follows: First, results indicate that risk factors impact bank efficiency. Banks with a higher degree of nonperforming loans or value at risk will see efficiency decrease by incorporating account risk. Second, there is no significant difference with the bank efficiency index taking only credit risk or market risk into consideration, but there are significant differences on the bank efficiency index in situations without risk or with credit and/or market risks. Finally, the study notes that different bank efficiency indexes calculated according to different risks are affected by different factors. (JEL G1, G21)

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The paper applies a compound option-based structural credit risk model to estimate the short-run and forward default probability for a sample of listing companies from Taiwan. We contribute to the literature by linking the relationship between the corporate social responsibility (CSR) rating and the firm's default risk. Our empirical results show that good CSR companies have very low short-term default probability and forward default probability. In terms of regression analyses, we find that there is a negative and significant association between CSR score and forward default probability.

Prior studies show a mixed relation between corporate social responsibility (CSR) and corporate financial performance (CFP). This paper attempts to address the issue using listed companies from Taiwan during the period from 2007 to 2010. Unlike prior studies that use qualitative approaches to construct a CSR index, this study examines the relation between CSR and CFP by directly adopting the CSR score from the CSRHub database of companies' social, environmental, and governance performance which measures these factors using a scale from zero to 100 points. We find that (1) there is a positive and significant interaction between CSR and CFP, (2) high score CSR firms tend to outperform low score CSR firms and (3) the governance dimension of CSR has a more significant and positive association with stock price returns than other dimensions (community, employees, and environment) of CSR. Our results, therefore, provide additional information regarding the relation between CSR and CFP within the context of emerging markets.

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