Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange

This study examines the Capital Asset Pricing Model of Sharpe (1964) Lintner (1965) and Black (1972) as the benchmark model in the asset pricing theory. The empirical findings indicate that the Sharpe-Lintner-Black CAPM inadequately, particularly the explains Pakistan’s equity market economically and statistically significant role of market risk for the determination of expected returns. Instead of identifying more risk factors, a detailed analysis of a single risk factor is undertaken. We have concentrated on two main extensions of the standard CAPM model. First, the standard model is extended by taking higher moments into account. Second, the risk factors are allowed to vary over time in the autoregressive process. The result of unconditional non-linear generalisation of the standard model reveals that in the higher-moment CAPM model the investors are rewarded for co-skewness risk. However, the test provides marginal support for rewards of the co-kurtosis risk. Finally, the empirical usefulness of conditional higher moments in explaining the cross-section of asset return is investigated. The results indicate that the conditional co-skewness is an important determinant of asset pricing, and the asset pricing relationship varies through time. The conditional covariance and the conditional co-kurtosis explain the asset price relationship in a limited way. It is concluded that Kraus and Litzenberger (1976) attempts to develop a modified form of the Sharpe- Lintner-Black CAPM and is more successful with KSE data.Covariance, Co-skewness, Co-kurtosis, Non-normal Return Distribution, Capital Asset Pricing Model, Time-varying Moments.

Annealing-induced Fe oxide nanostructures on GaAs

We report the evolution of Fe oxide nanostructures on GaAs(100) upon pre- and post-growth annealing conditions. GaAs nanoscale pyramids were formed on the GaAs surface due to wet etching and thermal annealing. An 8.0-nm epitaxial Fe film was grown, oxidized, and annealed using a gradient temperature method. During the process the nanostripes were formed, and the evolution has been demonstrated using transmission and reflection high energy electron diffraction, and scanning electron microscopy. These nanostripes; exhibited uniaxial magnetic anisotropy. The formation of these nanostructures is attributed to surface anisotropy, which in addition could explain the observed uniaxial magnetic anisotropy

Corrections to Tribimaximal Mixing from Nondegenerate Phases

We propose a seesaw scenario that possible corrections to the tribimaximal pattern of lepton mixing are due to the small phase splitting of the right-handed neutrino mass matrix. we show that the small deviations can be expressed analytically in terms of two splitting parameters($\delta_1$ and $\delta_2$) in the leading order. The solar mixing angle $\theta_{12}$ favors a relatively smaller value compared to zero order value ($35.3^\circ$), and the Dirac type CP phase $\delta$ chooses a nearly maximal one. The two Majorana type CP phases $\rho$ and $\sigma$ turn out to be a nearly linear dependence. Also a normal hierarchy neutrino mass spectrum is favored due to the stability of perturbation calculations.Comment: 19 pages 6 figures, Accepted by Mod. Phy. Lett.

Metal concentrations in Sungai Sedili Kecil, Johor, Peninsular Malaysia

Water and sediment from five sampling stations in Sungai Sedili Kecil were sampled in October 2010 and analyzed for 11 metals including cadmium (Cd), copper (Cu), manganese (Mn), iron (Fe), lead (Pb), aluminium (Al), zinc (Zn), nickel (Ni), cobalt (Co), arsenic (As) and argentum (Ar). Results showed that the mean dissolved metal concentrations (in μg/L) in Sungai Sedili waters based on 5 sampling stations (in descending order) for Fe, Al, Zn, Cu, As, Mn, Ni, Pb, Co, Cd and Ag were 443.7, 52.7, 50.2, 34.2, 25.9, 20.3, 6.8, 1.4, 0.77, 0.67 and 0.10 μg/L, respectively. Mean metal concentrations (in μg/g dry weight) for sediments (in descending order) for Fe, Al, Mn, Zn, Pb, Cu, As, Ni, Co, Cd and Ag were 33389.4, 17118.7, 190.5, 55.1, 29.1, 26.3, 19.3, 10.9, 4.7, 0.18 and 0.12 μg/g, respectively. A comparison with various water and sediment quality standards showed that the mean metal concentrations in surface water and sediment of Sungai Sedili Kecil were low and within the range of natural background except for Cu and Fe in water