Mean Return Research Articles

COVID-19 Pandemic Impact on Confidence to Return to Sport: Perspectives From National Collegiate Athletic Association (NCAA) Athletes.

One of the unforeseen impacts of the COVID-19 pandemic has been a decrease in athletes' confidence to return to their sport after mandates were lifted. Both physical and psychological effects have been implicated. This study aimed to measure the severity of these changes among a group of National Collegiate Athletic Association (NCAA) athletes. A novelReadiness to Return to Sport Survey,based on the validated ACL-RSI survey, was distributed to Division 1 collegiate athletes. The survey evaluated the psychological readiness of each player to return to sport in the context of the COVID-19 pandemic, utilizing a 1-10 scale (1 = least confident and 10 = most confident). Numerical responses to each survey were summed to create a primary outcome score-an athlete'sReturn to Sport Readiness Score. Higher scores indicate higher levels of readiness to return to sport in the nearest coming season. Responses came from 68 athletes representing a variety of sports. Of those with an injury, 14 (82.35%) attributed their injury to changes in their training schedule due to COVID-19 restrictions, and the remaining three (17.65%) did not. Among all athletes, the mean return to sport readiness (RTS) score was 44 (SD 24.76). Those playing a winter sport had the lowest mean RTS score, 35 ± 23, and those playing a fall season sport had the highest mean score, 48 ± 25.97. Overall, competitive athletes on leave from the sport due to collegiate and Division 1 COVID-19 guidelines had lower reported mean RTS scores as compared to athletes outlined in many other anterior cruciate ligament return to sport after injury survey (ACL-RSI) studies. Overall, the athletes surveyed in our study reported much lower levels of readiness to return to sport in the context of COVID-19 than athletes surveyed in other studies, exhibiting COVID-19's unique impact on their confidence to return to their scheduled sport season. These differences may highlight the COVID-19 pandemic as a more severe detriment to returning to sport readiness among division-one athletes than recovering from injury alone. Given such an impact, more research is needed to elucidate the percentage of these athletes that returned to or abstained from their sport, as well as any motivating, facilitating, or detrimental factors in their choice.

Valuation of Indian Ipo’s Allotment and Current Price Analysis - Are Indian Ipo’s Overvalued?

Purpose: This study was conducted to analyze the IPOs of companies listed between 1st January 2021 to 30th April 2021 with the objective to determine whether the price at which the IPOs were introduced are fair, undervalued or overvalued and whether the performance of these IPOs have a significant relationship with factors such as the size of the IPO, age of the company and the proportion of promoters holding in the company. Theoretical framework: Companies registered in India can usually raise funds in two ways: borrowing money using debentures or issuing shares. An initial public offering is a financial arrangement wherein the shares of a private company are offered for sale for the first time to the general public. Based on the theory described in, a semi-theoretical pricing framework is created for the fixed-price and book-building mechanisms. Design/methodology/approach: The data were collected from NSE (National Stock Exchange) website and analyzed using the metrics such as Abnormal Returns which is calculated in order to analyze if the IPOs are underpriced, overpriced or fairly priced and Regression has been performed to check if there is any significant relationship among the Age, Size of IPO and promoter’ holdings in the company after the IPO with the listing day gains or short-term gains of the IPO. Findings: It was found that the Indian IPOs are undervalued and thus leave money on the table for the issuer of these IPOs. From the regression analysis, it is observed that there is no significant relationship between the factors such as age of the company, promoters’ holding in the company and the size of the IPO with the listing days returns and the 10-day period return of the IPO. Research, Practical & Social implications: Although most researchers believe that IPOs are usually affected by hot and cold periods or bearish-bullish trends, we are trying to determine the effectiveness of book-building method for IPOs following the pandemic in India. The study uses tools such as Abnormal Mean Return (AMR) and Regression to analyze the price of IPO, total returns on and after 10 days of listing of the IPOs, the market return during the same period, and the relationship of these returns with other variable like size, ownership and promoter’ holdings in the company to determine if they have any significant impact on these returns. Originality/value: Fair valuation of an IPO could be the reason for its success and over-valuation and under-valuation may lead to its failure and may result in huge monetary losses. The current research on IPO is significant in the sense it contributes by making it clear about the concept of IPO through Literature and about its valuations through analysis which is based on Abnormal Returns and Regression

Hellinger’s distance to normal distribution as market invariant

Main purpose of distance based portfolio constructions is for portfolio imitation. Here we used distance from normal distribution for other purpose. We attempted to find static market invariant within possible linear combinations of given random variables. We conjectured that “closeness” to normal distribution of possible portfolios in market may reliably represent market microstructure with possible correlations between assets. Taking the squared Hellinger’s distance, we sought for each level of desired mean return the portfolio whose return distribution is closest to Gaussian, with variance taken from efficient frontier found by initially solving mean-variance problem. We found that minimal distance differs significantly from market to market. The sensitivity check showed small average sensitivity for 5% change of a 5% portion of data, small sensitivity for adding new variables in simulated market, and extreme sensitivity to bin numbers. Though distance to normality differed among markets, its sensitivity being small enough in average sometimes showed extreme changes.

Review of Methodologies for Displacement Checks in Modern Seismic Design Codes

This review paper discusses the procedures for evaluating the design displacement given in various design codes from seismically prone countries around the world (the United States, New Zealand, Chile, Japan, Greece, Italy, Iran, India, Turkey, and Romania). The limit displacements and the corresponding limit states are also presented and analyzed in this study besides the importance class factors considered in the selected seismic design codes. A presentation of the behavior factors necessary for evaluating the design value of the seismic action is also shown in this study. One of the observations of this review paper is that there are significant similarities in terms of the approach to the displacement check in the analyzed codes. In addition, it was observed that the displacement check is generally associated with the serviceability limit state (e.g., damage limitation). However, differences in terms of the mean return period for the serviceability check action were observed among the analyzed seismic design codes. Several aspects which have to be further adapted in the future versions of seismic design codes are also discussed in this review paper. One of the main aspects which must be further discussed is the enforcement of displacement limits, which are dependent on the structural system and on the importance of the class/height regime for the ultimate/serviceability limit state. In addition, the dependence of the TD control period on the probabilistic seismic hazard ordinates should be further discussed. Moreover, the pulse effects, which can affect both the acceleration and the displacement design of response spectra, should be accounted for as well in future generations of seismic codes. Finally, it appears necessary to perform a harmonization of the behavior factors employed in seismic design codes.

Perturbation analysis of nonlinear partial reflected wave on a sloping bottom

In this paper, we use the perturbation method to develop a new mathematical derivation to describe nonlinear partial standing wave over uniformly sloping bottoms. In the Lagrangian coordinate system, the particle trajectories are obtained as a function of the nonlinear order parameter ɛ and the bottom slope α to the second order of the perturbation. The setups and mean return flow for an arbitrary bottom in the Lagrangian framework are also found as part of the solutions. The direct influences of reflection coefficient, wave steepness and bottom slope on the surface profiles of partially reflected waves are also derived. This nonlinear analytical solution is verified by reduction to the classical Stokes solution of progressive waves in both the deep water and constant depth limit. This solution allows to describe the successive deformation of partial reflected wave profiles and water particle trajectories prior to wave breaking to be described. The dynamic properties including mass transport, and Lagrangian mean level and radiation stress for nonlinear partially reflected waves on various sloping bottoms are investigated.

Comparative Study of Carpal Tunnel Release by Limited Incision and Traditional Open Technique in Carpal Tunnel Syndrome

Aim: Current study aimed to compare the limited palmar incision for carpal tunnel release (CTR) with a traditional open technique. Outcomes were analysed between the groups on the basis of reduction in size of scar, allowing more conservative surgical approach. Method: A total of 50 patients with Carpal Tunnel Release were included and divided equally into two groups: control group for patients with traditional open technique and study group for patients with carpal tunnel release undergoing limited incision. In control group carpal tunnel release was done by traditional open technique while in study group carpal tunnel release was done by limited incision. Results: Mean operation time was 20.32±1.314 mm for control group, whereas in study group, it was much lower i.e. 12.68±2.3. Significant symptomatic relief was noted in both groups. Lesser post op pain was noted in the study group. A significant improvement was noted in hand grip, key pinch, tip pinch and palmers Pinch when compared from Pre-op and Post-op in control group (p<0.001) and study group (p<0.001). Under control group, the mean return to daily activity was 4.32±0.8 days while for study group; it was almost half i.e. 2.08±0.76 days. Under control group, mean return to work was 7.16±1.37 days whereas for study group, it was 4.88±1.48. Shorter postoperative scars were observed in mini-transverse wrist incision technique. Mean scar length was 18.6±0.86 mmm for control group while it was little lower 14.68±0.99 for study group. The mean scar width was 1.8±0.408 mm for control group while 1.22±0.52 for study group. No wound healing related complications were noted in any patient. Conclusion: It was concludes the carpal tunnel release by limited incision and traditional open technique in patients with carpal tunnel syndrome provides good symptomatic relief, in lesser operative time. However, patients noted less post-operative pain, early return to daily activity, early return to work with lesser scar load ...

Quantum first detection of a quantum walker on a perturbed ring

The problem of quantum first detection time has been extensively investigated in recent years. Employing the stroboscopic measurement protocol, we consider such a monitored quantum walk on sequentially or periodically perturbed rings and focus on the statistics of first detected return time, namely, the time it takes a particle to return to the initial state for the first time. Using time-independent perturbation theory, we obtain the general form of the eigenvalues and eigenvectors of the Hamiltonian. For the case of a sequentially perturbed ring system, we find steplike behaviors of ${\ensuremath{\sum}}_{n=1}^{\mathcal{N}}n{F}_{n}$ ($\ensuremath{\rightarrow}\ensuremath{\langle}n\ensuremath{\rangle}$ as $\mathcal{N}\ensuremath{\rightarrow}\ensuremath{\infty}$) when $\mathcal{N}$ increases, with two plateaus corresponding to integers, where ${F}_{n}$ is the first detected return probability at the $n\mathrm{th}$ detection attempt. Meanwhile, if the initial condition preserves the reflection symmetry, the mean return time is the same as the unperturbed system. For the periodically perturbed system, similar results can also appear in the case where the symmetry is preserved; however, the size of the ring, the interval between adjacent perturbations, and the initial position may change the mean return time in most cases. In addition, we find that the decay rate of the first detection probability ${F}_{n}$ decreases with the increase in perturbation amplitude. More profoundly, the symmetry-preserving setup of the initial conditions leads to the coincidence of ${F}_{n}$. The symmetry of the physical systems under investigation is deeply reflected in the quantum detection time statistics.

Genomic variation across Chinook salmon populations reveals effects of a duplication on migration alleles and supports fine scale structure.

The distribution of ecotypic variation in natural populations is influenced by neutral and adaptive evolutionary forces that are challenging to disentangle. This study provides a high-resolution portrait of genomic variation in Chinook salmon (Oncorhynchus tshawytscha) with emphasis on a region of major effect for ecotypic variation in migration timing. With a filtered data set of ~13million single nucleotide polymorphisms (SNPs) from low-coverage whole genome resequencing of 53 populations (3566 barcoded individuals), we contrasted patterns of genomic structure within and among major lineages and examined the extent of a selective sweep at a major effect region underlying migration timing (GREB1L/ROCK1). Neutral variation provided support for fine-scale structure of populations, while allele frequency variation in GREB1L/ROCK1 was highly correlated with mean return timing for early and late migrating populations within each of the lineages (r2 = .58-.95; p< .001). However, the extent of selection within the genomic region controlling migration timing was much narrower in one lineage (interior stream-type) compared to the other two major lineages, which corresponded to the breadth of phenotypic variation in migration timing observed among lineages. Evidence of a duplicated block within GREB1L/ROCK1 may be responsible for reduced recombination in this portion of the genome and contributes to phenotypic variation within and across lineages. Lastly, SNP positions across GREB1L/ROCK1 were assessed for their utility in discriminating migration timing among lineages, and we recommend multiple markers nearest the duplication to provide highest accuracy in conservation applications such as those that aim to protect early migrating Chinook salmon. These results highlight the need to investigate variation throughout the genome and the effects of structural variants on ecologically relevant phenotypic variation in natural species.

Impact of Portfolio Allocation on the Performance of Indian Mutual Funds

Retail investors face a dilemma in selecting funds from among the wide range of schemes available. The past performance of a fund is not always indicative of its future performance, but it is the only quantitative way to judge how good a fund is at present. Investors always prefer funds which give high returns and have low risk. Thus while building a fund portfolio the fund manager should understand the impact of portfolio allocation in different instruments on the performance of the portfolio. The objective of the present study was to find the short-term effects of portfolio allocation on the performance of mutual funds. The data for the study consisted of the portfolio allocations and the performance measures of a sample of one hundred and nineteen open-ended mutual fund schemes, of which thirty-eight were diversified debt/ income funds, forty-eight were diversified equity funds, twenty-one were balanced funds, and twelve were short-term debt funds. The performance measures used for the analysis were: mean returns, standard deviation in returns, beta, and Sharpe ratio. The portfolio allocation of the funds was described both in terms of the percentage allocated in equity, debt, and cash &amp; equivalents, and in terms of the percentage allocated in different sectors. The data was entirely secondary data, and was collected from the AMFI website. The findings of the study indicate that, for different types of funds, allocation in different asset classes, that is, equity, debt, and cash &amp; equivalents, as well as their sector-wise allocation tend to impact the performance of the fund.

Quantifying the potential benefits of risk-mitigation strategies on future flood losses in Kathmandu Valley, Nepal

Abstract. Flood risk is expected to increase in many regions worldwide due to rapid urbanization and climate change if adequate risk-mitigation (or climate-change-adaptation) measures are not implemented. However, the exact benefits of these measures remain unknown or inadequately quantified for potential future events in some flood-prone areas such as Kathmandu Valley, Nepal, which this paper addresses. This study examines the present (2021) and future (2031) flood risk in Kathmandu Valley, considering two flood occurrence cases (with 100-year and 1000-year mean return periods) and using four residential exposure inventories representing the current urban system (Scenario A) or near-future development trajectories (Scenarios B, C, D) that Kathmandu Valley could experience. The findings reveal substantial mean absolute financial losses (EUR 473 million and 775 million in repair and reconstruction costs) and mean loss ratios (2.8 % and 4.5 %) for the respective flood occurrence cases in current times if the building stock's quality is assumed to have remained the same as in 2011 (Scenario A). Under a “no change” pathway for 2031 (Scenario B), where the vulnerability of the expanding building stock remains the same as in 2011, mean absolute financial losses would increase by 14 %–16 % over those of Scenario A. However, a minimum (0.20 m) elevation of existing residential buildings located in the floodplains and the implementation of flood-hazard-informed land-use planning for 2031 (Scenario C) could decrease the mean absolute financial losses of the flooding occurrences by 9 %–13 % and the corresponding mean loss ratios by 23 %–27 %, relative to those of Scenario A. Moreover, an additional improvement of the building stock's vulnerability that accounts for the multi-hazard-prone nature of the valley (by means of structural retrofitting and building code enforcement) for 2031 (Scenario D) could further decrease the mean loss ratios by 24 %–28 % relative to those of Scenario A. The largest mean loss ratios computed in the four scenarios are consistently associated with populations of the highest incomes, which are largely located in the floodplains. In contrast, the most significant benefits of risk mitigation (i.e., largest reduction in mean absolute financial losses or mean loss ratios between scenarios) are experienced by populations of the lowest incomes. This paper's main findings can inform decision makers about the benefits of investing in forward-looking multi-hazard risk-mitigation efforts.

A fast nonlinear dynamic analysis automated approach to produce fragility curves for 3D RC frames

This study describes an automated procedure to assess seismic fragility of 3D reinforced concrete frame structures. A number of 9600 3D nonlinear dynamic analyses are performed using the recently developed 3D Force Analogy Method, implemented in an automated Matlad-based non-commercial code. The numerical efficiency of 3D Force Analogy is first illustrated for a broad range of structures and groud motion recordings and scaling factors. The ground motion dataset consisting of 20 horizontal recordings used in the study is characteristic for soft deep soil sites (e.g Bucharest) which are affected by large magnitude earthquakes originating in the Vrancea intermediate-depth seismic source. A total of 24 RC frame structures, both regular and irregular are employed in the study. The Park-Ang damage index is employed in order to evaluate the damage states of the structures. Fragility functions corresponding to life-safety and collapse damage states are obtained for both principal directions of the structures. The results show similar median fragility values on both principal directions, and a larger variability on the transversal direction. The analyses have also shown that the standard deviations evaluated for the mean annual failure rates corresponding to the two considered damage states and on both principal directions is almost equal to the mean value. The mean value of the collapse probability evaluated for the peak ground acceleration with a mean return period of 2475 years and based on the results of all 24 models is 6.1 % for the longitudinal direction and 6.5 % for the transversal direction.

Annualized Stock Market Returns Volatility: An Evidence of Dar es Salaam Stock Exchange

inancial market players raise a concern about returns volatility anomalies. Yet, the day effects of stock market return instability in the Dar es Salaam financial market are not known. The present study, investigated the day effects on returns using time series data for the years 1998 through 2020. The return of market stocks was analysed using Win Rat and E-views. The results showed that the day of and the month of the year outcome existed in the return equation only with a constant decay rate (α + β= 0.75) meaning that the unpredictability forecast reverts to its unrestricted mean at the proportion of 0.75 per transaction period. Moreover, it was found that the lowest monthly returns spread were observed for TCC and the highest for the whole market while the maximum and nethermost daily returns occurred on Wednesdays and Tuesdays, respectively. Furthermore, it was found that the positive January effect was observed in the market and monthly mean returns were positive with the lowest returns in December. The study concludes that that day’s effects impacted the market stock return caused by the volatility effect on returns. It is therefore recommended that rational investors should invest in the market for their future gains.

Holocene fire regimes, fire‐related plant functional types, and climate in south‐coastal British Columbia forests

AbstractPaleoecological records of past fire events and forest composition provide long‐term ecological context for modern changes in fire regimes and forest dynamics. Here, we use pollen and contiguous macroscopic charcoal analyses of lake sediments from Pender Island, British Columbia, Canada to reconstruct changes in fire regimes over the last 10,000 years and investigate how these interact with changes in climate and forest composition with a focus on fire‐related plant functional types. The relatively warm and dry early Holocene was characterized by high charcoal accumulation rates, fire episodes of moderate severity, and a mean fire return interval of 100 ± 27 years. Forests at the time were open‐canopy Pseudotsuga menziesii forests with abundant fire endurer taxa (e.g., Pteridium aquilinum) that have a competitive advantage in regimes of frequent fire. Fire continued to occur every ~100 years, on average, during the establishment of Quercus garryana savanna communities; however, a decrease in charcoal peak magnitudes suggests the fire regime shifted to one characterized by smaller and/or lower intensity surface fires. As temperature and moisture deficits decreased in the mid‐ and late Holocene (i.e., after ~6000 calendar years before present), mean fire return intervals lengthened to 176 ± 54 years and increased variability in charcoal peak magnitudes suggests a mixed fire regime of low‐moderate‐intensity fires combined with infrequent crown or stand‐replacing fires. Relatively stable and moderate climate, longer fire return intervals, and mixed‐severity fires allowed P. menziesii (a fire resister) to dominate closed‐canopy forests and for fire avoiders to gradually become more common forest constituents. Millennial‐scale climate change has acted as the dominant driver of changes in both fire regimes and forest composition over the last 10,000 years; however, changes in fire‐related plant functional types highlight the important role that interactions between vegetation and fire play in long‐term fire regimes and forest dynamics.

Effect of Capital Adequacy Requirement on Profitability of Selected Banks Listed on Ghana Stock Exchange

The study assessed the effect of capital adequacy requirement on profitability of the Ghana Stock Exchange banks between 2013 and 2018. The analyses were based on the Ghana Stock Exchange secondary statistics. The analyzes specifically assessed trends in the capital adequacy ratios and Ghana Stock Exchange profitability of banks and determine the effect of capital Adequacy Ratio on profitability of listed banks. The study found that the banks' average Capital Adequacy Ratio was (Mean=17.21%) in the time. While the mean Return on Equity (Mean=25.46%) and the mean Return on Asset was found to be (Mean=3.05%). While the profitability was adverse and insignificantly affected by the Capital Adequacy Ratio, they were adverse and small in terms of the Return on Equity, while Capital Adequacy Ratio had a positive and important impact on the Return on Equity. Bank size did not have a major effect on Return on Equity and Return on Asset. For local banks, the mean Capital Adequacy Ratio for international banks was approximately the same. Therefore, the study suggested that businesses continue to operate, if not, to guarantee banks are able to cope with any 'credit crunch' economic recession. Banks can ensure that surplus capital is transformed into investment to maximize investment returns.

Decision Analysis on the Financial Performance of Companies Using Integrated Entropy-Fuzzy TOPSIS Model

Sustainable economic development plans have been shattered by the devastating COVID-19 crisis, which brought about an economic recession. The companies are suffering from financial losses, leading to financial distress and disengagement from sustainable economic goals. Many companies fail to achieve considerable financial performances, which may lead to unachieved organizational goal and a loss of direction in decision-making and investment. According to the past studies, there has been no comprehensive study done on the financial performance of the companies based on liquidity, solvency, efficiency, and profitability ratios by integrating the entropy method and fuzzy technique for order reference based on similarity to the ideal solution (TOPSIS) model in portfolio investment. Therefore, this paper aims to propose a multi-criteria decision-making (MCDM) model, namely the entropy-fuzzy TOPSIS model, to evaluate the financial performances of companies based on these important financial ratios for portfolio investment. The fuzzy concept helps reduce vagueness and strengthen the meaningful information extracted from the financial ratios. The proposed model is illustrated using the financial ratios of companies in the Dow Jones Industrial Average (DJIA). The results show that return on equity and debt-to-equity ratios are the most influential financial ratios for the performance evaluation of the companies. The companies with good financial performance, such as the best HD company, have been determined based on the proposed model for portfolio selection. A mean-variance (MV) model is used to validate the proposed model in the portfolio investment. At a minimum level of risk, the proposed model is able to generate a higher mean return than the benchmark DJIA index. This paper is significant as it helps to evaluate the financial performance of the companies and select the well-performing companies with the proposed model for portfolio investment.

Deep spectral Q‐learning with application to mobile health

Dynamic treatment regimes assign personalized treatments to patients sequentially over time based on their baseline information and time‐varying covariates. In mobile health applications, these covariates are typically collected at different frequencies over a long time horizon. In this paper, we propose a deep spectral Q‐learning algorithm, which integrates principal component analysis (PCA) with deep Q‐learning to handle the mixed frequency data. In theory, we prove that the mean return under the estimated optimal policy converges to that under the optimal one and establish its rate of convergence. The usefulness of our proposal is further illustrated via simulations and an application to a diabetes dataset.

Pre &amp; Post-COVID Analysis of Calendar Anomaly and Behavior of Returns in Emerging Markets of ASIA

This research investigates the day of the month’s effect on stock returns in emerging markets of Pakistan, India, and China in Pre and Post- Covid scenarios. The efficient market hypothesis is a dynamic subject matter that leads to investigating price randomness in the changing economic turmoil and recovery periods. For this purpose, daily data has been taken from yahoo finance for May 2017 to May 2022 for Pakistan, India, and China. The results revealed that in a Pre-COVID period, the highest return was found in November and the lowest returns were found in February for Pakistan, and highest average returns were found in July, and the lowest mean return was found in February; however, the highest mean returns found in January for China and lowest return was found in October. However, the volatility in return was highest in October for Pakistan and India, but for China, the results revealed the highest volatility in February. Post-COVID, the highest returns were found in September for Pakistan &amp; China but for India in November. However, the lowest returns were found in March for Pakistan and India, but for China lowest returns were reported in December. Volatility remained high in December, March, and February for Pakistan, India, and China, respectively. It is concluded that a varying pattern of mean and variance exists in both regimes, and calendar anomaly prevails. The practical implication of this study is to provide an inside for arbitragers, hedgers, and market players on how to benefit from diversification during a crisis.

Profitability of momentum investing strategies in an emerging market

This paper examines the profitability of momentum strategies on the Nigerian stock market over a 20-year period, from 1996 to 2016, using all listed equities on the Nigeria Exchange Limited (NGX) All Share Index. It also evaluates whether or not the profitability of momentum strategies is conditional upon the state of the market. A momentum strategy creates and buys a portfolio of past winners and short-sells a portfolio of past losers to generate excess profit. Our result shows that the Nigerian stock market exhibits medium-term price momentum, with eight out of sixteen strategies recording statistically significant excess momentum returns. The main contribution to the profit is from investing in winner portfolios, all of which recorded positive returns, and mostly significant. Evidence also shows that momentum profits depend on the state of the market. The momentum effect follows the UP market with a mean return of 0.2938%, while it is insignificant in the DOWN market with a mean return of -0.0237%. This paper offers valuable insight into market behavior, highlights the opportunities for alpha generation, and contributes to our understanding of market efficiency in emerging markets.

Day of the week effect on select scheduled commercial banks in India

The Day of the Week effect is a phenomenon observed in financial markets where the performance of securities or stocks varies based on the day of the week. This study investigates the presence of the Day of the Week effect in the financial performance of selected banks. Specifically, it examines whether certain days of the week exhibit consistent patterns of higher or lower returns for these banks. The study focuses on a sample of prominent banks and analyzes their daily stock returns over a specified time period. Various statistical techniques, such as mean return analysis and regression models, are employed to identify and quantify any systematic patterns associated with different days of the week. The findings from this research contribute to the existing literature on market anomalies and behavioral finance by shedding light on the Day of the Week effect in the banking sector. Understanding the presence of such patterns can be valuable for investors, traders, and financial institutions in formulating trading strategies and managing risk. The results of this research will provide insights into the behavior of selected banks' stock returns and offer implications for portfolio management, market efficiency, and regulatory policies. Additionally, the study may prompt further investigation into the underlying causes of the Day of the Week effect, such as investor sentiment, trading behavior, or market microstructure. Overall, this research aims to contribute to the understanding of the Day of the Week effect in the banking sector and its implications for financial markets. By examining the performance of selected banks across different days of the week, this study offers insights that can be valuable to both academics and practitioners in the field of finance.

Mean-variance portfolio selection with random investment horizon

&lt;p style='text-indent:20px;'&gt;This paper studies a continuous-time securities market where an agent, having a random investment horizon and a targeted terminal mean return, seeks to minimize the variance of a portfolio's return. Two situations are discussed, namely a deterministic time-varying density process and a stochastic density process. In contrast to [&lt;xref ref-type="bibr" rid="b18"&gt;18&lt;/xref&gt;], the variance of an investment portfolio is no longer minimal when all assets are invested in a risk-free security. Furthermore, the random investment horizon has a material effect on the efficient frontier. This provides some insights into the classical mutual fund theorem.&lt;/p&gt;