Concurrent momentum and contrarian strategies in the Australian stock market

We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only short-term contrarian strategies significantly outperform the simple buy-and-hold strategy of investing in the market index over the same period. Further examination of these strategies shows that the Australian mining sector undermines the performance of momentum while enhancing performance of contrarian strategies. Lastly, using both parametric and non-parametric approaches, we show that these strategies’ returns are persistent anomalies and not completely explained by standard return-generating models.

Typology of alcohol mixed with energy drink consumers: motivations for use

Background: Previous research on alcohol mixed with energy drinks (AmED) has shown that use is typically driven by hedonistic, social, functional, and intoxication-related motives, with differential associations with alcohol-related harm across these constructs. There has been no research looking at whether there are subgroups of consumers based on patterns of motivations. Consequently, the aims were to determine the typology of motivations for AmED use among a community sample and to identify correlates of subgroup membership. In addition, we aimed to determine whether this structure of motivations applied to a university student sample. Methods: Data were used from an Australian community sample (n = 731) and an Australian university student sample (n = 594) who were identified as AmED consumers when completing an online survey about their alcohol and ED use. Participants reported their level of agreement with 14 motivations for AmED use; latent classes of AmED consumers were identified based on patterns of motivation endorsement using latent class analysis. Results: A 4-class model was selected using data from the community sample: (i) taste consumers (31%): endorsed pleasurable taste; (ii) energy-seeking consumers (24%): endorsed functional and taste motives; (iii) hedonistic consumers (33%): endorse pleasure and sensation-seeking motives, as well as functional and taste motives; and (iv) intoxication-related consumers (12%): endorsed motives related to feeling in control of intoxication, as well as hedonistic, functional, and taste motives. The consumer subgroups typically did not differ on demographics, other drug use, alcohol and ED use, and AmED risk taking. The patterns of motivations for the 4-class model were similar for the university student sample. Conclusions: This study indicated the existence of 4 subgroups of AmED consumers based on their patterns of motivations for AmED use consistently structured across the community and university student sample. These findings lend support to the growing conceptualization of AmED consumers as a heterogeneous group in regard to motivations for use, with a hierarchical and cumulative class order in regard to the number of types of motivation for AmED use. Prospective research may endeavor to link session-specific motives and outcomes, as it is apparent that primary consumption motives may be fluid between sessions.

Estimating Forward Pricing Function: How Efficient is Indian Stock Index Futures Market?

This paper uses Indian stock futures data to explore unbiased expectations and efficient market hypothesis. Having experienced voluminous transactions within a short time span after its establishment, the Indian stock futures market provides an unparalleled case for exploring these issues involving expectation and efficiency. Besides analyzing market efficiency between cash and futures prices using cointegration and error correction frameworks, the efficiency hypothesis is also investigated after explicitly modeling the underlying state of the market (expansion or contraction) through the first-order Markov switching set-up. The results based on Markov switching analysis show that relatively longer time horizon is more effective in eliminating arbitrage opportunities than the short run.

Corporate social responsibility programs of big food in Australia: a content analysis of industry documents

OBJECTIVE: To examine Corporate Social Responsibility (CSR) tactics by identifying the key characteristics of CSR strategies as described in the corporate documents of selected 'Big Food' companies. METHODS: A mixed methods content analysis was used to analyse the information contained on Australian Big Food company websites. Data sources included company CSR reports and web-based content that related to CSR initiatives employed in Australia. RESULTS: A total of 256 CSR activities were identified across six organisations. Of these, the majority related to the categories of environment (30.5%), responsibility to consumers (25.0%) or community (19.5%). CONCLUSIONS: Big Food companies appear to be using CSR activities to: 1) build brand image through initiatives associated with the environment and responsibility to consumers; 2) target parents and children through community activities; and 3) align themselves with respected organisations and events in an effort to transfer their positive image attributes to their own brands. IMPLICATIONS: Results highlight the type of CSR strategies Big Food companies are employing. These findings serve as a guide to mapping and monitoring CSR as a specific form of marketing.

Clustering of attitudes towards obesity: a mixed methods study of Australian parents and children

BACKGROUND: Current population-based anti-obesity campaigns often target individuals based on either weight or socio-demographic characteristics, and give a 'mass' message about personal responsibility. There is a recognition that attempts to influence attitudes and opinions may be more effective if they resonate with the beliefs that different groups have about the causes of, and solutions for, obesity. Limited research has explored how attitudinal factors may inform the development of both upstream and downstream social marketing initiatives. METHODS: Computer-assisted face-to-face interviews were conducted with 159 parents and 184 of their children (aged 9-18 years old) in two Australian states. A mixed methods approach was used to assess attitudes towards obesity, and elucidate why different groups held various attitudes towards obesity. Participants were quantitatively assessed on eight dimensions relating to the severity and extent, causes and responsibility, possible remedies, and messaging strategies. Cluster analysis was used to determine attitudinal clusters. Participants were also able to qualify each answer. Qualitative responses were analysed both within and across attitudinal clusters using a constant comparative method. RESULTS: Three clusters were identified. Concerned Internalisers (27% of the sample) judged that obesity was a serious health problem, that Australia had among the highest levels of obesity in the world and that prevalence was rapidly increasing. They situated the causes and remedies for the obesity crisis in individual choices. Concerned Externalisers (38% of the sample) held similar views about the severity and extent of the obesity crisis. However, they saw responsibility and remedies as a societal rather than an individual issue. The final cluster, the Moderates, which contained significantly more children and males, believed that obesity was not such an important public health issue, and judged the extent of obesity to be less extreme than the other clusters. CONCLUSION: Attitudinal clusters provide new information and insights which may be useful in tailoring anti-obesity social marketing initiatives.

Shaping pathways to gambling consumption? An analysis of the promotion of gambling and non-gambling activities from gambling venues

Background: In Australia, venues which provide gambling activities also provide activities that are utilised by families and children. However, there has been limited theoretical or empirical discussion about whether engagement with non-gambling activities may play a role in shaping pathways to current or future engagement in gambling within these environments. We examined marketing tactics for non-gambling and gambling activities in Clubs. Using this data, we propose a conceptual model to test the role of non-gambling activities within gambling environments in shaping gambling attitudes and consumption intentions.

Methods: This study used a mixed method interpretive content analysis to review the marketing activities on the websites of a sample of 65 registered Clubs in New South Wales, Australia. We identified the extent and nature of techniques used to market gambling and non-gambling activities, particularly non-gambling activities directed towards families and children.

Results: Clubs use various marketing tactics to appeal to families and encourage parents to bring their children into venues. We hypothesise that marketing aimed at bringing children and families into gambling environments may play a role in shaping children’s and adults perceptions of these environments and may be influential in the development of a pathway that increases the likelihood that children will continue to visit these environments as adults, and subsequently the extent to which they engage in gambling later in life.

Conclusions: Future research should explore how the presence of family-friendly activities in Clubs and other venues with gambling activities may play a role in shaping future gambling attitudes and behaviours.

Whether smaller plates reduce consumption depends on who’s serving and who’s looking: a meta-analysis

The literature on whether varying plate size has an effect on consumption is mixed and contradictory.This meta-analysis of 56 studies from 20 papers shows that varying the size of the container holding food (e.g., plate orbowl) has a substantial effect on amount self-served and/or consumed (Cohen’s d 5 .43). More generally, we found adoubling of plate size increased the amount self-served or amount consumed by 41%. Our analysis resolves the variouscontradictions of past reviews: we found that the plate-size effect had a substantial effect on amount self-served (d 5.51) and on amount consumed when the portion was self-served (d 5 .70) or manipulated along with (confoundedwith) plate size (d 5 48). However, plate size had no effect on amount consumed when the portion size was held constant(d 5 .03). Overall, plate size had a stronger effect when participants were unaware that they were participatingin a food study (d 5 .76).

A simple test for nonstationarity in mixed panels: A further investigation

The test of Ng (2008) is one of the few that enables general inference regarding the proportion of non-stationary units in panel data. The current paper furthers the investigation of Ng (2008) in two directions. First, the existing sequential limit analysis is generalized to a very flexible asymptotic framework in which the number of time periods, T, can be either fixed or tending to infinity jointly with the number of cross-section units, N. Second, the test statistic is evaluated not only under the null hypothesis, but also under alternatives that can be either fixed or local.

Analysis of fetal heart rate asymmetry before and after 35 weeks of gestation

In this study, we have investigated the evidence of fetal heart rate asymmetry and how the fetal heart rate asymmetry changes before and after 35 weeks of gestation. Noninvasive fetal electrocardiogram (fECG) signals from 45 pregnant women at the gestational age from16 to 41 weeks with normal single pregnancies were analysed. A nonlinear parameter called heart rate asymmetry (HRA) index that measures time asymmetry of RR interval time-series signal was used to understand the changes of HRA in early and late fetus groups. Results indicate that fetal HRA measured by Porta's Index (PI) consistently increases after 35 weeks gestation compared to foetus before 32 weeks of gestation. It might be due to significant changes of sympatho-vagal balance towards delivery with more sympathetic surge. On the other hand, Guzik's Index (GI) showed a mixed effect i.e., increases at lower lags and decreases at higher lags. Finally, fHRA could potentially help identify normal and the pathological autonomic nervous system development.

The study of adsorption mechanism of mixed pesticides prometryne-acetochlor in the soil-water system

This article reported adsorption mechanism of mixed pesticides Prometryne-Acetochlor (PA) in soil. Thermodynamics and adsorption isotherms were used to preliminarily evaluate adsorption force, and IR and XRD were used to characterize adsorption characteristics between Prometryne/Acetochlor (PA) and soil, The result shows that adsorption isotherms is F-type, adsorptive heat are 9.57 kJ/mol and -93.83 kJ/mol of prometryne and acetochlor respectively. Hydrogen bonds also had been confirmed by IR and XRD analysis. The results can provide a theoretical support to the use of mixed pesticides agents.

Mixed-signal analog-digital circuits design on the pre-diffused digital array using trapezoidal association of transistors

The mixed-signal and analog design on a pre-diffused array is a challenging task, given that the digital array is a linear matrix arrangement of minimum-length transistors. To surmount this drawback a specific discipline for designing analog circuits over such array is required. An important novel technique proposed is the use of TAT (Trapezoidal Associations of Transistors) composite transistors on the semi-custom Sea-Of-Transistors (SOT) array. The analysis and advantages of TAT arrangement are extensively analyzed and demonstrated, with simulation and measurement comparisons to equivalent single transistors. Basic analog cells were also designed as well in full-custom and TAT versions in 1.0mm and 0.5mm digital CMOS technologies. Most of the circuits were prototyped in full-custom and TAT-based on pre-diffused SOT arrays. An innovative demonstration of the TAT technique is shown with the design and implementation of a mixed-signal analog system, i. e., a fully differential 2nd order Sigma-Delta Analog-to-Digital (A/D) modulator, fabricated in both full-custom and SOT array methodologies in 0.5mm CMOS technology from MOSIS foundry. Three test-chips were designed and fabricated in 0.5mm. Two of them are IC chips containing the full-custom and SOT array versions of a 2nd-Order Sigma-Delta A/D modulator. The third IC contains a transistors-structure (TAT and single) and analog cells placed side-by-side, block components (Comparator and Folded-cascode OTA) of the Sigma-Delta modulator.

Analysis of contagion from the constant conditional correlation model with Markov regime switching

Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the nancial contagion between stock market returns. The econometric approach employed was originally presented by Pelletier (2006), named Regime Switching Dynamic Correlation (RSDC). This methodology involves the combination of Constant Conditional Correlation Model (CCC) proposed by Bollerslev (1990) with Markov Regime Switching Model suggested by Hamilton and Susmel (1994). A modi cation was made in the original RSDC model, the introduction of the GJR-GARCH model formulated in Glosten, Jagannathan e Runkle (1993), on the equation of the conditional univariate variances to allow asymmetric e ects in volatility be captured. The database was built with the series of daily closing stock market indices in the United States (SP500), United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) for the period from 02/01/2003 to 09/20/2012. Throughout the work the methodology was compared with others most widespread in the literature, and the model RSDC with two regimes was de ned as the most appropriate for the selected sample. The set of results provide evidence for the existence of nancial contagion between markets of the four countries considering the de nition of nancial contagion from the World Bank called very restrictive. Such a conclusion should be evaluated carefully considering the wide diversity of de nitions of contagion in the literature.

Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous fundamental news im- pacts consistent with the asset pricing view of symmetric information, and permanent order ow e¤ects consistent with a microstructure view of asymmetric information related to heterogeneous interpretation of public news. Theoretical motivation and empirical evidence for the operation of both mechanisms are presented. Signi cant in- stantaneous news impacts are detected for news related to real activity (including em- ployment), investment, in ation, and monetary policy; however, signi cant order ow e¤ects are also observed on employment announcement days. A multi-market analysis suggests that these asymmetric information e¤ects come from uncertainty about long term interest rates due to heterogeneous assessments of future Fed responses to em- ployment shocks.

We're Chained: an analysis of systemic risk in finance

This dissertation presents two papers on how to deal with simple systemic risk measures to assess portfolio risk characteristics. The first paper deals with the Granger-causation of systemic risk indicators based in correlation matrices in stock returns. Special focus is devoted to the Eigenvalue Entropy as some previous literature indicated strong re- sults, but not considering different macroeconomic scenarios; the Index Cohesion Force and the Absorption Ratio are also considered. Considering the S&P500, there is not ev- idence of Granger-causation from Eigenvalue Entropies and the Index Cohesion Force. The Absorption Ratio Granger-caused both the S&P500 and the VIX index, being the only simple measure that passed this test. The second paper develops this measure to capture the regimes underlying the American stock market. New indicators are built using filtering and random matrix theory. The returns of the S&P500 is modelled as a mixture of normal distributions. The activation of each normal distribution is governed by a Markov chain with the transition probabilities being a function of the indicators. The model shows that using a Herfindahl-Hirschman Index of the normalized eigenval- ues exhibits best fit to the returns from 1998-2013.

Effectiveness of high-throughput miniaturized sorbent- and solid phase microextraction techniques combined with gas chromatography–mass spectrometry analysis for a rapid screening of volatile and semi-volatile composition of wines: a comparative study

In this study the feasibility of different extraction procedures was evaluated in order to test their potential for the extraction of the volatile (VOCs) and semi-volatile constituents (SVOCs) from wines. In this sense, and before they could be analysed by gas chromatography–quadrupole first stage masss spectrometry (GC–qMS), three different high-throughput miniaturized (ad)sorptive extraction techniques, based on solid phase extraction (SPE), microextraction by packed sorbents (MEPS) and solid phase microextraction (SPME), were studied for the first time together, for the extraction step. To achieve the most complete volatile and semi-volatile signature, distinct SPE (LiChrolut EN, Poropak Q, Styrene-Divinylbenzene and Amberlite XAD-2) and MEPS (C2, C8, C18, Silica and M1 (mixed C8-SCX)) sorbent materials, and different SPME fibre coatings (PA, PDMS, PEG, DVB/CAR/PDMS, PDMS/DVB, and CAR/PDMS), were tested and compared. All the extraction techniques were followed by GC–qMS analysis, which allowed the identification of up to 103 VOCs and SVOCs, distributed by distinct chemical families: higher alcohols, esters, fatty acids, carbonyl compounds and furan compounds. Mass spectra, standard compounds and retention index were used for identification purposes. SPE technique, using LiChrolut EN as sorbent (SPELiChrolut EN), was the most efficient method allowing for the identification of 78 VOCs and SVOCs, 63 and 19 more than MEPS and SPME techniques, respectively. In MEPS technique the best results in terms of number of extractable/identified compounds and total peak areas of volatile and semi-volatile fraction, were obtained by using C8 resin whereas DVB/CAR/PDMS was revealed the most efficient SPME coating to extract VOCs and SVOCs from Bual wine. Diethyl malate (18.8 ± 3.2%) was the main component found in wine SPELiChrolut EN extracts followed by ethyl succinate (13.5 ± 5.3%), 3-methyl-1-butanol (13.2 ± 1.7%), and 2-phenylethanol (11.2 ± 9.9%), while in SPMEDVB/CAR/PDMS technique 3-methyl-1-butanol (43.3 ± 0.6%) followed by diethyl succinate (18.9 ± 1.6%), and 2-furfural (10.4 ± 0.4%), are the major compounds. The major VOCs and SVOCs isolated by MEPSC8 were 3-methyl-1-butanol (26.8 ± 0.6%, from wine total volatile fraction), diethyl succinate (24.9 ± 0.8%), and diethyl malate (16.3 ± 0.9%). Regardless of the extraction technique, the highest extraction efficiency corresponds to esters and higher alcohols and the lowest to fatty acids. Despite some drawbacks associated with the SPE procedure such as the use of organic solvents, the time-consuming and tedious sampling procedure, it was observed that SPELiChrolut EN, revealed to be the most effective technique allowing the extraction of a higher number of compounds (78) rather than the other extraction techniques studied.