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Non-Linear
Stochastic Fractional Programming Models of Financial Derivatives
- - V Charles and D Dutta
Non-Linear
Stochastic Fractional programming models provide numerous
insights into a wide variety of areas such as financial derivatives.
Portfolio optimization has been one of the important research
fields in modern finance. The most important character within
this optimization problem is the uncertainty of the future
returns on assets. The objective of this study is to achieve
maximum profit with minimum investment in the stock market.
In this paper, we have discussed about linear and non-linear
stochastic fractional programming problems with mixed constraints,
which is the key aspect of this model. The application of
the model is discussed with an example.
©
2005 IUP. All Rights Reserved.
Financial
Management of Private and Public Equity Mutual Funds in India:
An Analysis of Profitability
- -
H J Sondhi and P K Jain
Mutual
funds are popular financial intermediaries and manage disposable
income of the investors so as to bring them the benefits of
equity investment. History of mutual funds management in India
is rather new, vis-à-vis, mutual funds in USA or UK.
Yet, the mutual fund industry in India has caught the attention
of millions of investors with diverse interests around the
basic principles of investments viz., safety, liquidity and
returns. This paper examines the rates of returns generated
by equity mutual funds, vis-à-vis, 364 days T-bills
and the Bombay Stock Exchange-100 (BSE-100) National Index
during the period 1993-2002. Rate of return on 364 days T-bill
is the surrogate measure for risk-free return and the BSE-100
National Index has been chosen as proxy for market portfolio
in our analysis. Equity mutual funds predominantly invest
in company equities, and hence, are risky investments. While
choosing to invest in equity mutual funds, the investors expect
not only risk premium but also better returns than the market
portfolio. Risk premium refers to the returns earned by the
investment in excess of risk-free returns. Thus, the investors
expect equity mutual funds to earn better returns than the
risk-free returns as also the market returns. A sample of
36 equity mutual funds has been drawn from 21 asset management
companies belonging to private and public sectors. The sample
is a true representative of the universe, as it constitutes
more than two-thirds of the total equity mutual funds operating
in India in terms of number as well as assets under management.
The sample has been classified into two groups based on ownership
pattern, namely, private sector company sponsored equity mutual
funds (19) and public sector undertaking sponsored equity
mutual funds (17).
©
2005 IUP. All Rights Reserved.
Indian
VCs' Involvement with Investee Firms: An Empirical Analysis
of Board Composition, Expectations and Contribution
- - A Vinay Kumar
The
venture capitalists' involvement with investee firms is not
a well-researched area in the Indian context. The present
study, which uses a survey research methodology, administered
two different surveys to capture the empirical aspects of
this relationship. The study finds that the board size increases
after a venture capitalist becomes the nominee in the funded
unit but the size of investment that these large boards seem
to handle in most cases is small, which is generally counter-productive.
By employing a non-parametric model, the present study finds
that entrepreneurial teams require constant assistance from
venture capitalists in terms of sourcing capital such as debt
and equity in order to keep their performance targets. But
the assistance offered by the venture capitalists does not
seem to really make much difference in the performance because
their advice in strategic issues and operational issues is
not coming through sufficiently to entrepreneurial teams.
©
2005 IUP. All Rights Reserved.
Multifactor
Capital Asset Pricing Model Under Alternative Distributional
Specification
- - Diganta Mukherjee
and Amit Kumar Mishra
Arbitrage
Pricing Model (APM) assumes the residual to be normally distributed.
This article empirically checks this assumption in APM. In
this paper, an Arbitrage Pricing Model is built on returns
from stocks traded in National Stock Exchange (NSE). The APM
of returns from shares has four explanatory variablesMarket
Trend (Market Index), Sector-specific trend in the Market
(IT Index), Size of the company (Daily Turnover) and Location
factor of the company (Index of Industrial Production). The
normal distribution is compared with lognormal and exponential
distribution. It has been observed that the exponential distribution
performs better than lognormal and normal distributions. Univariate
kernel smoothing method is also undertaken for univariate
model based on returns dependent on IT Index. It has been
observed that Exponential distribution performs better than
Kernel Smoothing and Normal distributions in an univariate
model.
©
2005 IUP. All Rights Reserved.
On
the Non-normality of GCC Stock Markets
- - S N Sarma
This
study tests whether daily returns series of Gulf Cooperation
Council (GCC) Stock Markets are an approximation of normal
distribution or not. The assumption of normal distribution
is common and crucial for many statistical tools used by the
stock market researchers and analysts. Saudi, Qatar, Kuwait
and Oman stock market indices are examined in this study.
Based on Chi-square, Kolmogorov-Smirnov test, Autocorrelation
Function and Partial Autocorrelation Functions, this study
does not accept the null hypothesis that the distribution
of the market returns is not different from the normal distribution.
©
2005 IUP. All Rights Reserved.
Corporate
Retained Earnings in India: Trends and Determinants
- -
Jitendra Mahakud
This
paper analyzes the trends in retained earnings of Public Limited
Companies (PULCos), Private Limited Companies (PRLCos) and
Foreign Companies (FRCos) in India during the period 1966-67
to 2001-02, and estimates panel data models by using data
for 500 companies of S&P CNX 500 Index of the National
Stock Exchange, India for the period 1996-97 to 2003-04, for
empirically identifying the determinants of corporate retained
earnings. The paper finds that the corporate retained earnings
in India have not increased much and have remained at a relatively
low level throughout the period. Further, the profits after
tax, investment opportunities, availability of external funds,
cost of borrowings, dividend policy, and the shareholding
patterns have been the major determinants of retained earnings
of the Indian joint-stock companies.
©
2005 IUP. All Rights Reserved.
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