This document summarizes a study that analyzed the risk-adjusted performance of 19 non-bank financial institutions (NBFIs) listed on the Dhaka Stock Exchange in Bangladesh from 2009 to 2011. Various risk and return metrics were calculated, including the Sharpe ratio, Treynor ratio, beta, and Jensen's alpha. Key findings include:
- Over 50% of NBFIs earned returns above the market during the period. The top performers generated annualized returns over 90%.
- Most NBFIs exhibited higher risk than the market benchmark based on standard deviation and other measures. However, overall risk levels were moderate.
- Around 58% of NBFIs were found to be undervalued based on comparisons
Short term persistence in mutual fund performance(12)bfmresearch
This study examines the short-term persistence of mutual fund performance using daily returns data over quarterly periods. The researchers estimate stock selection and market timing models for mutual funds and rank funds into deciles based on their estimated abnormal returns each quarter. They then measure the average abnormal return of each decile in the following quarter. They find that the top-performing decile in a given quarter generates a statistically significant average abnormal return of 25-39 basis points in the subsequent quarter, providing evidence of short-term persistence in performance. However, this persistence disappears when funds are evaluated over longer periods using a concatenated time series approach.
Determinants of equity share prices of the listed company in dhaka stock exch...MD. Walid Hossain
This is the finance academic project report.This report prepare by MD. WALID HOSSAIN, Patuakhali science and technology University, Faculty of business administration and management. i think that is helpful for business studies students.
Determinants of Share Prices of listed Commercial Banks in Pakistaniosrjce
The focus of this paper is to identify the determinants of share prices for the listed commercial banks
in Karachi stock exchange over the period 2007-2013. One of the unique features of this paper is to find out the
impact of both internal and external factors on share price. Linear multiple regression analysis is used to
determine whether the selected independent variables have influence on share prices or not. The results indicate
that earning per share has more influence on share prices and it has positive and significant relationship with
share prices, book to market value ratio and interest rate have also significant but negative relation with share
prices while other variables (gross domestic product, price earnings ratio, dividend per share, leverage) have
no relationship with share prices
The document analyzes the impact of stock split announcements on stock prices of companies listed on the CNX Nifty index of the National Stock Exchange of India from 2006 to 2013. Using an event study methodology, it calculates abnormal returns for 15 companies around the announcement dates. The results show that stock split announcements have a positive impact on stock prices around the announcement dates, though some individual company returns vary.
Financial Distress Prediction With Altman Z-Score And Effect On Stock Price: ...inventionjournals
: This study aimed to obtain empirical evidence about the state of financial distress prediction using the Altman Z-score and ratio-ratio test Z-score in influencing the price of shares in the chemical subsectors listed in Indonesia Stock Exchange 2009-2014 period. The samples were determined by purposive sampling, while data processing using Microsoft Excel, and SPSS. Financial distress only occurs in ETWA company in 2014 in the category of bankruptcy. Effect of a Z-score to the stock price is significantly 0.004 and ratio-ratio of the Altman Z score is working capital to total assets have no significant effect amounted to 0,085, retained earnings to total assets have no significant effect amounted to 0,478, EBIT to total assets have a significant influence amounted to 0,016, and the book value of equity to book value of total debt had no significant effect of 0.078. Contribution ratio-ratio Altman Z-score of 48.6% to the stock price. In conclusion, the financial distress that are in reasonably good condition. Z-score can be used to predict stock prices, and ratios of Z-score only ebit to total assets can significantly affect stock prices partially.
1) The document discusses factors that influence retail investors' stock selection decisions in India. It analyzes how demographic factors like gender, age, income, etc. impact the importance investors place on various decision-making criteria.
2) A literature review found studies examining factors in other countries like return, growth, risk tolerance, and recommendations. Indian studies looked at awareness programs, stories of success, and online trading influences.
3) The study aims to identify the key factors influencing Indian retail investors' stock choices and how demographic characteristics relate to the importance placed on different factors. Surveys were used to understand perceptions of criteria like management quality, returns, and financial ratios.
Stock Selection Skills of Indian Mutual Fund Managers during 2000-2012IOSR Journals
Mutual funds work on the basis of two maxims - maximization of returns and diversification of risk, the attainment of which requires healthy operational practices and efficient investment management. Now, systematic investment management involves a wide variety of activities among which selectivity plays the pivotal role in the return generation process. This study is an attempt to evaluate the investment management of Indian mutual funds in terms of selectivity skills of fund managers during May 31, 2000 to March 31, 2012. The results pertaining to the selectivity skills of fund managers, as found in the study, has revealed that although majority of the schemes have shown positive alpha they are not statistically significant. Only some of the fund managers (around twenty five percent) possess superior selectivity skills based on both unconditional and conditional Jensen model. Conditioning on public information however improves the coefficient of determination. JEL classification: G11; G23
This document summarizes a study on the relationship between firm investment and financial status. The study uses a sample of 1,317 firms from 1987 to 1994 to examine how investment decisions differ across financially constrained and unconstrained firms. It finds that investment is most sensitive to internal funds for firms that are least financially constrained, consistent with the findings of Kaplan and Zingales (1997). Statistical tests show this difference is statistically significant. Additionally, firms that reduced dividends exhibited traditional signs of greater financial constraints such as lower current ratios and profitability compared to firms that increased dividends. The study uses multiple discriminant analysis and regression analysis to classify firms and compare investment-cash flow sensitivities between financially constrained and unconstrained groups.
Short term persistence in mutual fund performance(12)bfmresearch
This study examines the short-term persistence of mutual fund performance using daily returns data over quarterly periods. The researchers estimate stock selection and market timing models for mutual funds and rank funds into deciles based on their estimated abnormal returns each quarter. They then measure the average abnormal return of each decile in the following quarter. They find that the top-performing decile in a given quarter generates a statistically significant average abnormal return of 25-39 basis points in the subsequent quarter, providing evidence of short-term persistence in performance. However, this persistence disappears when funds are evaluated over longer periods using a concatenated time series approach.
Determinants of equity share prices of the listed company in dhaka stock exch...MD. Walid Hossain
This is the finance academic project report.This report prepare by MD. WALID HOSSAIN, Patuakhali science and technology University, Faculty of business administration and management. i think that is helpful for business studies students.
Determinants of Share Prices of listed Commercial Banks in Pakistaniosrjce
The focus of this paper is to identify the determinants of share prices for the listed commercial banks
in Karachi stock exchange over the period 2007-2013. One of the unique features of this paper is to find out the
impact of both internal and external factors on share price. Linear multiple regression analysis is used to
determine whether the selected independent variables have influence on share prices or not. The results indicate
that earning per share has more influence on share prices and it has positive and significant relationship with
share prices, book to market value ratio and interest rate have also significant but negative relation with share
prices while other variables (gross domestic product, price earnings ratio, dividend per share, leverage) have
no relationship with share prices
The document analyzes the impact of stock split announcements on stock prices of companies listed on the CNX Nifty index of the National Stock Exchange of India from 2006 to 2013. Using an event study methodology, it calculates abnormal returns for 15 companies around the announcement dates. The results show that stock split announcements have a positive impact on stock prices around the announcement dates, though some individual company returns vary.
Financial Distress Prediction With Altman Z-Score And Effect On Stock Price: ...inventionjournals
: This study aimed to obtain empirical evidence about the state of financial distress prediction using the Altman Z-score and ratio-ratio test Z-score in influencing the price of shares in the chemical subsectors listed in Indonesia Stock Exchange 2009-2014 period. The samples were determined by purposive sampling, while data processing using Microsoft Excel, and SPSS. Financial distress only occurs in ETWA company in 2014 in the category of bankruptcy. Effect of a Z-score to the stock price is significantly 0.004 and ratio-ratio of the Altman Z score is working capital to total assets have no significant effect amounted to 0,085, retained earnings to total assets have no significant effect amounted to 0,478, EBIT to total assets have a significant influence amounted to 0,016, and the book value of equity to book value of total debt had no significant effect of 0.078. Contribution ratio-ratio Altman Z-score of 48.6% to the stock price. In conclusion, the financial distress that are in reasonably good condition. Z-score can be used to predict stock prices, and ratios of Z-score only ebit to total assets can significantly affect stock prices partially.
1) The document discusses factors that influence retail investors' stock selection decisions in India. It analyzes how demographic factors like gender, age, income, etc. impact the importance investors place on various decision-making criteria.
2) A literature review found studies examining factors in other countries like return, growth, risk tolerance, and recommendations. Indian studies looked at awareness programs, stories of success, and online trading influences.
3) The study aims to identify the key factors influencing Indian retail investors' stock choices and how demographic characteristics relate to the importance placed on different factors. Surveys were used to understand perceptions of criteria like management quality, returns, and financial ratios.
Stock Selection Skills of Indian Mutual Fund Managers during 2000-2012IOSR Journals
Mutual funds work on the basis of two maxims - maximization of returns and diversification of risk, the attainment of which requires healthy operational practices and efficient investment management. Now, systematic investment management involves a wide variety of activities among which selectivity plays the pivotal role in the return generation process. This study is an attempt to evaluate the investment management of Indian mutual funds in terms of selectivity skills of fund managers during May 31, 2000 to March 31, 2012. The results pertaining to the selectivity skills of fund managers, as found in the study, has revealed that although majority of the schemes have shown positive alpha they are not statistically significant. Only some of the fund managers (around twenty five percent) possess superior selectivity skills based on both unconditional and conditional Jensen model. Conditioning on public information however improves the coefficient of determination. JEL classification: G11; G23
This document summarizes a study on the relationship between firm investment and financial status. The study uses a sample of 1,317 firms from 1987 to 1994 to examine how investment decisions differ across financially constrained and unconstrained firms. It finds that investment is most sensitive to internal funds for firms that are least financially constrained, consistent with the findings of Kaplan and Zingales (1997). Statistical tests show this difference is statistically significant. Additionally, firms that reduced dividends exhibited traditional signs of greater financial constraints such as lower current ratios and profitability compared to firms that increased dividends. The study uses multiple discriminant analysis and regression analysis to classify firms and compare investment-cash flow sensitivities between financially constrained and unconstrained groups.
The Relationship Between Firm Investment and Financial StatusSudarshan Kadariya
This document summarizes a study that examined the relationship between firm investment and financial status using a sample of 1,317 public firms between 1987-1994. The study found that:
1) Firms classified as facing fewer financial constraints (NFC) had stronger financial ratios and investment sensitivity to cash flow compared to financially constrained (FC) firms.
2) Investment levels were more sensitive to internal cash flow for NFC firms compared to partially financially constrained and FC firms.
3) The study validated prior research finding that investment decisions of more creditworthy firms are more sensitive to internal funds availability.
Analysis of Fundamental Factors, Foreign Exchange and Interest Rate on Stock ...inventionjournals
ABSTRACT: This study purpose was to determine the effect of fundamental factors (Long-Term Debt to Equity Ratio, Quick Ratio, Total Assets Turn Over, Return on Equity, Price Earning Ratio) and macroeconomic factors (foreign exchange and interest rate) on stock return at manufacturing companies listed in Indonesia Stock Exchange for 2011-2013 periods. This study uses secondary data. Samples are 13 manufacturing companies listed in Indonesia Stock Exchange. This study results by F test shows that Long-Term Debt to Equity Ratio, Quick Ratio, Total Assets Turn Over, and Return on Equity, Price Earning Ratio, Foreign Exchange and Interest Rates has significant effect on stock returns. T test results show that Long-Term Debt to Equity Ratio, Quick Ratio, and Price Earning Ratio do not have significant effect on stock returns. While Total Asset Turn Over, Return on Equity, Foreign Exchange and Interest Rates have significant effect on stock returns.
This document summarizes a research study that examined the effect of earnings growth on market reaction to dividend change announcements of public firms in Indonesia from 2009-2013. The study found that earnings growth did not moderate the relationship between dividend change announcements and market reaction. This indicates that earnings growth was not informative enough to impact the relationship. This may be because operating cash flow information is more important than earnings growth, and some companies were found to engage in income smoothing, which reduced the value of reported earnings growth. The study used multiple linear regression to analyze the data of 58 companies. In conclusion, earnings growth did not strengthen the influence of dividend changes on stock returns in this sample of Indonesian public companies.
Security Analysts’ Views of the Financial Ratios of Manufacturers and Retailers Raju Basnet Chhetri
Analysts ranked growth rates as the most important ratios for analyzing manufacturers and retailers. Profitability ratios and valuation ratios were also highly ranked. The ranking of ratio groups differed between the two industries. For retailers, inventory and receivables turnover ratios were more highly ranked than cash flow and dividend ratios. For manufacturers, cash flow and dividend ratios were ranked higher. Eleven ratios were found to have statistically significant differences between the two industries, with R&D expense/sales, MV/BV, and price/sales being more important for manufacturers, and inventory and receivables turnover ratios being more important for retailers.
Crimson Publishers-The Risk Level of Viet Nam Listed Medical and Human Resou...CrimsonPublishers-SBB
The Risk Level of Viet Nam Listed Medical and Human
Resource Company Groups After the Global Crisis
2009-2011 by Dinh Tran Ngoc Huy in Significances of Bioengineering & Biosciences
International Journal of Business and Management Invention (IJBMI)inventionjournals
International Journal of Business and Management Invention (IJBMI) is an international journal intended for professionals and researchers in all fields of Business and Management. IJBMI publishes research articles and reviews within the whole field Business and Management, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online
Does the capital assets pricing model (capm) predicts stock market returns in...Alexander Decker
This document examines whether the Capital Asset Pricing Model (CAPM) can predict stock returns in Ghana using data from selected stocks on the Ghana Stock Exchange from 2006-2010. The results found no statistically significant relationship between actual and predicted returns, indicating CAPM with constant beta cannot explain differences in returns. It was also found that some stocks were on average undervalued while one was overvalued over the period studied. The conclusion is that the standard CAPM model cannot statistically explain the observed differences in actual and estimated returns of the selected Ghanaian stocks.
This document discusses issues with using econometric models for macro stress testing of credit portfolios. Specifically:
- Econometric models have limitations like insufficient data, unstable relationships between credit risk and macroeconomic variables, and inability to capture non-linear behavior in stressed conditions.
- An analysis of Hong Kong data from 1997-2007 illustrates these limitations, as default rates did not consistently correlate with macroeconomic factors during stressed periods.
- The document proposes a simple methodology for bank supervisors to estimate history-based stressed PDs for individual banks, using the highest observed default rate for the banking sector as a whole as a benchmark. This allows supervisors to validate banks' self-reported stressed PD estimates.
The document summarizes key topics from a presentation on chapter 6 about strategy analysis and choice. It discusses the strategy formulation process including the input, matching, and decision stages. Matrices used in strategy analysis are described such as EFE, CPM, IFE, SWOT, SPACE, BCG, IE, and QSPM. The roles and responsibilities of boards of directors in governance are also covered.
The document summarizes key topics from a presentation on chapter 6 about strategy analysis and choice. It discusses the strategy formulation process including the input, matching, and decision stages. Matrices used in strategy analysis are described such as EFE, CPM, IFE, SWOT, SPACE, BCG, IE, and QSPM. Governance issues and principles of good governance for boards of directors are also covered.
A study on the chain restaurants dynamic negotiation games of the optimizatio...ijcsit
In the era of meager profit, production costs often become an important factor affecting SMEs’ operating
conditions, and how to effectively reduce production costs has become an issue of in-depth consideration
for the business owners. Especially, the food and beverage (F&B) industry cannot accurately predict the
demand. It many cause demand forecast fall and excess or insufficient inventory pressure. Companies of
the F&B industry may be even unable to meet immediate customer needs. They are faced great challenges
in quick response and inventory pressure. This study carried out the product inventory model analysis of
the most recent year’s sales data of the fresh food materials for chain restaurants in a supply chain region
with raw material suppliers and demanders. Moreover, this study adopted the multi-agent dynamic strategy
game to establish the joint procurement decision model negotiation algorithm for analysis and verification
by simulation cases to achieve the design of dynamic negotiation optimization mechanism for the joint
procurement of food materials. Coupled with supply chain management 3C theory for food material
inventory management, we developed the optimization method for determining the order quantities of the
chain restaurants. For product demand forecast, we applied the commonality model, production and
delivery capacity model, and the model of consumption and replenishment based on market demand
changes in categorization and development. Moreover, with the existence of dependencies between product
demands as the demand forecast basis, we determined the appropriate inventory model accordingly.
1) The study examines the economic importance of accounting information by analyzing how accounting data from financial statements can improve portfolio optimization for US equities.
2) Using a parametric portfolio policy method, the researchers modeled portfolio weights as a linear function of three accounting characteristics - accruals, change in earnings, and asset growth - and compared it to weights based on size, book-to-market, and momentum.
3) They found that the accounting-based portfolio generated an out-of-sample annual information ratio of 1.9 compared to 1.5 for the price-based portfolio, indicating accounting information provides valuable signals for optimizing equity investments.
An empirical analysis of efficiency of the nigerian capital marketAlexander Decker
This study analyzes the efficiency of the Nigerian capital market by testing whether professionally managed funds can beat the market index. Monthly return data from 2007 to 2011 for five banks was used to test the strong form efficiency. The market model was used to estimate residuals and test if abnormal returns of managed portfolios were significantly different from zero. The results found the abnormal returns of professionally managed portfolios were insignificantly different from zero, indicating the Nigerian stock market is efficient in the strong form. The findings recommend fully computerizing the stock exchange and brokerages to maintain strong form efficiency through timely access to price-sensitive information.
A non parametric analysis is performed in the banking industry in the Philippines. This study is of interest from several points of view. First, it is of use for those who are interested in understanding how Philippine banks performed prior and throughout the global financial crisis. The study will point to which banking models handled the financial crisis well. Secondly, this would be of interest for those who are interested in comparing and contrasting the performance of different types of banking models in the Asia Pacific. As more local banks consider expanding overseas, there are various options in terms of banking models to consider, branch to the subsidiary, commercial to universal, each with its strict regulatory guidelines. For a developing economy, such as the Philippines, we aim to show the impact of different models based on traditionally used inputs of measuring banking performance, and applying it to our non parametric model. The study‘s conclusions point to the universal banking model is the most consistently efficient models of banking in the Philippines.
This document discusses a study of factors that influence analysts' decisions when conducting fundamental analysis of stocks on the Tehran Stock Exchange. It begins by providing background on fundamental analysis and previous related research. The study aims to identify which of three factors - economy/market, industry, or firm-related - have the greatest influence on analysts' decisions. It uses a questionnaire to collect data from analysts and SPSS software to analyze the results. The results indicate that firm-related factors like earnings per share, profit margins, and price-to-earnings ratios have the highest importance, followed by economy/market factors and then industry factors.
This document discusses factors that influence the level of credit risk in Ethiopian commercial banks. It presents a conceptual framework that categorizes credit risk factors into three groups: quantity of credit risk, quality of credit risk management, and direction of credit risk.
The study uses a quantitative approach with descriptive and econometric techniques on data from 8 major Ethiopian banks from 1990-2012. Regression models are used to analyze the influence of factors in each group as well as a combined model.
The results show that quantity of risk and quality of risk management variables have more influence on credit risk levels, while direction variables have limited impact. Specifically, higher loan amounts, loan growth rates, and single borrower limits increased credit risk, while
Slides presentation for 5th international conference, jordan dimas kusuma-Dimas Kusuma
This document presents a study on building an early warning system for detecting banking crises in Indonesia's Islamic banking sector. The study aims to identify crisis periods using monthly data from 2004 to 2012 and evaluate filtering mechanisms to minimize false alarms. The researchers estimate the model using in-sample data and test it on out-of-sample data to assess the model's predictive ability. An Islamic banking sector fragility index is constructed using various macroeconomic indicators to monitor instability in the sector and help predict impending banking problems. The study finds the developed early warning system model can help predict the onset of banking crises like the 2008 global financial crisis.
El documento describe diferentes funciones y opciones de búsqueda avanzada en Google, incluyendo la capacidad de restringir resultados por fecha, tipo de contenido como imágenes, y búsquedas en diferentes idiomas y regiones. También menciona la función de Google Académico para buscar bibliografía especializada y el servicio Google Books para buscar texto completo de libros digitalizados.
This document is Emily Senkowsky's resume. It summarizes her theatrical experience, education, and special skills. She has performed in many musicals and plays in New York and regional theaters. She has a Bachelors in Music in Vocal Performance from NYU Steinhardt and has studied with numerous coaches. Her special skills include sight reading, harmonies, dialects, choral singing, and technical theater experience.
Guía n° 16 instrumentos de medición cuali y cuantiprofesorrene
Descripción de los principales instrumentos de medición de variables utilizados en los paradigmas Cualitativos( Positivismo) y Cualitativos(Naturalismo) .
Es un apoyo didáctico de común uso en las universidades de habla hispana.
Program pemerataan mutu pendidikan melalui pertukaran guru antara SMAN 1 Praya dan SMAN 1 Sukamulia tahun 2015, mencakup kegiatan on job learning, in house training, dan evaluasi untuk meningkatkan kompetensi kepala sekolah dan guru dalam bidang manajerial, kurikulum 2013, dan kemitraan sekolah.
Este documento presenta los contenidos de la Tarea No. 11 para estudiantes de séptimo grado en la Unidad Educativa Particular Terranova. Los contenidos incluyen fracciones generatriz, graficar decimales en la recta numérica, pares ordenados, potenciación de decimales y operaciones combinadas.
The Relationship Between Firm Investment and Financial StatusSudarshan Kadariya
This document summarizes a study that examined the relationship between firm investment and financial status using a sample of 1,317 public firms between 1987-1994. The study found that:
1) Firms classified as facing fewer financial constraints (NFC) had stronger financial ratios and investment sensitivity to cash flow compared to financially constrained (FC) firms.
2) Investment levels were more sensitive to internal cash flow for NFC firms compared to partially financially constrained and FC firms.
3) The study validated prior research finding that investment decisions of more creditworthy firms are more sensitive to internal funds availability.
Analysis of Fundamental Factors, Foreign Exchange and Interest Rate on Stock ...inventionjournals
ABSTRACT: This study purpose was to determine the effect of fundamental factors (Long-Term Debt to Equity Ratio, Quick Ratio, Total Assets Turn Over, Return on Equity, Price Earning Ratio) and macroeconomic factors (foreign exchange and interest rate) on stock return at manufacturing companies listed in Indonesia Stock Exchange for 2011-2013 periods. This study uses secondary data. Samples are 13 manufacturing companies listed in Indonesia Stock Exchange. This study results by F test shows that Long-Term Debt to Equity Ratio, Quick Ratio, Total Assets Turn Over, and Return on Equity, Price Earning Ratio, Foreign Exchange and Interest Rates has significant effect on stock returns. T test results show that Long-Term Debt to Equity Ratio, Quick Ratio, and Price Earning Ratio do not have significant effect on stock returns. While Total Asset Turn Over, Return on Equity, Foreign Exchange and Interest Rates have significant effect on stock returns.
This document summarizes a research study that examined the effect of earnings growth on market reaction to dividend change announcements of public firms in Indonesia from 2009-2013. The study found that earnings growth did not moderate the relationship between dividend change announcements and market reaction. This indicates that earnings growth was not informative enough to impact the relationship. This may be because operating cash flow information is more important than earnings growth, and some companies were found to engage in income smoothing, which reduced the value of reported earnings growth. The study used multiple linear regression to analyze the data of 58 companies. In conclusion, earnings growth did not strengthen the influence of dividend changes on stock returns in this sample of Indonesian public companies.
Security Analysts’ Views of the Financial Ratios of Manufacturers and Retailers Raju Basnet Chhetri
Analysts ranked growth rates as the most important ratios for analyzing manufacturers and retailers. Profitability ratios and valuation ratios were also highly ranked. The ranking of ratio groups differed between the two industries. For retailers, inventory and receivables turnover ratios were more highly ranked than cash flow and dividend ratios. For manufacturers, cash flow and dividend ratios were ranked higher. Eleven ratios were found to have statistically significant differences between the two industries, with R&D expense/sales, MV/BV, and price/sales being more important for manufacturers, and inventory and receivables turnover ratios being more important for retailers.
Crimson Publishers-The Risk Level of Viet Nam Listed Medical and Human Resou...CrimsonPublishers-SBB
The Risk Level of Viet Nam Listed Medical and Human
Resource Company Groups After the Global Crisis
2009-2011 by Dinh Tran Ngoc Huy in Significances of Bioengineering & Biosciences
International Journal of Business and Management Invention (IJBMI)inventionjournals
International Journal of Business and Management Invention (IJBMI) is an international journal intended for professionals and researchers in all fields of Business and Management. IJBMI publishes research articles and reviews within the whole field Business and Management, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online
Does the capital assets pricing model (capm) predicts stock market returns in...Alexander Decker
This document examines whether the Capital Asset Pricing Model (CAPM) can predict stock returns in Ghana using data from selected stocks on the Ghana Stock Exchange from 2006-2010. The results found no statistically significant relationship between actual and predicted returns, indicating CAPM with constant beta cannot explain differences in returns. It was also found that some stocks were on average undervalued while one was overvalued over the period studied. The conclusion is that the standard CAPM model cannot statistically explain the observed differences in actual and estimated returns of the selected Ghanaian stocks.
This document discusses issues with using econometric models for macro stress testing of credit portfolios. Specifically:
- Econometric models have limitations like insufficient data, unstable relationships between credit risk and macroeconomic variables, and inability to capture non-linear behavior in stressed conditions.
- An analysis of Hong Kong data from 1997-2007 illustrates these limitations, as default rates did not consistently correlate with macroeconomic factors during stressed periods.
- The document proposes a simple methodology for bank supervisors to estimate history-based stressed PDs for individual banks, using the highest observed default rate for the banking sector as a whole as a benchmark. This allows supervisors to validate banks' self-reported stressed PD estimates.
The document summarizes key topics from a presentation on chapter 6 about strategy analysis and choice. It discusses the strategy formulation process including the input, matching, and decision stages. Matrices used in strategy analysis are described such as EFE, CPM, IFE, SWOT, SPACE, BCG, IE, and QSPM. The roles and responsibilities of boards of directors in governance are also covered.
The document summarizes key topics from a presentation on chapter 6 about strategy analysis and choice. It discusses the strategy formulation process including the input, matching, and decision stages. Matrices used in strategy analysis are described such as EFE, CPM, IFE, SWOT, SPACE, BCG, IE, and QSPM. Governance issues and principles of good governance for boards of directors are also covered.
A study on the chain restaurants dynamic negotiation games of the optimizatio...ijcsit
In the era of meager profit, production costs often become an important factor affecting SMEs’ operating
conditions, and how to effectively reduce production costs has become an issue of in-depth consideration
for the business owners. Especially, the food and beverage (F&B) industry cannot accurately predict the
demand. It many cause demand forecast fall and excess or insufficient inventory pressure. Companies of
the F&B industry may be even unable to meet immediate customer needs. They are faced great challenges
in quick response and inventory pressure. This study carried out the product inventory model analysis of
the most recent year’s sales data of the fresh food materials for chain restaurants in a supply chain region
with raw material suppliers and demanders. Moreover, this study adopted the multi-agent dynamic strategy
game to establish the joint procurement decision model negotiation algorithm for analysis and verification
by simulation cases to achieve the design of dynamic negotiation optimization mechanism for the joint
procurement of food materials. Coupled with supply chain management 3C theory for food material
inventory management, we developed the optimization method for determining the order quantities of the
chain restaurants. For product demand forecast, we applied the commonality model, production and
delivery capacity model, and the model of consumption and replenishment based on market demand
changes in categorization and development. Moreover, with the existence of dependencies between product
demands as the demand forecast basis, we determined the appropriate inventory model accordingly.
1) The study examines the economic importance of accounting information by analyzing how accounting data from financial statements can improve portfolio optimization for US equities.
2) Using a parametric portfolio policy method, the researchers modeled portfolio weights as a linear function of three accounting characteristics - accruals, change in earnings, and asset growth - and compared it to weights based on size, book-to-market, and momentum.
3) They found that the accounting-based portfolio generated an out-of-sample annual information ratio of 1.9 compared to 1.5 for the price-based portfolio, indicating accounting information provides valuable signals for optimizing equity investments.
An empirical analysis of efficiency of the nigerian capital marketAlexander Decker
This study analyzes the efficiency of the Nigerian capital market by testing whether professionally managed funds can beat the market index. Monthly return data from 2007 to 2011 for five banks was used to test the strong form efficiency. The market model was used to estimate residuals and test if abnormal returns of managed portfolios were significantly different from zero. The results found the abnormal returns of professionally managed portfolios were insignificantly different from zero, indicating the Nigerian stock market is efficient in the strong form. The findings recommend fully computerizing the stock exchange and brokerages to maintain strong form efficiency through timely access to price-sensitive information.
A non parametric analysis is performed in the banking industry in the Philippines. This study is of interest from several points of view. First, it is of use for those who are interested in understanding how Philippine banks performed prior and throughout the global financial crisis. The study will point to which banking models handled the financial crisis well. Secondly, this would be of interest for those who are interested in comparing and contrasting the performance of different types of banking models in the Asia Pacific. As more local banks consider expanding overseas, there are various options in terms of banking models to consider, branch to the subsidiary, commercial to universal, each with its strict regulatory guidelines. For a developing economy, such as the Philippines, we aim to show the impact of different models based on traditionally used inputs of measuring banking performance, and applying it to our non parametric model. The study‘s conclusions point to the universal banking model is the most consistently efficient models of banking in the Philippines.
This document discusses a study of factors that influence analysts' decisions when conducting fundamental analysis of stocks on the Tehran Stock Exchange. It begins by providing background on fundamental analysis and previous related research. The study aims to identify which of three factors - economy/market, industry, or firm-related - have the greatest influence on analysts' decisions. It uses a questionnaire to collect data from analysts and SPSS software to analyze the results. The results indicate that firm-related factors like earnings per share, profit margins, and price-to-earnings ratios have the highest importance, followed by economy/market factors and then industry factors.
This document discusses factors that influence the level of credit risk in Ethiopian commercial banks. It presents a conceptual framework that categorizes credit risk factors into three groups: quantity of credit risk, quality of credit risk management, and direction of credit risk.
The study uses a quantitative approach with descriptive and econometric techniques on data from 8 major Ethiopian banks from 1990-2012. Regression models are used to analyze the influence of factors in each group as well as a combined model.
The results show that quantity of risk and quality of risk management variables have more influence on credit risk levels, while direction variables have limited impact. Specifically, higher loan amounts, loan growth rates, and single borrower limits increased credit risk, while
Slides presentation for 5th international conference, jordan dimas kusuma-Dimas Kusuma
This document presents a study on building an early warning system for detecting banking crises in Indonesia's Islamic banking sector. The study aims to identify crisis periods using monthly data from 2004 to 2012 and evaluate filtering mechanisms to minimize false alarms. The researchers estimate the model using in-sample data and test it on out-of-sample data to assess the model's predictive ability. An Islamic banking sector fragility index is constructed using various macroeconomic indicators to monitor instability in the sector and help predict impending banking problems. The study finds the developed early warning system model can help predict the onset of banking crises like the 2008 global financial crisis.
El documento describe diferentes funciones y opciones de búsqueda avanzada en Google, incluyendo la capacidad de restringir resultados por fecha, tipo de contenido como imágenes, y búsquedas en diferentes idiomas y regiones. También menciona la función de Google Académico para buscar bibliografía especializada y el servicio Google Books para buscar texto completo de libros digitalizados.
This document is Emily Senkowsky's resume. It summarizes her theatrical experience, education, and special skills. She has performed in many musicals and plays in New York and regional theaters. She has a Bachelors in Music in Vocal Performance from NYU Steinhardt and has studied with numerous coaches. Her special skills include sight reading, harmonies, dialects, choral singing, and technical theater experience.
Guía n° 16 instrumentos de medición cuali y cuantiprofesorrene
Descripción de los principales instrumentos de medición de variables utilizados en los paradigmas Cualitativos( Positivismo) y Cualitativos(Naturalismo) .
Es un apoyo didáctico de común uso en las universidades de habla hispana.
Program pemerataan mutu pendidikan melalui pertukaran guru antara SMAN 1 Praya dan SMAN 1 Sukamulia tahun 2015, mencakup kegiatan on job learning, in house training, dan evaluasi untuk meningkatkan kompetensi kepala sekolah dan guru dalam bidang manajerial, kurikulum 2013, dan kemitraan sekolah.
Este documento presenta los contenidos de la Tarea No. 11 para estudiantes de séptimo grado en la Unidad Educativa Particular Terranova. Los contenidos incluyen fracciones generatriz, graficar decimales en la recta numérica, pares ordenados, potenciación de decimales y operaciones combinadas.
Quantitative and qualitative analysis by hplc of major peganum harmala alkalo...Alexander Decker
The content and composition of major alkaloids in Peganum harmala varies significantly depending on the plant's developmental stage and organ. Analysis showed:
1) Roots contained the highest concentrations and greatest diversity of alkaloids, particularly harmine, which remained the most abundant molecule.
2) Alkaloid content generally increased during the first 3 weeks of growth and stabilized during vegetative growth before declining at flowering.
3) Optimal exploitation of P. harmala's alkaloids is harvesting plant material during vegetative growth when organs are richest.
Result oriented target setting and leading high performance teamsAlexander Decker
This document discusses result oriented target setting and leading high performance teams. It begins by defining result oriented target setting based on goal setting theory of motivation. It states that specific, difficult goals with feedback can lead to higher performance if employees are committed to achieving them. It also discusses different types of teams like self-managed teams, cross-functional teams, and virtual teams. It identifies factors that affect team effectiveness like organizational environment, team design, and team processes. Overall, the document emphasizes that setting results-oriented goals and effective team leadership are important for organizational effectiveness.
Role of trade associations how does it affect entrepreneurial framework condi...Alexander Decker
The document discusses how trade associations in Nigeria's transport industry can influence entrepreneurial conditions through both pro-competitive and anti-competitive roles. A study was conducted of 144 trade associations and 657 related organizations using questionnaires to determine the extent of influence. The results showed that anti-competitive roles had a significantly higher mean score than pro-competitive roles, suggesting they negatively impact entrepreneurial conditions more. The document recommends that government measures aim to inhibit anti-competitive roles while promoting pro-competitive ones among trade associations.
Mutual fund performance an analysis of monthly returns of an emerging marketAlexander Decker
1) The document analyzes the monthly performance of over 15 growth-oriented mutual funds on the Dhaka Stock Exchange of Bangladesh compared to benchmark returns.
2) Risk-adjusted performance measures like the Jensen, Treynor, and Sharpe ratios were used to evaluate performance. Most funds performed better on the Jensen and Treynor measures but not as well on the Sharpe ratio.
3) The analysis found that very few funds were well-diversified and reduced unique risk. Growth funds did not outperform in terms of total risk and did not provide the benefits of diversification and professional management that investors seek. Therefore, mutual funds cannot always outperform the market through their expertise.
The document summarizes research on value investing in emerging markets. It finds that:
1) A simple valuation model can identify emerging markets with higher expected returns compared to average emerging markets.
2) A portfolio of "undervalued" emerging markets identified by the model generates superior returns compared to benchmarks, with statistical significance.
3) Risk measures of the portfolio of undervalued emerging markets are close to risk measures of broader emerging market benchmarks, implying the higher returns are not compensated by significantly higher risk.
This document analyzes the performance of selected mutual fund schemes in India between March 2011 and February 2012. Various risk-return models are used to evaluate the schemes, including Treynor ratio, Sharpe ratio, and Jensen's alpha. The analysis finds that most schemes outperformed the benchmark index based on the risk-return measures, with some public sector schemes demonstrating higher returns relative to their risk than private sector schemes. However, statistical testing did not show a significant difference in the average returns of public versus private growth schemes over the period studied.
A Study on Measures the Return and Volatility of Selected Securities in Indiaijtsrd
The study aims to understand the Return and Risk associated with FMCG stock during the period of FY 2020 2021. Here 3 FMCG stocks are chosen from NSE stock exchange and collected the data. To analyze the risk and return, standard deviation tools applied. The research finds that the Dabur India Ltd and Colgate Palmolive was generated the good returns with smaller amount deviations. So, this stock was safest players in the market. At a same time Hindustan Unilever was not generated the less amount of returns with high deviations. So this stock was not safest player in the market. P Viswanatha Reddy | Dr. Nalla Bala Kalyan "A Study on Measures the Return and Volatility of Selected Securities in India" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-6 | Issue-1 , December 2021, URL: https://www.ijtsrd.com/papers/ijtsrd47966.pdf Paper URL: https://www.ijtsrd.com/management/risk-management/47966/a-study-on-measures-the-return-and-volatility-of-selected-securities-in-india/p-viswanatha-reddy
- The document discusses the performance of the DSP Quant Fund, an equity scheme that invests based on a quantitative model.
- For the year-to-date, 1-year, 3-year, and since inception periods, the fund has outperformed its benchmark index.
- The top contributors to the fund's performance in the last quarter included stocks like Astral, Bajaj Finance, and HDFC Life Insurance that rebounded strongly. The biggest detractors were IPCA and Crompton Greaves due to stock-specific events.
- Combining multiple investment factors like quality, growth, and value into the fund's model has provided more diversification than single-factor strategies and led to
- The document discusses the performance of the DSP Quant Fund, an equity scheme that invests based on a quantitative model.
- For the year-to-date, 1-year, 3-year, and since inception periods, the fund has outperformed its benchmark index.
- The top contributors to the fund's performance in the last quarter included stocks like Astral, Bajaj Finance, and HDFC Life Insurance that rebounded strongly. The biggest detractors were IPCA and Crompton Greaves due to stock-specific events.
- Combining multiple investment factors into the fund's model provides diversification benefits compared to relying on single factors alone. Eliminating stocks based on multiple criteria also
International Journal of Business and Management Invention (IJBMI)inventionjournals
This document summarizes a study that examined the determinants of credit risk in the Tunisian banking sector from 2003-2011. The study found that:
1) Performance, audit opinion, and audit quality were significant determinants of credit risk levels in banks, with higher performance, unqualified audit opinions, and audits by large accounting firms associated with lower credit risk.
2) Information quality, as proxied by discretionary accruals, was not found to be related to credit risk levels.
3) The study tested these relationships using an ordinary least squares regression model with credit risk as the dependent variable and information quality, performance, size, listing status, audit opinion, and audit quality as independent variables
International Journal of Business and Management Invention (IJBMI)inventionjournals
International Journal of Business and Management Invention (IJBMI) is an international journal intended for professionals and researchers in all fields of Business and Management. IJBMI publishes research articles and reviews within the whole field Business and Management, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online.
International Journal of Business and Management Invention (IJBMI)inventionjournals
The document summarizes a study that examined the determinants of credit risk in the Tunisian banking sector from 2003-2011. The study found that performance, audit opinion, and audit quality were significant determinants of credit risk levels, with higher performance, unqualified audit opinions, and audits by big four firms associated with lower credit risk. However, information quality measured by discretionary accruals was not found to be related to credit risk. The study used regression analysis to test the relationship between credit risk and various independent variables like information quality, performance, size, listing status, audit opinion, and audit quality.
Enhanced Decision Support System for Portfolio Management Using Financial Ind...ijbiss
This document describes a decision support system for portfolio management that uses financial indicators to recommend stocks for purchase or sale. The system analyzes data from the Iranian stock market from 2001-2011. It first groups stocks and then calculates eight common financial indicators for each stock, including RSI, CCI, EMV, and ROC. These indicators predict whether a stock is oversold (good to buy) or overbought (good to sell). The system ranks stocks for each group based on the indicators and recommends the top 5 stocks to buy and 5 to sell, providing purchase and sale suggestions with high accuracy.
Returns on financial assets in the stock markets are affected daily by different types of risk, both
internal (systematic) and external (idiosyncratic), to anticipate the possible risks, investors look for tools that
allow them to know the behavior of the market and at the same time identify the risks in which they are
immersed in order to maintain a profitability in the portfolios of investment; t
The document analyzes the performance of public and private sector mutual funds in India from 2009 to 2011. It evaluates the funds using various risk-adjusted return measures like the Sharpe ratio, Treynor ratio, and Jensen's alpha. The key findings are:
1) The SBI mutual fund had the highest average return of 10.40% for equity funds and 7.98% for balanced funds over the period.
2) The UTI mutual fund generated the highest Sharpe ratio of 6.57% for equity funds and 11.17% for balanced funds.
3) Most funds were able to provide excess returns over the expected market return based on their systematic risk, according to the Tre
A STUDY ON PROBLEMS AND DIFFICULTIES FACED BY LIC AGENTS WHILE SELLING INSURANCEHeather Strinden
This document summarizes a research study on the problems and difficulties faced by Life Insurance Corporation of India (LIC) agents in selling insurance policies in Kangeyam, Tamil Nadu, India. The study used a questionnaire to collect primary data from 100 LIC agents through quota sampling. Statistical analysis methods like percentage analysis and weighted ranking were used to analyze the data. The study found that agents were satisfied with commissions and benefits from LIC but not satisfied with medical claim policies and settlement times. It also examined socioeconomic factors of agents and problems faced in meeting with customers.
This research aims to identify and analyze the effect of Capital Adequacy Ratio (CAR), Operation Expense (BOPO), Net Interest Margin (NIM), and Non Performing Loan (NPL) of the Loan to Deposit Ratio (LDR) of conventional bank on the Indonesia Stock Exchange period 2012 – 2017, either simultaneously or partially. Independent variables used in this study is CAR, BOPO, NIM and NPL, while LDR as the dependent variable.The population in this research is conventional bank listed on the Indonesia Stock Exchange. The sampling technique in this research is purposive sampling. The number of samples in accordance with the prescribed criteria are as many as 35 samples. Based on the result of the research found that the variable CAR influences negatively insignificantly toward LDR, BOPO and NIM influences positively insignificantly toward LDR, while the variable NPL influences positively significantly toward CAR. But simultaneously CAR, BOPO, NIM, and NPL jointly affect the LDR.
Risk adjustment performance analysis of dse listed companies a case study on ...Enamul Islam
This document provides an overview of a presentation on analyzing the risk-adjusted performance of mutual funds listed on the Dhaka Stock Exchange in Bangladesh. The presentation is given by Md. Enamul Islam Shemul, a student at Patuakhali Science and Technology University. The selected topic is on measuring the risk-adjusted performance of mutual funds using various metrics like Sharpe ratio, Treynor ratio, Jensen's alpha, and selectivity. The document outlines the objectives, methodology, conceptual framework, analysis of return, risk measures, risk-adjusted performance results, findings and conclusion of the study.
This document discusses various concepts related to equity analysis and investment styles. It covers two approaches to equity analysis: fundamental analysis and technical analysis. It also discusses different investment styles like growth, value, passive and active management. It defines various risk metrics used to evaluate mutual funds like beta, standard deviation, Sharpe ratio and Treynor ratio. It also provides examples of calculations for various returns like absolute return, annualized return and CAGR.
An Empirical Assessment of Capital Asset Pricing Model with Reference to Nati...ijtsrd
"This study concentrates on empirical assessment of Capital Asset Pricing Model CAPM on the National Stock Exchange NSE . CAPM assists to determine a well diversified portfolio. The main objective of this research paper is to check the applicability of Nobel laureate’s model in Indian equity market by testing the relationship between risk and return, whether there is any direct proportionality in the expected rate of return and its systematic risk. It relates its results by using the beta systematic risk as a measuring factor. The study was being conducted for a period of 260 weeks from 7 April 2013 to 25 March 2018. 45 companies from NSE were picked as a proxy for the market portfolio. This research was done by using regression analysis on stocks and portfolio to find out the final results. Research of this study nullifies that this model is applicable to the Indian market and also contradicts its expected return and systematic risk which are linearly related to each other. Miss. Yashashri Shinde | Miss. Teja Mane ""An Empirical Assessment of Capital Asset Pricing Model with Reference to National Stock Exchange"" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Special Issue | Fostering Innovation, Integration and Inclusion Through Interdisciplinary Practices in Management , March 2019, URL: https://www.ijtsrd.com/papers/ijtsrd23105.pdf
Paper URL: https://www.ijtsrd.com/management/public-sector-management/23105/an-empirical-assessment-of-capital-asset-pricing-model-with-reference-to-national-stock-exchange/miss-yashashri-shinde"
ENHANCED DECISION SUPPORT SYSTEM FOR PORTFOLIO MANAGEMENT USING FINANCIAL IND...ijbiss
In many cases, financial indicators are used for market analysis and to forecast the future of stock prices.
Due to the high complexity of the stock market, determining which indicators should be used and the
reliability of their outcomes have always been a challenge. In this article, a hybrid approach in the form of
a decision support system is being introduced that offers the best suggestions in buying and selling stocks.
This system will help an investor to identify the best portfolio of stocks using a series of financial
indicators. These indices act as a model that forecast the future price of a stock by examining its activities
and status in the past. Therefore, using a combination of the indices enables us to make decisions with
more certainty. Proficiency of this system has been evaluated through the collection of data from the stock
market in Iran from 2001 through 2011. The results show that the use of indices and their combination
have led to the decision support system to produce suggestions with very high precisions.
This statistical analysis report examines IGI's position in Pakistan's insurance market and analyzes profitability and risk segmentation in the fire industry. Section 1 analyzes the top insurance companies based on underwriting profits and gross premiums from 2005-2013. IGI shows inconsistent underwriting growth trends compared to other mid-sized companies that generally see premium growth boost underwriting. Section 2 will segment fire industries based on profitability ratios to identify low-risk industries for IGI to target. The report aims to link the sections to improve IGI's underwriting profits and profitability through its fire premium portfolio. Regression analysis is conducted to determine the impact of various factors like premium, claims, and commissions on underwriting profits for different companies.
This document outlines the methodology used to analyze the relationship between company performance and risk disclosure in annual reports. Performance is measured as the change in net income and stock price. Risk disclosure is measured using proxies like number of pages/words about risk and number of times "risk" is mentioned. The study examines 24 Dutch AEX companies' annual reports from 2006-2007. It tests if 1) change in performance correlates with change in risk disclosure and 2) stability of performance correlates with risk disclosure. Multiple steps are taken, including calculating correlations both with and without financial companies.
Similar to Risk adjusted performance analysis of nbf is in dhaka stock exchange (20)
Abnormalities of hormones and inflammatory cytokines in women affected with p...Alexander Decker
Women with polycystic ovary syndrome (PCOS) have elevated levels of hormones like luteinizing hormone and testosterone, as well as higher levels of insulin and insulin resistance compared to healthy women. They also have increased levels of inflammatory markers like C-reactive protein, interleukin-6, and leptin. This study found these abnormalities in the hormones and inflammatory cytokines of women with PCOS ages 23-40, indicating that hormone imbalances associated with insulin resistance and elevated inflammatory markers may worsen infertility in women with PCOS.
A usability evaluation framework for b2 c e commerce websitesAlexander Decker
This document presents a framework for evaluating the usability of B2C e-commerce websites. It involves user testing methods like usability testing and interviews to identify usability problems in areas like navigation, design, purchasing processes, and customer service. The framework specifies goals for the evaluation, determines which website aspects to evaluate, and identifies target users. It then describes collecting data through user testing and analyzing the results to identify usability problems and suggest improvements.
A universal model for managing the marketing executives in nigerian banksAlexander Decker
This document discusses a study that aimed to synthesize motivation theories into a universal model for managing marketing executives in Nigerian banks. The study was guided by Maslow and McGregor's theories. A sample of 303 marketing executives was used. The results showed that managers will be most effective at motivating marketing executives if they consider individual needs and create challenging but attainable goals. The emerged model suggests managers should provide job satisfaction by tailoring assignments to abilities and monitoring performance with feedback. This addresses confusion faced by Nigerian bank managers in determining effective motivation strategies.
A unique common fixed point theorems in generalized dAlexander Decker
This document presents definitions and properties related to generalized D*-metric spaces and establishes some common fixed point theorems for contractive type mappings in these spaces. It begins by introducing D*-metric spaces and generalized D*-metric spaces, defines concepts like convergence and Cauchy sequences. It presents lemmas showing the uniqueness of limits in these spaces and the equivalence of different definitions of convergence. The goal of the paper is then stated as obtaining a unique common fixed point theorem for generalized D*-metric spaces.
A trends of salmonella and antibiotic resistanceAlexander Decker
This document provides a review of trends in Salmonella and antibiotic resistance. It begins with an introduction to Salmonella as a facultative anaerobe that causes nontyphoidal salmonellosis. The emergence of antimicrobial-resistant Salmonella is then discussed. The document proceeds to cover the historical perspective and classification of Salmonella, definitions of antimicrobials and antibiotic resistance, and mechanisms of antibiotic resistance in Salmonella including modification or destruction of antimicrobial agents, efflux pumps, modification of antibiotic targets, and decreased membrane permeability. Specific resistance mechanisms are discussed for several classes of antimicrobials.
A transformational generative approach towards understanding al-istifhamAlexander Decker
This document discusses a transformational-generative approach to understanding Al-Istifham, which refers to interrogative sentences in Arabic. It begins with an introduction to the origin and development of Arabic grammar. The paper then explains the theoretical framework of transformational-generative grammar that is used. Basic linguistic concepts and terms related to Arabic grammar are defined. The document analyzes how interrogative sentences in Arabic can be derived and transformed via tools from transformational-generative grammar, categorizing Al-Istifham into linguistic and literary questions.
A time series analysis of the determinants of savings in namibiaAlexander Decker
This document summarizes a study on the determinants of savings in Namibia from 1991 to 2012. It reviews previous literature on savings determinants in developing countries. The study uses time series analysis including unit root tests, cointegration, and error correction models to analyze the relationship between savings and variables like income, inflation, population growth, deposit rates, and financial deepening in Namibia. The results found inflation and income have a positive impact on savings, while population growth negatively impacts savings. Deposit rates and financial deepening were found to have no significant impact. The study reinforces previous work and emphasizes the importance of improving income levels to achieve higher savings rates in Namibia.
A therapy for physical and mental fitness of school childrenAlexander Decker
This document summarizes a study on the importance of exercise in maintaining physical and mental fitness for school children. It discusses how physical and mental fitness are developed through participation in regular physical exercises and cannot be achieved solely through classroom learning. The document outlines different types and components of fitness and argues that developing fitness should be a key objective of education systems. It recommends that schools ensure pupils engage in graded physical activities and exercises to support their overall development.
A theory of efficiency for managing the marketing executives in nigerian banksAlexander Decker
This document summarizes a study examining efficiency in managing marketing executives in Nigerian banks. The study was examined through the lenses of Kaizen theory (continuous improvement) and efficiency theory. A survey of 303 marketing executives from Nigerian banks found that management plays a key role in identifying and implementing efficiency improvements. The document recommends adopting a "3H grand strategy" to improve the heads, hearts, and hands of management and marketing executives by enhancing their knowledge, attitudes, and tools.
This document discusses evaluating the link budget for effective 900MHz GSM communication. It describes the basic parameters needed for a high-level link budget calculation, including transmitter power, antenna gains, path loss, and propagation models. Common propagation models for 900MHz that are described include Okumura model for urban areas and Hata model for urban, suburban, and open areas. Rain attenuation is also incorporated using the updated ITU model to improve communication during rainfall.
A synthetic review of contraceptive supplies in punjabAlexander Decker
This document discusses contraceptive use in Punjab, Pakistan. It begins by providing background on the benefits of family planning and contraceptive use for maternal and child health. It then analyzes contraceptive commodity data from Punjab, finding that use is still low despite efforts to improve access. The document concludes by emphasizing the need for strategies to bridge gaps and meet the unmet need for effective and affordable contraceptive methods and supplies in Punjab in order to improve health outcomes.
A synthesis of taylor’s and fayol’s management approaches for managing market...Alexander Decker
1) The document discusses synthesizing Taylor's scientific management approach and Fayol's process management approach to identify an effective way to manage marketing executives in Nigerian banks.
2) It reviews Taylor's emphasis on efficiency and breaking tasks into small parts, and Fayol's focus on developing general management principles.
3) The study administered a survey to 303 marketing executives in Nigerian banks to test if combining elements of Taylor and Fayol's approaches would help manage their performance through clear roles, accountability, and motivation. Statistical analysis supported combining the two approaches.
A survey paper on sequence pattern mining with incrementalAlexander Decker
This document summarizes four algorithms for sequential pattern mining: GSP, ISM, FreeSpan, and PrefixSpan. GSP is an Apriori-based algorithm that incorporates time constraints. ISM extends SPADE to incrementally update patterns after database changes. FreeSpan uses frequent items to recursively project databases and grow subsequences. PrefixSpan also uses projection but claims to not require candidate generation. It recursively projects databases based on short prefix patterns. The document concludes by stating the goal was to find an efficient scheme for extracting sequential patterns from transactional datasets.
A survey on live virtual machine migrations and its techniquesAlexander Decker
This document summarizes several techniques for live virtual machine migration in cloud computing. It discusses works that have proposed affinity-aware migration models to improve resource utilization, energy efficient migration approaches using storage migration and live VM migration, and a dynamic consolidation technique using migration control to avoid unnecessary migrations. The document also summarizes works that have designed methods to minimize migration downtime and network traffic, proposed a resource reservation framework for efficient migration of multiple VMs, and addressed real-time issues in live migration. Finally, it provides a table summarizing the techniques, tools used, and potential future work or gaps identified for each discussed work.
A survey on data mining and analysis in hadoop and mongo dbAlexander Decker
This document discusses data mining of big data using Hadoop and MongoDB. It provides an overview of Hadoop and MongoDB and their uses in big data analysis. Specifically, it proposes using Hadoop for distributed processing and MongoDB for data storage and input. The document reviews several related works that discuss big data analysis using these tools, as well as their capabilities for scalable data storage and mining. It aims to improve computational time and fault tolerance for big data analysis by mining data stored in Hadoop using MongoDB and MapReduce.
1. The document discusses several challenges for integrating media with cloud computing including media content convergence, scalability and expandability, finding appropriate applications, and reliability.
2. Media content convergence challenges include dealing with the heterogeneity of media types, services, networks, devices, and quality of service requirements as well as integrating technologies used by media providers and consumers.
3. Scalability and expandability challenges involve adapting to the increasing volume of media content and being able to support new media formats and outlets over time.
This document surveys trust architectures that leverage provenance in wireless sensor networks. It begins with background on provenance, which refers to the documented history or derivation of data. Provenance can be used to assess trust by providing metadata about how data was processed. The document then discusses challenges for using provenance to establish trust in wireless sensor networks, which have constraints on energy and computation. Finally, it provides background on trust, which is the subjective probability that a node will behave dependably. Trust architectures need to be lightweight to account for the constraints of wireless sensor networks.
This document discusses private equity investments in Kenya. It provides background on private equity and discusses trends in various regions. The objectives of the study discussed are to establish the extent of private equity adoption in Kenya, identify common forms of private equity utilized, and determine typical exit strategies. Private equity can involve venture capital, leveraged buyouts, or mezzanine financing. Exits allow recycling of capital into new opportunities. The document provides context on private equity globally and in developing markets like Africa to frame the goals of the study.
This document discusses a study that analyzes the financial health of the Indian logistics industry from 2005-2012 using Altman's Z-score model. The study finds that the average Z-score for selected logistics firms was in the healthy to very healthy range during the study period. The average Z-score increased from 2006 to 2010 when the Indian economy was hit by the global recession, indicating the overall performance of the Indian logistics industry was good. The document reviews previous literature on measuring financial performance and distress using ratios and Z-scores, and outlines the objectives and methodology used in the current study.
[To download this presentation, visit:
https://www.oeconsulting.com.sg/training-presentations]
This presentation is a curated compilation of PowerPoint diagrams and templates designed to illustrate 20 different digital transformation frameworks and models. These frameworks are based on recent industry trends and best practices, ensuring that the content remains relevant and up-to-date.
Key highlights include Microsoft's Digital Transformation Framework, which focuses on driving innovation and efficiency, and McKinsey's Ten Guiding Principles, which provide strategic insights for successful digital transformation. Additionally, Forrester's framework emphasizes enhancing customer experiences and modernizing IT infrastructure, while IDC's MaturityScape helps assess and develop organizational digital maturity. MIT's framework explores cutting-edge strategies for achieving digital success.
These materials are perfect for enhancing your business or classroom presentations, offering visual aids to supplement your insights. Please note that while comprehensive, these slides are intended as supplementary resources and may not be complete for standalone instructional purposes.
Frameworks/Models included:
Microsoft’s Digital Transformation Framework
McKinsey’s Ten Guiding Principles of Digital Transformation
Forrester’s Digital Transformation Framework
IDC’s Digital Transformation MaturityScape
MIT’s Digital Transformation Framework
Gartner’s Digital Transformation Framework
Accenture’s Digital Strategy & Enterprise Frameworks
Deloitte’s Digital Industrial Transformation Framework
Capgemini’s Digital Transformation Framework
PwC’s Digital Transformation Framework
Cisco’s Digital Transformation Framework
Cognizant’s Digital Transformation Framework
DXC Technology’s Digital Transformation Framework
The BCG Strategy Palette
McKinsey’s Digital Transformation Framework
Digital Transformation Compass
Four Levels of Digital Maturity
Design Thinking Framework
Business Model Canvas
Customer Journey Map
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How MJ Global Leads the Packaging Industry.pdfMJ Global
MJ Global's success in staying ahead of the curve in the packaging industry is a testament to its dedication to innovation, sustainability, and customer-centricity. By embracing technological advancements, leading in eco-friendly solutions, collaborating with industry leaders, and adapting to evolving consumer preferences, MJ Global continues to set new standards in the packaging sector.
How are Lilac French Bulldogs Beauty Charming the World and Capturing Hearts....Lacey Max
“After being the most listed dog breed in the United States for 31
years in a row, the Labrador Retriever has dropped to second place
in the American Kennel Club's annual survey of the country's most
popular canines. The French Bulldog is the new top dog in the
United States as of 2022. The stylish puppy has ascended the
rankings in rapid time despite having health concerns and limited
color choices.”
Starting a business is like embarking on an unpredictable adventure. It’s a journey filled with highs and lows, victories and defeats. But what if I told you that those setbacks and failures could be the very stepping stones that lead you to fortune? Let’s explore how resilience, adaptability, and strategic thinking can transform adversity into opportunity.
Discover timeless style with the 2022 Vintage Roman Numerals Men's Ring. Crafted from premium stainless steel, this 6mm wide ring embodies elegance and durability. Perfect as a gift, it seamlessly blends classic Roman numeral detailing with modern sophistication, making it an ideal accessory for any occasion.
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Brian Fitzsimmons on the Business Strategy and Content Flywheel of Barstool S...Neil Horowitz
On episode 272 of the Digital and Social Media Sports Podcast, Neil chatted with Brian Fitzsimmons, Director of Licensing and Business Development for Barstool Sports.
What follows is a collection of snippets from the podcast. To hear the full interview and more, check out the podcast on all podcast platforms and at www.dsmsports.net
Industrial Tech SW: Category Renewal and CreationChristian Dahlen
Every industrial revolution has created a new set of categories and a new set of players.
Multiple new technologies have emerged, but Samsara and C3.ai are only two companies which have gone public so far.
Manufacturing startups constitute the largest pipeline share of unicorns and IPO candidates in the SF Bay Area, and software startups dominate in Germany.
The Genesis of BriansClub.cm Famous Dark WEb PlatformSabaaSudozai
BriansClub.cm, a famous platform on the dark web, has become one of the most infamous carding marketplaces, specializing in the sale of stolen credit card data.
Part 2 Deep Dive: Navigating the 2024 Slowdownjeffkluth1
Introduction
The global retail industry has weathered numerous storms, with the financial crisis of 2008 serving as a poignant reminder of the sector's resilience and adaptability. However, as we navigate the complex landscape of 2024, retailers face a unique set of challenges that demand innovative strategies and a fundamental shift in mindset. This white paper contrasts the impact of the 2008 recession on the retail sector with the current headwinds retailers are grappling with, while offering a comprehensive roadmap for success in this new paradigm.
IMPACT Silver is a pure silver zinc producer with over $260 million in revenue since 2008 and a large 100% owned 210km Mexico land package - 2024 catalysts includes new 14% grade zinc Plomosas mine and 20,000m of fully funded exploration drilling.
How to Implement a Strategy: Transform Your Strategy with BSC Designer's Comp...Aleksey Savkin
The Strategy Implementation System offers a structured approach to translating stakeholder needs into actionable strategies using high-level and low-level scorecards. It involves stakeholder analysis, strategy decomposition, adoption of strategic frameworks like Balanced Scorecard or OKR, and alignment of goals, initiatives, and KPIs.
Key Components:
- Stakeholder Analysis
- Strategy Decomposition
- Adoption of Business Frameworks
- Goal Setting
- Initiatives and Action Plans
- KPIs and Performance Metrics
- Learning and Adaptation
- Alignment and Cascading of Scorecards
Benefits:
- Systematic strategy formulation and execution.
- Framework flexibility and automation.
- Enhanced alignment and strategic focus across the organization.
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Risk adjusted performance analysis of nbf is in dhaka stock exchange
1. Research Journal of Finance and Accounting
ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online)
Vol.4, No.13, 2013
www.iiste.org
Risk Adjusted Performance Analysis of NBFIs in Dhaka Stock
Exchange
Md. Zakir Hosen1*, Md. Takibur Rahman 1, Kumar Debasis Dutta2
1. Department of Accounting & Information Systems, Patuakhali Science and Technology University,
Bangladesh
2. Department of Finance and Banking, Patuakhali Science and Technology University, Bangladesh
* E-mail of the corresponding author: zakir@pstu.ac.bd
Abstract
Non-Bank Financial Institutions (NBFIs) are emerging day by day as an integral part of the Bangladesh
economy. For establishing a vibrant capital market along with the BFIs, existence and involvement of NBFIs
have immense importance in a growing economy like Bangladesh. So the performance of NBFI is becoming a
focal point for this developing economy. This paper aimed at measuring risk-adjusted performance of 19 NBFIs
listed in Dhaka Stock Exchange (DSE) based on their month-end closing price. For this purpose various risk
measuring tools have been used. Return of about 53% selected NBFIs found superior as compared to benchmark,
DSI (DSE all Share Index). It is found that despite some constraints, the industry as a whole is performing
reasonably better. NBFIs can be the key player of financial intermediation if they are provided with adequate
assistance.
Keyword: NBFIs, Performance, Risk Adjusted, Stock Exchange
1. Introduction
NBFIs represent one of the most important parts of a financial system. In Bangladesh, NBFIs are new in the
financial system as compared to banking financial institutions (BFIs). Starting from the IPDC in 1981, a total of
22 NBFIs are listed in DSE. The NBFIs industry in Bangladesh consists of primarily the development financial
institutions, leasing companies, investment companies and merchant banks. At this backdrop, in order to ensure
flow of term loans and to meet the credit gap, NBFIs can play an important role. This paper attempts to depict a
present scenario of NBFIs in Bangladesh, its market performance, and assessment of risk and return elements.
To analyze the industry scenario some traditional techniques are used here to measure the performance in terms
of risk and return where these are calculated separately. But to measure risk adjusted performance of the share of
NBFIs, the risk-return relation models given by Sharpe (1966), Treynor (1965) and Jensen (1968) have been
applied in which return is measured in terms of risk taken or absorbed. Therefore in this paper we have used
traditional and risk adjusted performance measuring tools to measure the performance of selected NBFIs by
decomposing systematic and unsystematic risks.
2. Literature Review
Though Extensive research has been conducted on NBFIs in Bangladesh, but most of them are focused on the
role of NBFIs in Bangladesh economy. For instance Ahmed, N. Chowdhury, M. I. (2007) did an analytical
review of NBFIs and Hossain, M., Shahiduzzaman (2003) conducted a study on “Development of Non Bank
Financial Institution to strengthen the financial system of Bangladesh”. However, very limited studies have been
conducted to evaluate the performance which reflects the risk return characteristics of NBSIs of Bangladesh and
compare them to the market benchmark.
3. Methodology of the study
3.1. Sample selection:
This study is mainly consisted of secondary data such as websites of DSE, SEC and respective NBFIs. We used
convenient sampling technique and analyzed the selected NBFIs over the closest period of time. The sample is
collected from population having at least three years of operation starting from 2009 to 2011. Thereby, 19
companies were selected out of 22 listed NBFIs, whereas there 31 NBFIs are in operation. On the basis of
regular data availability for past 36 months NBFIs were selected for the study (appendix 1).
3.2. Selection of Index
DSE has three indices namely DSI (DSE all Share Index), DSE 20 (include top 20 share or blue chips), DSE
general (except Z category) index. As the DSI is served as a benchmark and barometer for all shares category, it
is being used in this study.
3.3. Analysis of data
The following tools and techniques used to measure the Risk, Return and performance of NBFIs:
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2. Research Journal of Finance and Accounting
ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online)
Vol.4, No.13, 2013
www.iiste.org
Table 1: Tools used in the paper
Performance Measure
Tools
Equation
CL.Pt − CL.Pt −1 + D
R st =
CL.Pt −1
Return
Return (Ignoring Dividend Yield)
Mean Return
Rs =
CL.Pt − CL.Pt −1
CL.Pt −1
R st =
n
Traditional
Measure
∑
t =1
Return
Market Return
R mt =
Mean Return of market portfolio
Rm =
R St
n
I t − I t −1
I t −1
n
∑
t −1
R mt
n
Annualized rate of return
(1 + Average Monthly Return) 12 − 1
Expected return
Ki = Krf +β (Km- Krf)
Standard deviation
σ=
Systematic risk
(σj)(ρjM)
Unsystematic risk
σj(1-ρjM)
Variance
σ2 =
Σ(R st − R s ) 2
N -1
Σ(R st − R s ) 2
N -1
CV =
Traditional Risk Measure Coefficient of variation
Covariance
σ
Rs
COVij =
Σ(R i − R i )(R j − R j )
N −1
COVij
Coefficient of correlation
rij =
Beta Coefficient
β im =
σi × σ j
COVim
σ2
m
AR P − AR F
σP
Sharpe Ratio
AR P − AR F
βP
Risk
Adjusted
Treynor Ratio
Performance Measure
Jensen Alpha
Fama’s net selectivity
αp = Rp – E(Rp)
Rp – [Rf + (σi/σm)(Rm - Rf)]
4. Results and Discussion
4.1. Return earned by the NBFIs in Bangladesh
In table 2, we have calculated the return earned by the NBFIs as against the return on the stock market index for
the period from January 2009 to December 2011. Using traditional return measurement tools, return for the
individual NBFI and the market has been calculated based on monthly average and monthly index value (DSI),
respectively (Table 1).
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3. Research Journal of Finance and Accounting
ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online)
Vol.4, No.13, 2013
www.iiste.org
Table 2: Annualized return of the NBFIs
NBFIs
Annualized Return Return below market Return above market
DSI
29.80%
IDLC
12.62%
√
ULC
29.79%
√
MIDASFIN
35.30%
√
FLEASEINT 92.40%
√
PRFIN
41.26%
√
PRMLEA
63.19%
√
ISLFIN
15.82%
√
ILFSL
34.55%
√
ICB
27.92%
√
BDFIN
-9.39%
√
UTTFIN
41.40%
√
LBFIN
16.45%
√
BIFC
31.17%
√
IPDC
0.39%
√
UNICAP
5.95%
√
PHNXFIN
50.73%
√
FASFIN
41.29%
√
DBH
38.34%
√
NHFIL
16.88%
√
Percentage
9/19= 47.36%
10/19= 52.64%
It is observed that FLEASEINT has the highest return followed by PRMLEA, PHNXFIN, PRFIN, UTTFIN, and
FASFIN. The top four returns are ranging from 92.4% to 41.4%. Out of 19 companies 10 companies (52.64%)
have mean return above their corresponding market return which is fairly a good indicator. However, returns of 9
shares are below the market. Among which, IPDC has very low return in comparison with others. The worst
performer is BDFIN which has negative return. Except IPDC, UNICAP and BDFIN have usual and moderate
return. The comparative scenario of return among the selected NBFIs and DSI give an idea that the industry is
performing well on an average.
4.2. Risk associated with the NBFIs
Absolute measure of risk:
Standard deviation measures the total risk of a security in absolute term. The higher the standard deviation is, the
higher the risk inherent in the security. In Figure 2 the corresponding standard deviation of the NBFIs are plotted.
The market has the standard deviation of 7.65% (Appendix 2). All the selected NBFIs are bearing higher risk
than the market. BDFIN represents the highest variability. PRFIN has the standard deviation of 17.77% followed
by ULC which has 15.73% and other shares are either equal or below 15%.
Relative measure of risk:
Co-efficient of variation is a relative measure of risk which is depicted in Figure 1. In our study, the IPDC shows
the maximum risk per unit of return of 26.39% (Appendix 2). Among others UNICAP (1.90) and IDLC (1.04)
have CVs greater than 1 and ISLFIN (0.83), NHFIL (0.79) and LBFIN (0.68) also exhibit higher CV.
Figure 1: Co-efficient of variation of the NBFIs
The negative CV -2.37% is attributed to BDFIN. FLEASEINT (0.17) has the lowest positive Co-efficient of
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4. Research Journal of Finance and Accounting
ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online)
Vol.4, No.13, 2013
www.iiste.org
variation. Except these other NBFIs have the Co-efficient of variation in the range of 0.19 to 0.53. The Coefficient of variation exhibits that the selected NBFIs have moderate risk per unit of return. Figure 1 excludes the
CV of IPDC (26.39%) for illustrating the disparity among CVs of other NBFIs and the market distinctly.
Interactive Risk Measure
Covariance is the statistical measure that indicates the interactive risk of a security relative to others in a
portfolio of securities. The Coefficient of correlation, measures the strength and the direction of a linear
relationship between two variables. The Coefficient of determination is a measure used in statistical model
analysis to assess how well a model explains and predicts future outcomes. Appendix 2 summarizes the
Coefficient of correlation, Coefficient of determination and Covariance respectively which are the interactive
risk measures of the selected NBFIs for this study.
None of the selected NBFIs have resulted any negative covariance and correlation coefficient, which indicates
that all these shares moves in same direction consistently with market portfolio. Among the entire sample,
FLEASEINT results the highest covariance which express the co-movement corresponding to market. ICB
yields the lowest covariance that means its poor performance relative to the market index. All the rests are
moderately correlated with the market.
The standardized measure i.e. correlation coefficient represent a bit different idea than the covariance. In this
case, UTTFIN shows the highest (0.7355) positive correlation, followed by ILFSL (0.7123). ICB and BDFIN
have the lowest correlation with the market.
High value of the R2 shows higher diversification of the portfolio that can easily contain the market variability. It
is found from in Appendix 2 that the ILFSL has the highest R2 value, followed by UTTFIN and IPDC which
indicates that these shares have reasonably exploited the diversification strategy for forming their portfolio.
Lower values of R2 as found for ICB and BDFIN suggest that they are inadequately diversified.
Measuring systematic risk
Standard deviation and variance both measure the risk of a security in absolute term. Again, the coefficient of
variation expresses the riskiness in terms of per unit of return. Furthermore, Beta signifies the sensitivity of the
return on the shares of NBFIs in comparison to the movement of the market index.
Figure 3 exhibits that out of the 19 NBFIs the FLEASEINT shows the highest β, which is 1.41 i.e.
FLEASEINT’s volatility is almost one and half times than the market. Subsequent higher β is found in case of
PHNXFIN followed by UTTFIN. The β of IDLC, ULC, MIDASFIN, PRFIN, ISLFIN, and BIFC are almost
equally risky to market. ICB has lowest β that indicates its lower volatility. It is notable that all other securities
of NBFIs are below 1.00 but not less than 0.5. Therefore, we can conclude that, the shares of NBFIs in
Bangladesh are moderately responsive to the volatility of the market.
Decomposing systematic and unsystematic risk
Standard deviation is the measure of total risk of a particular security which need to be decomposed into
systematic and unsystematic by the following equation.
Total Risk (σj) = Systematic risk [(σj) (ρjM)] + Unsystematic risk [σj(1-ρjM)]
In the equations ρjM is the correlation coefficient between the returns of a given stock and the return on market
portfolio.
Figure 2: Systematic, Unsystematic and Total risk of the NBFIs
In Appendix 2, the sums of the systematic and unsystematic agree with the standard deviation of respective
NBFI derived earlier, and verify the precision of the analysis. it is apparent that, UTTFIN has the highest
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5. Research Journal of Finance and Accounting
ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online)
Vol.4, No.13, 2013
www.iiste.org
systematic risk (0.09627) followed by ULC (0.09097), FLEASEINT (0.08903), PRFIN (0.08839) and
PHNXFIN (0.08463) also shows higher systematic risk as found in the graph of systematic risk (β). Likewise,
ICB and BDFIN exhibit lowest systematic risk. All other securities’ systematic risk also agrees with the prior
risk measured by beta.
The highest unsystematic risk attributed to BDFIN is 0.16241 and followed by ICB is 0.10541. So the company
should focus more on the managerial efficiency and different strategic level to reduce the unsystematic risk and
diversify it away. The lower unsystematic risk observed in case of ILFSL is 0.03100, IPDC is 0.03442, UTTFIN
is 0.03462, and LBFIN is 0.0405. To perpetuate the risk level, company must strive to retain the current
performance. The rest of the securities have shown a moderate level of risk ranging from 0.08933(PRFIN) to
0.04273 (BIFC).
Figure 3: Beta coefficient and Systematic risk of the NBFIs
4.3. Determining Undervalued and Overvalued securities
From Table 3 of expected return versus actual or estimated return (which is annualized return that derived at
Table 2). It is found that 8 out of 19 shares are overvalued i.e. about 42% selected NBFIs are overvalued. One
share (BIFC) is almost equally priced at its expectation. All other shares i.e. 10 out of 19 are undervalued and
approximately 58% of the selected NBFIs are attractive to invest. Hence it can conclude that, the market for
NBFIs in DSE, Bangladesh is moderately efficient. This comparative study can also guide us about the investing
decision regarding selected NBFIs of the Dhaka stock exchange. Among the undervalued NBFIs FLEASEINT,
PRMLEA, PHNXFIN are more attractive to invest, as these companies are significantly undervalued. On the
other hand BDFIN, IPDC, and UNICAP are significantly overvalued. However, we know that the expected
return vary with the level of systematic risk (β). Hence, the FLEASEINT, PHNXFIN, UTTFIN, and ULC offer
higher rate of expected return.
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6. Research Journal of Finance and Accounting
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Vol.4, No.13, 2013
Table 3: Comparison of actual and expected return
NBFIs
Annualized Average
R(IDLC)
12.62
R(ULC)
29.79
R(MIDASFIN)
35.30
R(FLEASEINT) 92.40
R(PRFIN)
41.26
R(PRMLEA)
63.19
R(ISLFIN)
15.82
R(ILFSL)
34.55
R(ICB)
27.92
R(BDFIN)
-9.39
R(UTTFIN)
41.40
R(LBFIN)
16.45
R(BIFC)
31.17
R(IPDC)
0.39
R(UNICAP)
5.95
R(PHNXFIN)
50.73
R(FASFIN)
41.29
R(DBH)
38.34
R(NHFIL)
16.88
Percentage
-
www.iiste.org
Expected return
30.98
32.58
30.04
37.11
31.99
28.29
31.11
29.36
20.91
29.76
33.77
28.07
31.09
27.58
27.51
36.30
28.03
26.82
26.00
-
Overvalued
√
√
Undervalued
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
8
≈ 42%
19
11
≈ 58%
19
4.4. Risk Adjusted Performance Measure:
Sharpe Ratio – Reward to Variability
Sharpe ratio is excess returns earned over risk-free return (Rf) per unit of risk i.e., per unit of standard deviation
(Appendix 2). Positive value of Sharpe ratio indicates better performance. In case of the selected 19 NBFIs,
FLEASEINT and PRMLEA have higher value of Sharpe Ratio (Appendix 2). PRMLEA, PHNXFIN, FASFIN,
and DBH have shown their existence of adequate return as against the level of risk involved. Thus, the investors
of these shares have been rewarded well on their invested money. Three companies explicitly, BDFIN, IPDC,
and UNICAP have failed to beat the market and possess the negative Sharpe ratio. Again, 5 out of 19 NBFIs
contain positive Sharpe ratio greater than the market.
Treynor Ratio – Reward to Volatility
Treynor ratio measures the excess return earned over risk-free return per unit of systematic risk i.e., beta. Figure
4 depicts the value of Treynor ratio for the individual NBFIs and the market portfolio. And the values of the
Treynor ratio are given in column 15 Appendix 2. Figure 4 is exhibiting that the major observations reflect the
similar findings regarding Sharpe and Treynor ratio. FLEASEINT, PRMLEA, FASFIN, ICB, DBH and others
are showing the value of superior performance and BDFIN, IPDC, and UNICAP are the worst performers
according to this measure. 11 out of 19 NBFIs have higher Treynor Ratio than the market benchmark, DSI.
Jensen Alpha (α): Differential Return
In this study, 11 out of 19 NBFIs i.e. almost 58% NBFIs have positive α presumably indicates the superior
management skill of the selected NBFIs. Among them FASFIN, FLEASEINT, PRMLEA, PHNXFIN, are
representing superior performance (Table 4 & Appendix 2). These NBFIs are able to ‘beat the market’ and are
able to generate abnormal return over their theoretical return. On the other hand 8 out of 19 NBFIs i.e. almost
42% NBFIs have negative alpha. The expected returns of these NBFIs are higher than actual return. The negative
value of these NBFIs indicates that their management is failed to increase actual returns above those that are
purely a reward for bearing market risk. Securities of these NBFIs are overpriced and not preferable to invest.
However, Jensen measure also supports the conclusion drawn in previous performance parameter. The values of
the Jensen Alpha are found in column 16 Appendix 2.
Fama’s net selectivity
Selectivity is the skill of the fund manager to select undervalued securities. Except FLEASEINT, PRMLEA,
PHNXFIN, FASFIN, and DBH all other selectivity measures are negative (Table 4& Appendix 2). So, investors
are benefited out of the selectivity of these securities.
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ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online)
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Figure 4: Sharpe and Treynor Ratio
4.5. Synopsis of Risk adjusted performance measures
According to Table 4& Appendix 2, 16 NBFIs have positive Sharpe ratio, and 3 out of 19 NBFIs has negative
Sharpe ratio. BDFIN, IPDC and UNICAP have negative Sharpe ratio. Treynor ratio has also produced identical
results to Sharpe ratio. Both Sharpe and Treynor ratio have 3 NBFIs resulting negative ratio and 16 NBFIs have
positive ratio i.e. 16 percent and 84 percent of selected NBFIs has negative and positive ratio respectively
regarding these ratios (Table 4& Appendix 2). According to Jensen alpha, 8 NBFIs have negative alpha and 11
out of 19 have positive alpha (Table 4). Jensen alpha tells that around 58 percent of the selected NBFIs is able to
‘beat the market’ i.e. producing positive abnormal return over the theoretical return. Out of the 19 NBFIs 14
have negative net selectivity. Results produced by Fama’s net selectivity model support the results produced
under Jensen model. Summary of Risk Adjusted performance measuring tools present in the Table 4.
Table 4: Synopsis of Risk adjusted performance measures
Fama’s
Net
NBFIs
Sharpe Ratio
Treynor Ratio
Jensen α
Selectivity
IDLC
+ve; under performer
+ve; under performer
Negative
Negative
ULC
+ve; under performer
+ve; under performer
Negative
Negative
Positive
MIDASFIN
+ve; under performer
+ve; over performer
Negative
Positive
FLEASEINT
+ve; over performer
+ve; over performer
Positive
Positive
PRFIN
+ve; under performer
+ve; over performer
Negative
Positive
PRMLEA
+ve; over performer
+ve; over performer
Positive
ISLFIN
ILFSL
ICB
BDFIN
+ve; under performer
+ve; under performer
+ve; under performer
-ve; under performer
+ve; under performer
+ve; over performer
+ve; over performer
-ve; under performer
Negative
Positive
Positive
Negative
Negative
Negative
Negative
Negative
UTTFIN
LBFIN
BIFC
IPDC
UNICAP
PHNXFIN
+ve; under performer
+ve; under performer
+ve; under performer
-ve; under performer
-ve; under performer
+ve; over performer
+ve; over performer
+ve; under performer
+ve; under performer
-ve; under performer
-ve; under performer
+ve; over performer
FASFIN
DBH
NHFIL
Positive% and
(Negative)%
+ve; over performer
+ve; over performer
+ve; under performer
84.2%,
(15.8%)
+ve; over performer
+ve; over performer
+ve; under performer
84.2%,
(15.8%)
Positive
Negative
Positive
Negative
Negative
Positive
Positive
Negative
Negative
Negative
Negative
Negative
Positive
Positive
Positive
Negative
57.8%,
(42.2%)
Positive
Negative
26.3%,
(73.7%)
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[Note: Under-performer denotes situation where the Specific Share Performance is BELOW than the Market;
Over-Performer situation where the Specific Share Performance is ABOVE than the Market.]
4.6. Overall Performance of the NBFIs
Actually the study covers a limited time horizon, so the findings are not so consistent to reflect the genuine trend
of the NBFIs. However results as obtained by using different statistical tools presented in earlier paragraph can
be summarized below:
Out of 19 companies 10 companies (52.64%) have mean return above corresponding market return.
However, returns of 9 shares are below the market.
The standard deviation of the market during the studied period is 7.65%. All 19 NBFIs have higher
standard deviation than the market.
The shares of NBFIs are moderately responsive to the volatility of the market.
8 out of 19 shares are overvalued i.e. about 42% selected NBFIs are overvalued and 10 out of 19 are
undervalued and approximately 58% of the selected NBFIs are attractive to invest.
8 out of 19 NBFIs i.e. almost 42% NBFIs have negative alpha. 11 out of 19 NBFIs i.e. almost 58% NBFIs
have positive α presumably indicates the superior management skill of the selected NBFIs.
On the basis of realized rate of return FLEASEINT, PRFIN, PRMLEA, UTTFIN, PHNXFIN, FASFIN and
DBH perform excellently. The BDFIN showed the negative return as well as negative co-efficient of
variation. Again, it has the highest variability in case of absolute measure of risk.
In our study, the IPDC has highest Co-efficient of variation i.e. the maximum risk per unit of return
(317.20). FLEASEINT and ICB have the highest and lowest covariance respectively. Observing the result
of co-efficient of correlation, we can say that ILFSL, UTTFIN, and IPDC have reasonably exploited the
diversification strategy and opposite state is prevailing in case of ICB and BDFIN.
The volatility measure tells that FLEASEINT, PHNXFIN, UTTFIN, and ULC are highly volatile to the
market. All other are less volatile but none of the shares’ beta is less than 0.5.
FLEASEINT and PRMLEA have higher value of Sharpe Ratio. PRMLEA, PHNXFIN, FASFIN, and DBH
have shown their existence of adequate return as against the level of risk involved. Three companies
explicitly, BDFIN, IPDC, and UNICAP have failed to beat the market and possess the negative Sharpe
ratio.
Observing the result of different ratio (SR, TR, DR), we can say that BDFIN, IPDC, and UNICAP results
negative performance. In all most everywhere, FLEASEINT, PRMLEA UTTFIN, ILFSL, PHNXFIN,
FASFIN, and DBH produce higher ratio. The results of Fama’s Net Selectivity highlight the grandeur of
these institutions.
The overall analysis suggests that, FLEASEINT, PRMLEA are the best performer. After that UTTFIN,
ILFSL, PHNXFIN, FASFIN and DBH can be placed respectively. The poorest performers are the BDFIN
and IPDC. Furthermore, the performance of ICB, ISLFIN, LBFIN, and NHFIL is not satisfactory.
5. Conclusion
The main objective of this paper was to measure the risk adjusted performance of NBFIs based on monthly
average price. The existing 31 NBFIs attained a great collective growth over the past years, but individually
some of them are struggling yet to improve. Bangladesh is in stiff short-term liquidity crunch due to
unavailability of funds from the banking system which has its pervasive impact on the performance of the
selected NBFIs. From the result of analysis it is evident that overall performance of the NBFIs are moderately
superior to benchmark market index return. But, interference of banking institutions in non-bank activities is not
desirable. Basically, banks are doing some business that they are not supposed to do. Borrowing short and
lending long creates a mismatch in financial system and hampers the growth of NBFIs. Moreover, recent
instability in stock market, lack of confidence of investor, volatile margin rule and regulatory indecision are
causing a very tough time for this industry. Government along with all related parties should come forward to
direct this sector to right way.
References
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Appendix1: Name of the selected sample and their trading code to the Dhaka Stock Exchange
Name of the NBFI
Trading Code
i.
Bangladesh Industrial Finance Company Limited
BIFC
ii.
Bangladesh Finance and Investment Co. Ltd.
BDFIN
iii.
Delta BRAC Housing Finance Corporation Limited
DBH
iv.
FAS Finance and Investment Limited
FASFIN
v.
First Lease Finance and Investment Limited
FLEASEINT
vi.
Industrial Development Leasing Company
IDLC
vii.
International Leasing and Financial Services Limited
ILFSL
viii.
Islamic Finance and Investment Limited
ISLFIN
ix.
Lanka Bangla Finance Limited
LBFIN
x.
MIDAS Financing Limited
MIDASFIN
xi.
National Housing Finance And Investments Limited
NHFIL
xii.
Phoenix Finance and Investments Limited
PHNXFIN
xiii.
Premier Leasing and Finance Limited
PRMLEA
xiv.
Prime Finance and Investment Ltd
PRFIN
xv.
Union Capital Limited
UNICAP
xvi.
United Leasing Company Limited
ULC
xvii.
Uttara Finance and Investments Limited
UTTFIN
xviii.
Investment Corporation of Bangladesh
ICB
xix.
Industrial Promotion and Development Company of IPDC
Bangladesh Limited
Appendix 2: Statistical results at a glance
NBFIs
r
R2
Covarianceβ
7
8
9
0.64
0.58
0.52
0.58
0.50
0.61
0.61
0.71
0.27
40.66
33.45
26.67
33.45
24.74
36.83
36.83
50.74
7.40
0.00624
0.00677
0.00593
0.00826
0.00658
0.00536
0.00628
0.00571
0.00293
10
1.0
1.1
1.2
1.0
1.4
1.1
0.9
1.1
1.0
0.5
0.05
-27.25 0.27 7.40 0.00584
1.0
0.02
0.01
0.01
4.47
8.73
5.15
0.74 54.09 0.00716
0.64 40.58 0.00529
0.64 40.58 0.00628
1.2
0.9
1.1
10.33
0.01
317.200.67 44.47 0.00512
0.9
5.95
11.33
0.01
23.45 0.61 36.65 0.00510
0.9
50.73
41.29
38.34
16.88
13.98
12.15
11.15
13.31
0.02
0.01
0.01
0.02
4.02
4.16
4.07
10.18
1.4
0.9
0.8
0.8
Average Return Annualized AverageStandard DeviationVaria-nceCV
1
2
DSI
2.20
IDLC
1.00
ULC
2.20
MIDASFIN 2.55
FLEASEINT5.60
PRFIN
2.92
PRMLEA 4.17
ISLFIN
1.23
ILFSL
2.50
ICB
2.07
3
29.80
12.62
29.79
35.30
92.40
41.26
63.19
15.82
34.55
27.92
4
7.65
13.16
15.73
15.44
15.39
17.77
11.87
13.13
10.77
14.48
5
0.01
0.02
0.02
0.02
0.02
0.03
0.01
0.02
0.01
0.02
6
3.48
13.22
7.16
6.05
2.75
6.09
2.85
10.66
4.30
6.98
BDFIN
-0.82
-9.39
22.31
UTTFIN
LBFIN
BIFC
2.93
1.28
2.29
41.40
16.45
31.17
13.09
11.16
11.77
IPDC
0.03
0.39
UNICAP
0.48
PHNXFIN
FASFIN
DBH
NHFIL
3.48
2.92
2.74
1.31
0.61
0.58
0.59
0.59
129
36.65
34.02
34.50
34.50
0.00799
0.00527
0.00487
0.00460
Systema- Unsystem- Expected
S.R T.R α
tic Risk atic Risk Return
11
12
13
14 15 16
2.330.18
0.08
0.05
30.98
0.050.01-0.18
0.09
0.07
32.58
1.130.15-0.03
0.08
0.07
30.04
1.510.230.05
0.09
0.06
37.11
5.220.570.55
0.09
0.09
31.99
1.650.260.09
0.07
0.05
28.29
4.310.560.35
0.08
0.05
31.11
0.290.04-0.15
0.08
0.03
29.36
2.090.230.05
0.04
0.11
20.91
1.100.320.07
0.06
0.16
29.76
-0.39
0.96 0.21
0.10
0.03
33.77
2.250.240.08
0.07
0.04
28.07
0.400.05-0.12
0.07
0.04
31.09
1.630.180.00
0.07
0.03
27.58
-0.27
1.12 0.13
0.07
0.04
27.51
-0.22
0.53 0.07
0.08
0.06
36.30
2.770.280.14
0.07
0.05
28.03
2.410.330.13
0.07
0.05
26.82
2.360.320.12
0.06
0.07
26.00
0.370.06-0.09
Net
Selectivity
17
-0.30
-0.19
-0.13
0.45
-0.12
0.24
-0.27
-0.03
-0.18
-0.73
-0.01
-0.22
-0.08
-0.36
-0.32
0.06
0.01
0.00
-0.26
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