Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?

We investigate whether low-priced stocks drive long-term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama-French risk adjusted basis, we find both low-priced and middle-priced losers have significantly positive returns. When we adjust returns by market and liquidity risk, only middle-priced losers maintain their positive returns. Our results reveal that low-priced stocks are not fully responsible for contrarian performance. Our empirical evidence is generally consistent with the overreaction hypothesis and behavioral models of value investing.

Momentum Trading in New York Stock Exchange (NYSE) Energy Stocks

This paper investigates whether the momentum effect exists in the NYSE energy sector. Momentum is defined as the strategy that buys (sells) these stocks that are best (worst) performers, over a pre-specified past period of time (the 'look-back' period), by constructing equally weighted portfolios. Different momentum strategies are obtained by changing the number of stocks included in these portfolios, as well as the look-back period. Next, their performance is compared against two benchmarks: the equally weighted portfolio consisting of most stocks in the NYSE energy index and the market portfolio, and the S&P500 index. The results indicate that the momentum effect is strongly present in the energy sector, and leads to highly profitable portfolios, improving the risk-reward measures and easily outperforming both benchmarks.

The cross-section of stock returns in an early stock market

Using a new dataset which contains monthly data on 1015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular explanations of asset pricing behavior. Using portfolio analysis and Fama–MacBeth regressions, we find that stock characteristics such as beta, illiquidity, dividend yield, and past-year return performance are all positively correlated with stock returns. However, market capitalization and past-three-year return performance have no significant correlation with stock returns.

What Moved Share Prices in the Nineteenth-Century London Stock Market?

Using a new weekly blue-chip index, this paper investigates the causes of stock price movements on the London market between 1823 and 1870. We find that economic fundamentals explain about 15 per cent of weekly and 34 per cent of monthly variation in share prices. Contemporary press reporting from the London Stock Exchange is used to ascertain what market participants thought were causing the largest movements on the market. The vast majority of large movements were attributed by the press to geopolitical, monetary, railway-sector, and financial-crisis news. Investigating the stock price changes on an independent list of events reaffirms these findings, suggesting that the most important specific events which moved markets were wars involving European powers.

Technology and the architecture of markets: re-configuring the Canadian equity market

This paper examines the relation between technical possibilities, liberal logics, and the concrete reconfiguration of markets. It focuses on the enrolling of innovations in communication and information technologies into the markets traditionally dominated by stock exchanges. With the development of capacities to trade on-screen, the power of incumbent market makers has been challenged as a less stable array of competing quasi-public and private marketplaces emerges. Developing a case study of the Toronto Stock Exchange, I argue that narrative emphasis on the performative power of sociotechnical innovations, the deterritorialisation of financial relations, and the erosion of state capacities needs qualification. A case is made for the importance of developing an understanding of: the spaces of encounter between emerging social technologies and property rights, rules of exchange, and structures of governance; and the interplay of orderings of different institutional composition and spatial reach in the reconfiguration of market architectures. Only then can a better grasp be gained of the evolving dynamics between making markets, the regulatory powers of the state, and their delimitations.

Ownership Patterns and Control in Turkish Listed Companies

The purpose of this paper is to document the prevalent ownership concentration, structure and control in the top 100 companies listed on the Istanbul Stock Exchange. The results are discussed in the context of emerging corporate governance trends in Turkey. Where appropriate, comparisons with other countries are provided. The results of the study indicate that ownership of Turkish companies is highly concentrated, families being the dominant shareholders. The separation of ownership and control among Turkish companies is mainly achieved through pyramidal ownership structures and the presence of big business groups. However, the cash flow and voting rights in Turkish companies are relatively more aligned compared to other family–ownership–dominated insider–system countries.

Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application

This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the presence of multiple factors and also other non-standard situations. The behaviour of some information criteria used to determine the number of factors in a panel is examined and new information criteria with improved properties in small-N panels proposed. An application to the efficient markets hypothesis is also provided. The null hypothesis of a panel random walk is not rejected by any of the tests, supporting the efficient markets hypothesis in the financial services sector of the Australian Stock Exchange.

Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.

Reading the Irishwoman: Studies in Cultural Encounter and Exchange, 1714-1960

In 1700 few Irishwomen were literate. Most lived in a rural environment, rarely encountered a book or a play or ventured much beyond their own domestic space. By 1960 literacy was universal, all Irishwomen attended primary school, had access to a variety of books, magazines, newspapers and other forms of popular media and the wider world was now part of their every-day life. This study seeks to examine the cultural encounters and exchanges inherent in this transformation. It analyses reading and popular and consumer culture as sites of negotiation of gender roles. This is not an exhaustive treatment of the theme but focusses on three key points of cultural encounter: the Enlightenment, emigration and modernism. The writings and intellectual discourse generated by the Enlightenment was one of the most influential forces shaping western society. It set the agenda for scientific, political and social thought for the eighteenth and nineteenth centuries. The migration of peoples to north America was another key historical marker in the development of the modern world. Emigration altered and shaped American society as well as the lives of those who remained behind. By the twentieth century, aesthetic modernism suspicious of enlightenment rationalism and determined to produce new cultural forms developed in a complex relationship with the forces of industrialisation, urbanisation and social change. This study analyses the impact of these three key forces in Western culture on changing roles and perceptions of Irish women from 1700 to 1960.

Exchange-correlation energy and potential as approximate functionals of occupied and virtual Kohn-Sham orbitals: Application to dissociating H-2

The standard local density approximation and generalized gradient approximations fail to properly describe the dissociation of an electron pair bond, yielding large errors (on the order of 50 kcal/mol) at long bond distances. To remedy this failure, a self-consistent Kohn-Sham (KS) method is proposed with the exchange-correlation (xc) energy and potential depending on both occupied and virtual KS orbitals. The xc energy functional of Buijse and Baerends [Mol. Phys. 100, 401 (2002); Phys. Rev. Lett. 87, 133004 (2001)] is employed, which, based on an ansatz for the xc-hole amplitude, is able to reproduce the important dynamical and nondynamical effects of Coulomb correlation through the efficient use of virtual orbitals. Self-consistent calculations require the corresponding xc potential to be obtained, to which end the optimized effective potential (OEP) method is used within the common energy denominator approximation for the static orbital Green's function. The problem of the asymptotic divergence of the xc potential of the OEP when a finite number of virtual orbitals is used is addressed. The self-consistent calculations reproduce very well the entire H-2 potential curve, describing correctly the gradual buildup of strong left-right correlation in stretched H-2. (C) 2003 American Institute of Physics.

Exchange potential from the common energy denominator approximation for the Kohn-Sham Green's function: Application to (hyper)polarizabilities of molecular chains

An approximate Kohn-Sham (KS) exchange potential v(xsigma)(CEDA) is developed, based on the common energy denominator approximation (CEDA) for the static orbital Green's function, which preserves the essential structure of the density response function. v(xsigma)(CEDA) is an explicit functional of the occupied KS orbitals, which has the Slater v(Ssigma) and response v(respsigma)(CEDA) potentials as its components. The latter exhibits the characteristic step structure with "diagonal" contributions from the orbital densities \psi(isigma)\(2), as well as "off-diagonal" ones from the occupied-occupied orbital products psi(isigma)psi(j(not equal1)sigma). Comparison of the results of atomic and molecular ground-state CEDA calculations with those of the Krieger-Li-Iafrate (KLI), exact exchange (EXX), and Hartree-Fock (HF) methods show, that both KLI and CEDA potentials can be considered as very good analytical "closure approximations" to the exact KS exchange potential. The total CEDA and KLI energies nearly coincide with the EXX ones and the corresponding orbital energies epsilon(isigma) are rather close to each other for the light atoms and small molecules considered. The CEDA, KLI, EXX-epsilon(isigma) values provide the qualitatively correct order of ionizations and they give an estimate of VIPs comparable to that of the HF Koopmans' theorem. However, the additional off-diagonal orbital structure of v(xsigma)(CEDA) appears to be essential for the calculated response properties of molecular chains. KLI already considerably improves the calculated (hyper)polarizabilities of the prototype hydrogen chains H-n over local density approximation (LDA) and standard generalized gradient approximations (GGAs), while the CEDA results are definitely an improvement over the KLI ones. The reasons of this success are the specific orbital structures of the CEDA and KLI response potentials, which produce in an external field an ultranonlocal field-counteracting exchange potential. (C) 2002 American Institute of Physics.

Shape corrections to exchange-correlation potentials by gradient-regulated seamless connection of model potentials for inner and outer region

Shape corrections to the standard approximate Kohn-Sham exchange-correlation (xc) potentials are considered with the aim to improve the excitation energies (especially for higher excitations) calculated with time-dependent density functional perturbation theory. A scheme of gradient-regulated connection (GRAC) of inner to outer parts of a model potential is developed. Asymptotic corrections based either on the potential of Fermi and Amaldi or van Leeuwen and Baerends (LB) are seamlessly connected to the (shifted) xc potential of Becke and Perdew (BP) with the GRAC procedure, and are employed to calculate the vertical excitation energies of the prototype molecules N-2, CO, CH2O, C2H4, C5NH5, C6H6, Li-2, Na-2, K-2. The results are compared with those of the alternative interpolation scheme of Tozer and Handy as well as with the results of the potential obtained with the statistical averaging of (model) orbital potentials. Various asymptotically corrected potentials produce high quality excitation energies, which in quite a few cases approach the benchmark accuracy of 0.1 eV for the electronic spectra. Based on these results, the potential BP-GRAC-LB is proposed for molecular response calculations, which is a smooth potential and a genuine "local" density functional with an analytical representation. (C) 2001 American Institute of Physics.

Controls on stone temperatures and the benefits of interdisciplinary exchange

Data derived from a series of field and laboratory studies of the influence of albedo and thermal conductivity on stone temperatures are reported. They indicate the complexity of surface/subsurface temperature response characteristics of different stone types exposed to the same conditions and highlight the influence of albedo and thermal conductivity on micro-environmental conditions at the rock/air interface – conditions which have significant implications for the nature and rate of weathering activity and which may, over time, affect any surface treatments applied to stone surfaces. Although the studies reviewed were carried out within the subject area of geomorphology, the data reported and the implications for stone weathering arising from them, may be of some relevance to the conservation science perspective on deterioration of contemporary, historical and archaeological stonework.