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My question is, Can we relate the assumptions of testing capital asset pricing model efficiency with the CAPM assumption? And is there any other approach for measuring efficiency rather than Elliptical Symmetry? Answer: Thank you Group “A” for raising the question. Well, finding an exact fine line between the assumptions of testing CAPM efficiency and CAPM assumption would be difficult. Because, one would need statistical information to prove efficiency. For example, various tests like ARIMA, RUN, and VARIANCE test have been found globally to use to test any form of efficiency. All these tests are subjects to different hypothetical assumptions which are required to incorporate to the software package (e.g. SPSS, EVIEWS, STATA etc.) that is being used. On the other hand, CAPM assumptions are basically the conditions that are required to hold in reality to have the exact expected return. For example, All the investors are risk averse and rational is an assumption of CAPM and all the information are normally distributed is an assumption of CAPM efficiency test Regarding the second question, basically Elliptical Symmetry is something that generalizes a multivariate normal distribution. Since, it’s a form of Normalized Distribution; hence it undertakes all the necessary conditions of normal distribution. So, other form of normal distribution might also be able to measure efficiency but not necessarily would give a completely a different result than elliptical symmetry. Group B: "What is the arbitrage pricing theory (APT) and how does it differ from the capital asset pricing model in terms of assumptions? How does the APT differ from the CAPM in terms of risk measure?" Answer: Hello Group B: Thank you for going through our presentation slides and your question. The answer is mentioned below: Arbitrage Pricing Theory (APT) is a theory of finance for asset pricing of financial assets through a linear function of macroeconomic indicators and factor specific beta coefficient. APT assumes mulch-factors which cause the change in value of financial assets where CAPM represents a single factor model and beta is exposed to market value changes. Eventually, CAPM calculates the return by considering the risk of a particular investment where APT calculates the same thing by considering other macro-economic factors and company specific risk factors. That is why we use separate beta for each factor while working in APT and single beta when we do use CAPM.

Group D Here is the question from group D: "You have mentioned about mutual fund dilemma as one of the problems of CAPM. How can it be related with the different mutual funds of Bangladesh. Can you please elaborate it by giving an example." Thank and Regards, Sakib Ahmed. Group D.

So. if you recall what we had shown on our presentation i. But in reality. it’s a dilemma for fund managers of the mutual funds whether to rely on CAPM model or not to predict the stock returns. Well. the one year market return has been negative in the last year. So.Answer: Dear Group D. the expected return isn’t thought to be negative by the fund managers. using CAPM is rather irrelevant in case of Bangladesh. funds that concentrate on low beta stocks. I don’t think CAPM holds much relevance in our bourses. So.e. the market premium should also be negative than. From my personal experience of working in the mutual fund industry I can strongly say that the necessary assumptions for CAPM don’t hold in the capital market of Bangladesh. small stocks or value stocks will tend to produce positive abnormal returns relative to the predictions of the Sharpe-Lintner CAPM. So. And in case of Bangladesh. We meant. that fund manager who doesn’t rely on CAPM predicted expected return and rather relies on beta which is a measure of systematic risk have usually yielded more returns. . Here is an example. there is a high possibility that the expected return determined through CAPM model can also be negative.

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