Portfolio Return, Risk and Market Timing: A Non-Parametric Approach

2015 ◽  
Vol 5 (2) ◽  
Author(s):  
Joyjit Dhar ◽  
Ram Pratap Sinha
Keyword(s):  
Risk Measure ◽  
Market Timing ◽  
Evaluation Framework ◽  
Data Envelopment ◽  
Portfolio Evaluation ◽  
Period 2 ◽  
Measure Of Performance ◽  
Standard Risk ◽  
Portfolio Return ◽  
Non Parametric

The present study extends the portfolio evaluation framework provided by Sharpe (1964) and Treynor (1965) by including the parameter of market timing with the help of a non-parametric framework. Data envelopment analysis has been used in the present exercise to evaluate the performance 79 mutual funds schemes operating in India for three different phases using two different models. Estimation of technical efficiency on the basis of both the models suggests that period 2 performance is substantially divergent from period 1 and 3. Also, higher moments framework gives a better measure of performance as it accounts not only the standard risk measure but also for skewness and kurtosis characteristics of returns.

scholarly journals Non-Parametric Analysis of Efficiency: An Application to the Pharmaceutical Industry

Mathematics ◽  
2020 ◽  
Vol 8 (9) ◽  
pp. 1522
Author(s):  
Ricardo F. Díaz ◽  
Blanca Sanchez-Robles
Keyword(s):  
Pharmaceutical Industry ◽  
Small Firms ◽  
Medium Size ◽  
Data Envelopment ◽  
Parametric Data ◽  
Research Specialization ◽  
Main Activity ◽  
The Cost ◽  
Different Characteristics ◽  
Non Parametric

Increases in the cost of research, specialization and reductions in public expenditure in health are changing the economic environment for the pharmaceutical industry. Gains in productivity and efficiency are increasingly important in order for firms to succeed in this environment. We analyze empirically the performance of efficiency in the pharmaceutical industry over the period 2010–2018. We work with microdata from a large sample of European firms of different characteristics regarding size, main activity, country of origin and other idiosyncratic features. We compute efficiency scores for the firms in the sample on a yearly basis by means of non-parametric data envelopment analysis (DEA) techniques. Basic results show a moderate average level of efficiency for the firms which encompass the sample. Efficiency is higher for companies which engage in manufacturing and distribution than for firms focusing on research and development (R&D) activities. Large firms display higher levels of efficiency than medium-size and small firms. Our estimates point to a decreasing pattern of average efficiency over the years 2010–2018. Furthermore, we explore the potential correlation of efficiency with particular aspects of the firms’ performance. Profit margins and financial solvency are positively correlated with efficiency, whereas employee costs display a negative correlation. Institutional aspects of the countries of origin also influence efficiency levels.

A generalization of the non-parametric Henriksson-Merton test of market timing

1994 ◽  
Vol 44 (1-2) ◽  
pp. 1-7 ◽  
Author(s):  
M.Hashem Pesaran ◽  
Allan G. Timmermann
Keyword(s):  
Market Timing ◽  
Non Parametric

scholarly journals Pengukuran Efisiensi Perbankan: Studi Kasus Kelompok Bank Buku I Dan Buku II

2018 ◽  
Vol 11 (2) ◽  
pp. 188-201
Author(s):  
Teguh Santoso
Keyword(s):  
Data Envelopment Analysis ◽  
Technical Efficiency ◽  
Parametric Method ◽  
Data Envelopment ◽  
Operational Approach ◽  
Efficiency Calculation ◽  
Non Parametric

This study aims to measure the technical efficiency of banks (BUKU I and BUKU II categories). The efficiency calculation in this study uses Non-Parametric method, Data Envelopment Analysis (DEA). This research uses an operational approach in performing input and ouput specifications. The inputs are interest expenses, labor expenses, and other expenses. The result of technical efficiency calculation shows that both banks in BUKU I and BUKU II have less efficient in technical efficiency value, either with the assumption of CRS or VRS. However, the value of technical efficiency indicates that BUKU II banks have greater technical efficiency value than the banks in BUKU I category.

scholarly journals ANALISIS EKONOMI DAN KEBIJAKAN SUMBER DAYA ALAM PROVINSI JAWA BARAT

2016 ◽  
Vol 1 (2) ◽  
pp. 1-11
Author(s):  
Ahmad Heryawan ◽  
Akhmad Fauzi ◽  
Aceng Hidayat
Keyword(s):  
Natural Resource ◽  
Data Envelopment ◽  
Instability Index ◽  
West Java ◽  
Agriculture Sector ◽  
Input And Output ◽  
Period 2 ◽  
Connection Pattern ◽  
Policy Dynamics ◽  
Using Data

This research analyzed the economic aspect of natural resource in West Java Province, particularly fishery and agriculture. The objectives of the research are: (1) to analyze the diversity of natural-resource-based sectors (particularly fishery and agriculture) in West Java Province during 2001-2012 period, (2) to identify and explain the instability of the natural-resource-based sectors in the long term, and (3) to analyze the connection pattern between the instability of the two sectors and its input and output variables. This research was analyzed using Data Envelopment Analysis (DEA), Coppock Instability Index (CII), and correlation. The result of this research shows that: (1) during the period of 2001 – 2012, agriculture sector showed performance towards better direction, while fishery sector tends to fluctuate. The performance of agriculture output could be improved by 8.75% from the existing condition, while the performance of fishery production could be improved up to 23%, (2) interaction between instability index and the input and output (labor, NTP and NTN) shows that there are policy dynamics on the input and output in fishery and agriculture sector, (2) in agriculture sector, NTP and production has positive correlation to CII. This means that the higher the NTP and production, the more instable the farmer’s prosperity is. This is contrary to fishery sector, where the increase of NTN and production tend to stabilize the community’s prosperity

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