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

Table 2

The MLE 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	0.0496^@	0.2137	0.23	0.3118^@	1.0027	0.31
Market return	𝛽1	0.5118*	0.0371	13.78	0.5272*	0.1221	4.31
Market capitalization	𝛽2	−0.0052^@	0.0110	−0.47	−0.0135^@	0.0184	−0.73
Book to market ratio	𝛽3	−0.0724*	0.0178	−4.06	−0.0806*	0.0203	−3.97
Market value	𝛽4	0.0132^@	0.0084	1.56	0.0129^@	0.0088	1.45
Co-skewness	𝛽5	0			−0.0719**	0.0730	−1.98
Co-kurtosis	𝛽6	0			0.0464***	0.0687	1.67
Sigma-squared	𝜎^2	0.2027*	0.0110	18.41	0.2027*	0.0112	18.05
Gamma	𝛾	0.0185^@	0.0149	1.23	0.0095^@	0.0092	1.02
Mu	μ	0.1225*	0.0385	3.17	0.0878*	0.0294	2.98
Eta	𝜂	−0.2157*	0.0435	−4.95	−0.1639*	0.0135	−12.08

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