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The study investigates the impact of higher moments on cross-sectional returns in the Indian equity market.

Using the daily data of 3,085 Bombay Stock Exchange-listed stocks spanning over 20 years from January 2000 to December 2019, the study evaluates the relationship between higher moments (skewness and kurtosis) and stock returns at individual stock and portfolio levels. The variations in the returns of the equal-weighted and the value-weighted portfolios are analysed, where the portfolios are constructed by sorting the stocks on skewness and kurtosis. The returns are adjusted for five common factors – market excess-returns, size, value, momentum and illiquidity, to controls other cross-sectional effects. Besides, the study employs Fama-MacBeth cross-sectional regression and time-series tests of higher moments as robustness measures.

The study presents higher moments anomaly in the Indian equity market. Contrary to what is expected based on a risk-averse rational agent model, a robust positive relationship is observed between the skewness and stock returns. The relationship between the kurtosis and stock returns is negative, albeit statistically weak. These results are robust for the Fama-MacBeth cross-sectional regression and time-series tests.

It is among the earlier attempts to investigate the pricing impact of higher moments at different levels of asset prices in an emerging market. Besides the standard portfolio methodology for explaining cross-sectional variations, the study also employs the time-series tests for higher moment factors, hence provides more robust results. Results have wider implications for asset pricing in emerging markets and highlight many issues for further research.

The purpose of this paper is to examine the relationships between the higher moments of returns (realized skewness and kurtosis) and subsequent returns at the industry level, with a focus on both empirical predictability and practical application via trading strategies.

Daily returns for 48 US industries over the period 1970–2019 from Kenneth French’s data library are used to calculate the higher moments and to construct short- and medium-term single-sort trading strategies. The analysis adjusts returns for common risk factors (market, size, value, investment, profitability and illiquidity) to confirm whether conventional asset pricing models can capture these relationships.

Past skewness positively relates to subsequent industry returns and this relationship is unexplained by common risk factors. There is also a time-varying effect in which the predictive role of skewness is much stronger over business cycle expansions than recessions, a result consistent with varying investor optimism. However, there is no significant relationship between kurtosis and subsequent industry returns. The analysis confirms robustness using both value- and equal-weighted returns.

The calculation of realized moments conventionally uses high-frequency intra-day data, regrettably unavailable for industries. In addition, the chosen portfolio-sorting method may omit some information, as it compares only average group returns. Nonetheless, the close relationship between skewness and future returns at the industry level suggests variations in returns unexplained by common risk factors. This enriches knowledge of market anomalies and questions yet again weak-form market efficiency and the validity of conventional asset pricing models. One suggestion is that it is possible to significantly improve the existing multi-factor asset pricing models by including industry skewness as a risk factor.

Given the relationship between skewness and future returns at the industry level, investors may predict subsequent industry returns to select better-performing funds. They may even construct trading strategies based on return distributions that would generate abnormal returns. Further, as the evaluation of individual stocks also contains industry information, and stocks in industries with better performance earn higher returns, risks related to industry return distributions can also shed light on individual stock picking.

While there is abundant evidence of the relationships between higher moments and future returns at the firm level, there is little at the industry level. Further, by testing whether there is time variation in the relationship between industry higher moments and future returns, the paper yields novel evidence concerning the asymmetric effect of stock return predictability over business cycles. Finally, the analysis supplements firm-level results focusing only on the decomposed components of higher moments.

This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option prices from the volatility surface of the Euro Stoxx 50 Index, the paper shows that the pricing accuracy of these models is very satisfactory under four different pricing error functions. The result is that taking a position in a third moment swap considerably improves the performance of the standard hedge of a variance swap based on a static position in the log-contract and a dynamic trading strategy. The position in the third moment swap is taken by running a Monte Carlo simulation.

This paper undertook empirical tests of three parametric models. The aim of the paper is twofold: assess the pricing accuracy of these models and show how the classical hedge of the variance swap in terms of a position in a log-contract and a dynamic trading strategy can be significantly enhanced by using third-order moment swaps. The pricing accuracy was measured under four different pricing error functions. A Monte Carlo simulation was run to take a position in the third moment swap.

The results of the paper are twofold: the pricing accuracy of the Heston (1993) model and that of two Levy models with stochastic time and stochastic volatility are satisfactory; taking a position in third-order moment swaps can significantly improve the performance of the standard hedge of a variance swap.

The limitation is that these empirical tests are conducted on existing three parametric models. Maybe more critical insights could have been revealed had these tests been conducted in a brand new derivatives pricing model.

This work is 100 per cent original, and it undertook empirical tests of the pricing and hedging accuracy of existing three parametric models.

Tapered section can resist maximum stress at a single location while the stresses are considerably lower at the rest of the member; therefore, it could have higher structural efficiency compared to conventional section. It could also satisfy functional requirements while reducing weight and cost in many fields of civil construction. Perforation in the steel section also eases the integration of Mechanical and Electrical (M&E) services such as ventilation pipes and electrical cables within the structural depths of the beam. In this analysis, the structural efficiency of tapered steel section with perforation under lateral-torsional buckling behaviour is investigated.

A total of 81 models are analysed using LUSAS software and five variables are investigated which involved perforation sizes, perforation shapes, perforation layout, tapering ratio and flange and Web thickness. Buckling moment is obtained from the analysis results in LUSAS software, while self-weight and structural efficiency are manually calculated.

Perforation size of 0.75 D has the highest structural efficiency, although it can withstand a smaller buckling load. This is due to its lower self-weight compared to other perforation sizes. The square perforation shape also has the highest structural efficiency compared to circular perforation and diamond perforation. An increment of percentage in structural efficiency of the square perforation shape with 0.75 D is the highest at 3.07%. The circular perforation shape with 0.75 D (Open-Open-Open perforation layout) has the highest increment of percentage in structural efficiency which is 2.37%. The tapering ratio of 0.3 is the most efficient and an increment of percentage in structural efficiency is 114.36%. The flange thickness of 0.02 m and Web thickness of 0.015 m has the highest structural efficiency at 45.756 and 29.171, respectively.

In conclusion, a section should be able to resist the large buckling moment and has a lower self-weight to achieve high structural efficiency.

The purpose of this paper is to perform a relative assessment of performance benchmarks based on alternative asset pricing models to evaluate performance of mutual funds and suggest the best approach in Indian context.

Sample of 237 open-ended Indian equity (growth) schemes from April 2003 to March 2013 is used. Both unconditional and conditional versions of eight performance models are employed, namely, Jensen (1968) measure, three-moment asset pricing model, four-moment asset pricing model, Fama and French (1993) three-factor model, Carhart (1997) four-factor model, Elton et al. (1999) five-index model, Fama and French (2015) five-factor model and firm quality five-factor model.

Conditional version of Carhart (1997) model is found to be the most appropriate performance benchmark in the Indian context. Success of conditional models over unconditional models highlights that fund managers dynamically manage their portfolios.

A significant α generated over and above the return estimated using Carhart’s (1997) model reflects true stock-picking skills of fund managers and it is, therefore, worth paying an active management fee. Stock exchanges and credit rating agencies in India should construct indices incorporating size, value and momentum factors to be used for purpose of benchmarking.

The study adds new evidence as to applicability of established asset pricing models as performance benchmarks in emerging market India. It examines role of higher order moments in explaining mutual fund returns which is an under researched area.

The purpose of this paper is to introduce a non‐normality premium (NNP) to identify the extra return that will compensate an investor for a non‐normal return distribution. The NNP quantifies the economic significance of non‐normality to complement a statistical significance test of non‐normality, such as the Jarque‐Bera test.

The NNP is patterned after the risk premium, the amount that compensates an investor for the risk of an investment. The theoretical NNP is examined on the margins with Taylor series approximation and applied to hedge fund data.

An increase of 1 in the skewness has the same effect on an investor as an increase in the mean of 2.5 basis points per month. An increase of 1 in the kurtosis has the same effect on an investor as a decrease in the mean of 0.15 basis points per month. A sample of 716 hedge funds revealed that while 72 per cent statistically reject normality, only 29 per cent require more than a single basis point per month difference in the mean to compenscate an investor for the non‐normality.

The NNP allows for a valuation on the higher moments (skewness and kurtosis) of an investor's return distribution. The evaluation is tailored to the individual through use of a utility function. Once applied to an alternative investment vehicle, it is learned that rejecting normality is not sufficient grounds to suspect that the non‐normality is important to investors.

Due to the enormous increase in economic development, structural steel material gives an advantage for the construction of stadiums, factories, bridges and cities building design. The purpose of this study is to investigate the behaviour of bending, buckling and torsion for I-beam steel section with and without web opening using non-linear finite element analysis.

The control model was simulated via LUSAS software with the four main parameters which included opening size, layout, shape and orientation. The analysis used a constant beam span which is 3.5 m while the edge distance from the centre of the opening to the edge of the beam is kept constant at 250 mm at each end.

The analysis results show that the optimum opening size obtained is 0.65 D while optimum layout of opening is Layout 1 with nine web openings. Under bending behaviour, steel section with octagon shapes of web opening shows the highest yield load, yield moment and thus highest structural efficiency as compared to other shapes of openings. Besides, square shape of web opening has the highest structural efficiency under buckling behaviour. The lower buckling load and buckling moment contribute to the higher structural efficiency.

Further, the square web opening with counter clockwise has the highest structural efficiency under torsion behaviour.

In literature, previous studies have focused on analyzing rienforced concrete (RC) columns with idealized end conditions when subjected to fire. In nature, full fixity or free rotation at column ends is not attained. Such ends may be considered partially restrained in rotation. This paper aims to shed a new light on the effect of different degrees of rotational restraint on the lateral deformation behavior of slender heated RC columns subjected to non-linear strain distributions produced by a time-dependent temperature history.

To find the strain distribution on the cross section, an iterative technique is adopted using Newton–Raphson method. By introducing a reliable calculation procedure, the lateral deformational behavior is expressed using numerical and searching techniques. A methodology is presented to calculate the effective length factor for RC columns at elevated temperature.

The results of the proposed model showed good agreement with available experimental test results. It was also found that the variation of rotational end restraint level has a considerable effect on the lateral deformation behavior of heated slender RC columns. In addition, the effectiveness and the validity of an analytical model should be verified by simultaneously validating the axial and lateral deformations. Moreover, the effective length factor for heated column is higher than that for the corresponding column at ambient temperature.

This paper shows the impact of different boundary conditions on the behavior of heated slender RC columns. It suggests powerful techniques to determine the lateral deflection and the effective length factor at high temperatures.

Two disastrous Tsunamis, one on the west coast of Sumatra Island, Indonesia, in 2004 and another in North East Japan in 2011, had seriously destroyed a large number of bridges. Thus, experimental tests in a wave flume and a fluid structure interaction (FSI) analysis were constructed to gain insight into tsunami bore force on coastal bridges.

Various wave heights and shallow water were used in the experiments and computational process. A 1:40 scaled concrete bridge model was placed in mild beach profile similar to a 24 × 1.5 × 2 m wave flume for the experimental investigation. An Arbitrary Lagrange Euler formulation for the propagation of tsunami solitary and bore waves by an FSI package of LS-DYNA on high-performance computing system was used to evaluate the experimental results.

The excellent agreement between experiments and computational simulation is shown in results. The results showed that the fully coupled FSI models could capture the tsunami wave force accurately for all ranges of wave heights and shallow depths. The effects of the overturning moment, horizontal, uplift and impact forces on a pier and deck of the bridge were evaluated in this research.

Photos and videos captured during the Indian Ocean tsunami in 2004 and the 2011 Japan tsunami showed solitary tsunami waves breaking offshore, along with an extremely turbulent tsunami-induced bore propagating toward shore with significantly higher velocity. Consequently, the outcomes of this current experimental and numerical study are highly relevant to the evaluation of tsunami bore forces on the coastal, over sea or river bridges. These experiments assessed tsunami wave forces on deck pier showing the complete response of the coastal bridge over water.

To generalize the traditional 2nd order stochastic perturbation technique for input random variables and fields and to demonstrate for flow problems.

The methodology is based on an n‐th order expansion (perturbation) for input random parameters and state functions around their expected value to recover probabilistic moments of the response. A finite element formulation permits stochastic simulations on irregular meshes for practical applications.

The methodology permits approximation of expected values and covariances of quantities such as the fluid pressure and flow velocity using both symbolic and discrete FEM computations. It is applied to inviscid irrotational flow, Poiseulle flow and viscous Couette flow with randomly perturbed boundary conditions, channel height and fluid viscosity to illustrate the scheme.

The focus of the present work is on the basic concepts as a foundation for extension to engineering applications. The formulation for the viscous incompressible problem can be implemented by extending a 3D viscous primitive variable finite element code as outlined in the paper. For the case where the physical parameters are temperature dependent this will necessitate solution of highly non‐linear stochastic differential equations.

Techniques presented here provide an efficient approach for numerical analyses of heat transfer and fluid flow problems, where input design parameters and/or physical quantities may have small random fluctuations. Such an analysis provides a basis for stochastic computational reliability analysis.

The mathematical formulation and computational implementation of the generalized perturbation‐based stochastic finite element method (SFEM) is the main contribution of the paper.