Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency

Table 1

The OLS estimates without (with) considering co-skewness and co-kurtosis.

Variables	Parameters	WOSK			WSK
		Coefficients	S.E	t-value	Coefficients	S.E	t-value
Constant	𝛽0	0.0524^@	0.2117	0.24	0.2548^@	0.4269	0.59
Market return	𝛽1	0.5244*	0.0385	13.60	0.5251*	0.0389	13.49
Market capitalization	𝛽2	−0.0062^@	0.0109	−0.56	−0.0063^@	0.0109	−0.57
Book to market ratio	𝛽3	−0.0742*	0.0179	−4.13	−0.0735*	0.0179	−4.08
Market value	𝛽4	0.0085^@	0.0076	1.12	0.0081^@	0.0076	1.05
Co-skewness	𝛽5				−0.05993***	0.0436	−1.72
Co-kurtosis	𝛽6				0.0227***	0.0357	1.65
Sigma-squared	𝜎^2	0.2083			0.2081

∗,∗∗,∗∗∗Significance level at 1%, 5%, and 10% consecutively, ^@means insignificant, S.E: standard error.