Evaluation Of Higher Moment Capital Asset Pricing Model And Stock Market Technical Efficiency With Stochastic Frontier Approach

The Capital Asset Pricing Model (CAPM) is a revolutionary input in financial theories. It postulates an equilibrium linear relationship between expected return and risk of an asset. The theoretical validity of CAPM is well-tested and accepted but the practical validity of CAPM is still in question. Several studies on CAPM and higher moment CAPM (H-CAPM) have been conducted in Western countries. However, only a few studies have been conducted on the Dhaka Stock Exchange (DSE) market of Bangladesh, which is based on CAPM but not H-CAPM. According to Standard and Poor’s Emerging Stock Markets Fact Book 2000, the DSE is a frontier emerging market in South Asia. To date, no studies have measured the technical efficiencies of companies listed in the DSE market using risk factors derived from H-CAPM. Therefore, this study began with a validity test of the CAPM for individual companies and their constructed portfolios of the DSE market. Based on the present investigation, the standard form of CAPM or mean-variance CAPM was rejected in both cases (individual companies and portfolios) of the DSE market. That is why, to search for an alternative model to explain the risk-return relationship of risky assets, the mean-variance CAPM was extended by taking higher moments: skewness and kurtosis. The results showed that the coefficient of determination increased after inclusion of the higher moments. And, the expected rate of return was related to the coskewness and cokurtosis, but not to the systematic variance or beta. Therefore, the H-CAPM is superior to the mean-variance CAPM in explaining the risk-return relationship in the context of DSE market

Evaluation of stock market technical efficiency with a comparison of groups of companies in Dhaka Stock Exchange

The objective of this study was to measure stock market efficiency of the groups of companies, such as Group-A (financial), Group-A (non-financial), Group-B and Group-Z of Dhaka stock exchange (DSE) market in Bangladesh applying the Stochastic Frontier approach, incorporating technical inefficiency effect model. Among the four groups, most efficient group was Group-A (financial) and most inefficient group was Group-Z.This study showed that the mean technical efficiency of the companies of DSE market during the period 2000 to 2008 was 0.8782. This implied that 87% of potential output was being realized by the companies of DSE market.In case of using production function model; it was found that the Translog production function was more preferable than the Cobb-Douglas production function. The technical efficiency rate was found gradually increasing over time in the stock market in Banglades

An empirical analysis of higher moment capital asset pricing model for Bangladesh stock market

Capital Asset Pricing Model (CAPM) describes a relationship which is linear between expected return and risk of an asset.Within the contents of this paper, the higher moments of return distributions for companies listed in the Dhaka Stock Exchange (DSE) market have been inspected for the period of January 2005 to December 2009. The mean-variance CAPM model is extended by taking higher moments-Skewness and Kurtosis.Monthly stock returns from 80 non-financial companies, covering ten sectors (Engineering, Food & Allied, Fuel & Power, Textile, Pharmaceuticals, Services & Real Estate, Cement, Tannery, Ceramic and Miscellaneous) are studied in this research.From the empirical analysis, it is observed that the intercept term is significantly different from zero and insignificant relationship between beta and excess returns both in mean-variance CAPM and higher moment CAPM conditions. This means that the market excess returns provide no explanation for the asset rate of return, whether or not third and fourth moments are considered in the regression model.But, when the higher moments are introduced, the adjusted R-square increases 0.037 to 0.257. It is noticed that the risk premium for co-skewness risk is positive for the period 2005-2009, indicating that the co-skewness risk is compensated in the DSE market for the studied period. Also, the co-kurtosis risk is rewarded by the market. Thus, in describing risk-return relationship in emerging markets like Bangladesh stock market, the higher moment CAPM performs comparatively well

Abnormal development of placenta in HtrA1-deficient mice

AbstractAbnormal levels of High temperature requirement A1 (HtrA1) protein have been repeatedly observed in sera and placentas of preeclampsia patients. To understand the functions of HtrA1 in placentation and in the etiology of preeclampsia, we established HtrA1−/− mice. HtrA1−/− mice show intrauterine growth retardation, and their placentas are small due to a reduced size of the junctional zone and aberrant vascularization in the labyrinth at the mid-gestation stage. HtrA1 is expressed by Tpbpa-positive trophoblast precursors in the outer ectoplacental cone and junctional zone from embryonic day 7.5 to 10.5. In the HtrA1−/− placenta, Tpbpa-positive cell precursors are decreased in the early stage. Spongiotrophoblasts and glycogen trophoblast cells, both of which differentiate from Tpbpa-positive precursors, are consequently decreased in the junctional zone. Fewer spiral artery-associated trophoblast giant cells, another cell type derived from Tpbpa-positive precursors, invade the decidua and associate with maternal arteries in the HtrA1−/− placenta than in the wild type placenta. Maternal arteries in the HtrA1−/− decidua have narrower lumens, thicker arterial walls, and more vascular smooth muscle cells remaining in the walls than those in the wild type decidua, indicating impaired remodeling of maternal arteries. These results indicate that HtrA1 plays important roles in the differentiation of trophoblasts from Tpbpa-positive precursors in the ectoplacental cone. Insufficient levels of HtrA1 cause poor placental development and intrauterine growth retardation, due to aberrant trophoblast differentiation and consequent defects in maternal artery remodeling, and may contribute to the onset of preeclampsia

A Cobb Douglas stochastic frontier model on measuring domestic bank efficiency in Malaysia

Banking system plays an important role in the economic development of any country.Domestic banks, which are the main components of the banking system, have to be efficient; otherwise, they may create obstacle in the process of development in any economy.This study examines the technical efficiency of the Malaysian domestic banks listed in the Kuala Lumpur Stock Exchange (KLSE) market over the period 2005–2010.A parametric approach, Stochastic Frontier Approach (SFA), is used in this analysis.The findings show that Malaysian domestic banks have exhibited an average overall efficiency of 94 percent, implying that sample banks have wasted an average of 6 percent of their inputs.Among the banks, RHBCAP is found to be highly efficient with a score of 0.986 and PBBANK is noted to have the lowest efficiency with a score of 0.918.The results also show that the level of efficiency has increased during the period of study, and that the technical efficiency effect has fluctuated considerably over time

Assessment of heavy metals concentration in water and Tengra fish (Mystus vittatus) of Surma River in Sylhet region of Bangladesh

The study was carried out to assess the concentration of heavy metals in water and Tengra fish (Mystus vittatus) of the Surma River, the largest water basin ecosystem covering the north-eastern parts of Bangladesh. Water and Tengra fish (M. vittatus) samples were collected from a total of six sampling stations in which three sampling stations were in Sylhet district and the rest three were in Sunamganj district. Samples were collected from February 2017 to June 2017 on a monthly basis. Water and Tengra fish (M. vittatus) samples were analyzed for the detection of heavy metals viz., lead (Pb), chromium (Cr) and cadmium (Cd) concentrations. Atomic absorption spectrophotometry was used for the detection of heavy metals after digestion of the samples. Pb and Cr were detected from both water and Tengra fish (M. vittatus) samples collected from all the six sampling stations of Sylhet and Sunamganj district. But, Cd was not found both in water and Tengra fish (M. vittatus) during the study period. This study concluded that the detected concentrations of metals (Pb and Cr) in the studied Tengra fish (M. vittatus) muscles were accepted by the international legislation limits and are safe for human consumption. But in water, Pb is the only metal that potentially poses the ecological risk to the water body as it exceeds the acceptance level recommended by World Health Organization (WHO). Consequently, close monitoring of metals pollution of the Surma River is recommended with a view to minimizing the health risk of the population that depend on the river for their water and fish supply

A validity test of capital asset pricing model for Dhaka Stock Exchange

Capital Asset Pricing Model (CAPM) was a revolution in financial theory. CAPM postulates an equilibrium linear association between expected return and risk of an asset.This study investigates a risk-return relationship within the CAPM framework in Dhaka Stock Exchange (DSE) using monthly stock returns from 80 non-financial companies for the period of January 2005 to December 2009.From the CAPM empirical analysis, it is observed that intercept term is significantly different from zero and insignificant but there exists a positive relationship between beta and share return.The results of the study refute the CAPM hypothesis and offer evidence against the CAPM in DSE market. However, there exists linearity in the securities market line. The unique risk and the interaction are insignificant during the period

Productivity and Efficiency Analysis Using DEA: Evidence from Financial Companies Listed in Bursa Malaysia

This study evaluates the technical efficiency, productivity change of financial companies listed in the Malaysian stock exchange (Bursa Malaysia) and examines the effects of productivity change on efficiency over the period 2007–2016. Moreover, this study also concentrates on the ranking of financial companies according to their efficiency scores. Data Envelopment Analysis (DEA) is utilized on a Malmquist Productivity Index in order to calculate the financial companies’ efficiency scores. The results of this study show that some firms were fully efficient. The results implied that these companies were in optimal control of their inputs or resources to generate the maximum outputs. Also, the results indicate a tremendous productivity gain was mostly because of a positive shift in frontier technology and positive shift in technical efficiency. This study is significant because it helps to identify the efficient companies from the financial sector in Malaysia based on multiple inputs and outputs by using the DEA model. Common misspecification problems observed that instability of efficiency scores over productivity

Pharmacological Evaluation of Naproxen Metal Complexes on Antinociceptive, Anxiolytic, CNS Depressant, and Hypoglycemic Properties

properly cited. Purpose. The present study was designed to investigate the antinociceptive, anxiolytic, CNS depressant, and hypoglycemic effects of the naproxen metal complexes. Methods. The antinociceptive activity was evaluated by acetic acid-induced writhing method and radiant heat tail-flick method while anxiolytic activity was evaluated by elevated plus maze model. The CNS depressant activity of naproxen metal complexes was assessed using phenobarbitone-induced sleeping time test and the hypoglycemic test was performed using oral glucose tolerance test. Results. Metal complexes significantly ( < 0.001) reduced the number of abdominal muscle contractions induced by 0.7% acetic acid solution in a dose dependent manner. At the dose of 25 mg/kg body weight p.o. copper, cobalt, and zinc complexes exhibited higher antinociceptive activity having 59.15%, 60.56%, and 57.75% of writhing inhibition, respectively, than the parent ligand naproxen (54.93%). In tail-flick test, at both doses of 25 and 50 mg/kg, the copper, cobalt, silver, and zinc complexes showed higher antinociceptive activity after 90 minutes than the parent drug naproxen. In elevated plus maze (EPM) model the cobalt and zinc complexes of naproxen showed significant anxiolytic effects in dose dependent manner, while the copper, cobalt, and zinc complexes showed significant CNS depressant and hypoglycemic activity. Conclusion. The present study demonstrated that copper, cobalt, and zinc complexes possess higher antinociceptive, anxiolytic, CNS depressant, and hypoglycemic properties than the parent ligand

マウス ノ タイバン ハッセイ ニ オケル HtrA1 ト HtrA3 ノ キノウ カイセキ

博第1242号甲第1242号博士(バイオサイエンス)奈良先端科学技術大学院大