Momentum profits following bull and bear markets

This paper examines the profitability that the widely published momentum strategy achieves following bull and bear markets. Investors can gain stronger momentum profits by adopting the continuation strategy after poor lagged market returns. The longer the duration used to describe the bear state, the stronger the momentum returns that are realised. The results contradict the theoretical findings of the investors' overconfidence model of Daniel et al. (`Investor Psychology and Security Market Under- and Over-Reactions', Journal of Finance, 53, 1839-85, 1998) and the follow-the-trend model of Kim (`Long-term Momentum Hypothesis: Contrarian and Momentum Strategies', Working Paper, 2002), but concur with the theoretical results of the traders' hesitation model of Du (`Heterogeneity in Investor Confidence and Asset Market Under- and Overreaction', Working Paper, 2002).

Palaeozoic volcanogenic mineral deposits at Parys Mountain, Avoca, and S.E. Canada: a comparative study. Available in 2 volumes.

The sulphide mineralisation at Avoca and Parys Mountain is intimately related to volcanism and is of volcanogenic sedimentary type. The associated volcanics are predominantly pyroclastics of rhyodacitic composition and of Upper Ordovician age. They were erupted from discrete small volcanic centres, products of single local volcanic events, whose spatial distribution was related to fractures in the sialic basement of the paratectonic Caledonides of the British Isles. These fractures resulted in linear controls on volcanic, plutonic and tectonic features; they are the result of predominantly strikeslip stresses generated in this part of the European plate during closure of the Iapetus ocean. The mineralisation, predominantly pyritic, consists of a siliceous footwall zone containing bedded and cross-cutting sulphides and an overlying non-siliceous zone of bedded sulphides which may show vertical zoning of metal ratios. The sulphides are associated with chert and iron formation and have been affected by slumping. Mineralisation developed near the vents during intense fumarolic activity accompanying strong volcanism; at Parys Mountain, fumarolic activity commenced prior to, and continued after, the rnain volcanic event. Comparison with similar deposits in Newfoundland and at Bathurst, in the Canadian Appalachians, shows that mineralisation can be associated with any discrete pulse of acid magmatism in shallow subaqueous conditions. Local features of the sulphides and associated sediments are similar, although in more distal deposits (with respect to a volcanic centre) footwall alteration and mineralisation are less well developed. The nature of the basement and the presence or absence of earlier volcanics are not critical, although establishment of a local tensional regime at the time of ore formation may be important. The volcanics hosting mineralisation are rhyodacitic pyroclastics, generally related to a small centre and representing a single episode of volcanism.

Geochemistry of some sulphides and sulpho-salts from Parys Mountain, Anglesey

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The relationship of mineralization to petrology at Parys Mountain, Anglesey

The Lower Palaeozoic succession at Parys Mountain overlies a Precambrian basement (the Iona Series). This succession consists of Ordovician slates, overlain by, and in part interbedded with, Ordovician dacitic and rhyolitic volcanics, which in turn are unconformably overlain by Silurian slates. Both basement and Palaeozoic rocks have been deformed during Caledonian and Variscan orogenies. The resultant structure of Parys Mountain is interpreted as an east-north-easterly trending, single syncline overturned to the north. Many primary extrusive characters are retained by the volcanic rocks, despite the high degree of deformation. The lithologies and textures allow subdivision and interpretation of these rocks as dacite, lithic tuff, siliceous sinter, rhyolitic tuff, rhyolitic ignimbrite, rhyolitic tuff-lava, and rhyolitic lava. The results of 61 bulk chemical analyses are interpreted to show that the volcanism was of the orogenic calc-alkaline type from a continental margin/island arc environment. The magmas probably result from either partial melting of the crustal part of the oceanic lithosphere on a Benioff zone, or partial melting of the mantle, above a Benioff zone, under high load pressures and high water pressures. The mineral deposits are largely confined within the volcanic succession though some occur in the Ordovician and Silurian slates near to their contacts with the volcanics. The majority of the deposits form conformable lenses and tabular bodies, with subordinate deposits as veins and stockworks. The ore mineral assemblages are of chalcopyrite, galena, sphalerite, and pyrite. The general paragenetic sequence (73 sections) is pyrite--chalcopyrite--galena-sphalerite. The main mineralization episode is interpreted to be syngenetic, genetically related to the volcanism. The veins and stockworks probably result from Caledonian and Variscan remobilization of the primary mineralization. Trace element analyses (Cu, Zn, Pb, Ni, Co, Cd, Cr, Hg, Ba, Sr), on 350 specimens, detected anomalous concentrations of these elements around the mineralized zones, though some occur where no mineralization was found. The analyses also indicate a close relationship between the mineralization and the volcanic horizons, especially the siliceous sinter.