Portfolio Selection via Composite Measure Analysis: Evidence from the U.S. Stock Market

The aim of this research is to examine the pricing anomalies existing in the U.S. market during 1986 to 2011. The sample of stocks is divided into decile portfolios based on seven individual valuation ratios (E/P, B/P, S/P, EBIT/EV, EVITDA/EV, D/P, and CE/P) and price momentum to investigate the efficiency of individual valuation ratio and their combinations as portfolio formation criteria. This is the first time in financial literature when CE/P is employed as a constituent of composite value measure. The combinations are based on median scaled composite value measures and TOPSIS method. During the sample period value portfolios significantly outperform both the market portfolio and comparable glamour portfolios. The results show the highest return for the value portfolio that was based on the combination of S/P & CE/P ratios. The outcome of this research will increase the understanding on the suitability of different methodologies for portfolio selection. It will help managers to take advantage of the results of different methodologies in order to gain returns above the market.

Simulating the dynamics of silver market using computational market dynamics

Traditional econometric approaches in modeling the dynamics of equity and commodity markets, have, made great progress in the past decades. However, they assume rationality among the economic agents and and do not capture the dynamics that produce extreme events (black swans), due to deviation from the rationality assumption. The purpose of this study is to simulate the dynamics of silver markets by using the novel computational market dynamics approach. To this end, the daily data from the period of 1st March 2000 to 1st March 2013 of closing prices of spot silver prices has been simulated with the Jabłonska-Capasso-Morale(JCM) model. The Maximum Likelihood approach has been employed to calibrate the acquired data with JCM. Statistical analysis of the simulated series with respect to the actual one has been conducted to evaluate model performance. The model captures the animal spirits dynamics present in the data under evaluation well.

The Fluid Structure Interaction Analysis of a Peristaltic Pump

The thesis work models the squeezing of the tube and computes the fluid motion of a peristaltic pump. The simulations have been conducted by using COMSOL Multiphysics FSI module. The model is setup in axis symmetric with several simulation cases to have a clear understanding of the results. The model captures total displacement of the tube, velocity magnitude, and average pressure fluctuation of the fluid motion. A clear understanding and review of many mathematical and physical concepts are also discussed with their applications in real field. In order to solve the problems and work around the resource constraints, a thorough understanding of mass balance and momentum equations, finite element concepts, arbitrary Lagrangian-Eulerian method, one-way coupling method, two-way coupling method, and COMSOL Multiphysics simulation setup are understood and briefly narrated.

Kalman filter for computational market dynamics

Kalman filter is a recursive mathematical power tool that plays an increasingly vital role in innumerable fields of study. The filter has been put to service in a multitude of studies involving both time series modelling and financial time series modelling. Modelling time series data in Computational Market Dynamics (CMD) can be accomplished using the Jablonska-Capasso-Morale (JCM) model. Maximum likelihood approach has always been utilised to estimate the parameters of the JCM model. The purpose of this study is to discover if the Kalman filter can be effectively utilized in CMD. Ensemble Kalman filter (EnKF), with 50 ensemble members, applied to US sugar prices spanning the period of January, 1960 to February, 2012 was employed for this work. The real data and Kalman filter trajectories showed no significant discrepancies, hence indicating satisfactory performance of the technique. Since only US sugar prices were utilized, it would be interesting to discover the nature of results if other data sets are employed.

Pamidronate for the treatment of osteoporosis secondary to chronic cholestatic liver disease in Wistar rats

Osteoporosis is a major complication of chronic cholestatic liver disease (CCLD). We evaluated the efficacy of using disodium pamidronate (1.0 mg/kg body weight) for the prevention (Pr) or treatment (Tr) of cholestasis-induced osteoporosis in male Wistar rats: sham-operated (Sham = 12); bile duct-ligated (Bi = 15); bile duct-ligated animals previously treated with pamidronate before and 1 month after surgery (Pr = 9); bile duct-ligated animals treated with pamidronate 1 month after surgery (Tr = 9). Rats were sacrificed 8 weeks after surgery. Immunohistochemical expression of IGF-I and GH receptor was determined in the proximal growth plate cartilage of the left tibia. Histomorphometric analysis was performed in the right tibia and the right femur was used for biomechanical analysis. Bone material volume over tissue volume (BV/TV) was significantly affected by CCLD (Sham = 18.1 ± 3.2 vs Bi = 10.6 ± 2.2%) and pamidronate successfully increased bone volume. However, pamidronate administered in a preventive regimen presented no additional benefit on bone volume compared to secondary treatment (BV/TV: Pr = 39.4 ± 12.0; Tr = 41.2 ± 12.7%). Moreover, the force on the momentum of fracture was significantly reduced in Pr rats (Sham = 116.6 ± 23.0; Bi = 94.6 ± 33.8; Pr = 82.9 ± 22.8; Tr = 92.5 ± 29.5 N; P < 0.05, Sham vs Pr). Thus, CCLD had a significant impact on bone histomorphometric parameters and pamidronate was highly effective in increasing bone mass in CCLD; however, preventive therapy with pamidronate has no advantage regarding bone fragility.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

Industrialization in Sub-Saharan Africa and import substitution policy

This article aims to contribute to the understanding of the process of import substitution in Sub-Saharan Africa. The process of industrialization in Sub-Saharan Africa occurred in two phases: a first step, even very early during the colonial regime began around the 1920s and ended in the late forties; a second phase of industrialization began in the late fifties and gained momentum in the sixties, when import substitution was implemented more widely. Although these countries were the last to embark on the strategy of import substitution, they followed the same steps of Latin American countries, and as the structural domestic and external constraints were too strong, the failure of the policy of import substitution arrived early and the negative impact on these economies had a greater magnitude.

Globalization and democracy

ABSTRACTThe gathering momentum of globalization in the world economy has coincided with the spread of political democracy across countries. Economies have become global. But politics remains national. This essay explores the relationship between globalization and democracy, which is neither linear nor characterized by structural rigidities. It seeks to analyze how globalization might constrain degrees of freedom for nation states and space for democratic politics, and how political democracy within countries might exercise some checks and balances on markets and globalization. The essential argument is that the relationship between globalization and democracy is dialectical and does not conform to ideological caricatures.

Profits and votes: Entrepreneurs and the government in Brazilian housing policy

ABSTRACTAfter more than twenty years of low housing construction output, the housing policy recovered its momentum in the country with the ascent of the Partido dos Trabalhadores (Workers' Party, PT) to the seat of the federal government. This article demonstrates - through the analysis of documents, interviews and research conducted with businessmen - that the impetus of such a state policy is a part of the PT electoral strategy, which is based on economic growth and the expansion of social programs. The research analyses the dovetailing of interests between the Lula (the Brazilian President from 2003 to 2010) administration and the civil construction business - the latter concerned with expanding its business, and the former with increasing the supply of jobs and the level of economic activity. This process culminated in the launching of the largest social housing program to be implemented in the country. Minha Casa, Minha Vida (My House, My Life), is a project in whose planning building companies played a key role, performing feasibility studies and carrying out social housing projects.

Interaction between vortices and impurities in a d-wave superconductor /

High temperature superconductors were discovered in 1986, but despite considerable research efforts, both experimental and theoretical, these materials remain poorly understood. Because their electronic structure is both inhomogeneous and highly correlated, a full understanding will require knowledge of quasiparticle properties both in real space and momentum space. In this thesis, we will present a theoretical analysis of the scanning tunneling microscopy (STM) data in BSCCO. We introduce the Bogoliubov-De Gennes Hamiltonian and solve it numerically on a two-dimensional 20 x 20 lattice under a magnetic field perpendicular to the surface. We consider a vortex at the center of our model. We introduce a Zn impurity in our lattice as a microscopic probe of the physical properties of BSCCO. By direct numerical diagonalization of the lattice BogoliubovDe Gennes Hamiltonian for different positions of the impurity, we can calculate the interaction between the vortex and the impurity in a d-wave superconductor.

Rotation-electronic interaction in the 3p-complex Rydberg state of water

An energy theory is formulated for the rotational energy levels in a p-complex Rydberg state of an asymmetric top molecule of symmetry C2v. The effective Hamiltonian used consists of the usual rigid rotor Hamiltonian augmented with terms representing electronic spin and orbital angular momentum effects. Criteria for assigning symmetry species to the rotational energy levels, following Houganfs scheme that uses the full molecular group,are established and given in the form of a table. This is particularly suitable when eigenvectors are calculated on a digital computer. Also, an intensity theory for transitions to the Rydberg p-complex singlet states is presented and selection rules in terms of symmetry species of energy states are established. Finally, applications to HpO and DpO are given.

The finite bandwidth model for spin fluctuations in Pd

The frequency dependence of the electron-spin fluctuation spectrum, P(Q), is calculated in the finite bandwidth model. We find that for Pd, which has a nearly full d-band, the magnitude, the range, and the peak frequency of P(Q) are greatly reduced from those in the standard spin fluctuation theory. The electron self-energy due to spin fluctuations is calculated within the finite bandwidth model. Vertex corrections are examined, and we find that Migdal's theorem is valid for spin fluctuations in the nearly full band. The conductance of a normal metal-insulator-normal metal tunnel junction is examined when spin fluctuations are present in one electrode. We find that for the nearly full band, the momentum independent self-energy due to spin fluctuations enters the expression for the tunneling conductance with approximately the same weight as the self-energy due to phonons. The effect of spin fluctuations on the tunneling conductance is slight within the finite bandwidth model for Pd. The effect of spin fluctuations on the tunneling conductance of a metal with a less full d-band than Pd may be more pronounced. However, in this case the tunneling conductance is not simply proportional to the self-energy.

Women’s Literary Club of St. Catharines Fonds

The Women's Literary Club of St. Catharines was founded in 1892 by a local author, Emma Harvey (Mrs. J.G.) Currie (1829-1913) and held its last official meeting on February 19, 1994. The Club developed, flourished and eventually waned. After more than one hundred successful years, the last members deposited the Club's archives at Brock University for the benefit of researchers, scholars and the larger community. The ‘object of the Club’ was established as “the promotion of literary pursuits.” The Club was a non-profit social organization composed of predominantly white, upper middle class women from the St. Catharines and surrounding areas. Club meetings were traditionally held fortnightly from March to December each year. The last meeting of the year was a celebration of their Club anniversary. The early meetings of the Club include papers presented and music performed by Club members. The literary pursuits that would dominate the agendas for the entire life of the Club reflected an interest in selected authors, national and local history, classical history, musical performances and current cultural and newsworthy events. For example in 1893 a typical meeting agendas would contain papers on Henry Wadsworth Longfellow, Hawaii, Brook Farm, Miss Louisa May Alcott and “Education of Women 100 years Ago.” Within the first year of the Club’s existence, detailed minute books became the norm and an annual agenda or program developed. The WLC collection contains a near complete set of meeting minutes from 1892 until 1995 and a comprehensive collection of yearly programs from 1983-1967 which members took great care to publish each year. Mrs. Currie brought together a group of women with a shared interest in literature and history, who wanted to pursue that interest in a formal and structured manner. She was well educated and influenced at an early age by her tutor and mentor William Kirby, local historian, writer and newspaper editor from Niagara-on-the-Lake. While Currie’s private education influenced her love of literature and history, the Club movement of the 1890’s offered a more public forum for her to share knowledge and learning with other women. Mrs. Currie was the wife of St. Catharines lawyer, James G. Currie, who also served as a Member of Parliament for the county of Lincoln. Mrs. W.H. McClive, who was also married to a St. Catharines lawyer, worked closely with Currie and they began research into the possibility of a literary Club in St. Catharines. Currie corresponded with a variety of literary Clubs across North America before she and Mrs.McClive tagged onto the momentum of the Club movement and published “A Clarion call for Women of St. Catharines To Form a Literary Club” in the local paper The St. Catharines Evening Journal. in 1892 and asked like Clubs to publish the news of their new Club. The early years of the WLC set the foundation of how the Club meetings and events would unfold for the next 80 plus years. Photos and minutes from the first ten years reveal an excitement and interest in organized Club outings. One particular event, an annual pilgrimage to the homestead of Laura Secord, became a yearly celebration for the Club. Club President, Mrs. Currie’s own personal work on Laura Secord amplified the Club’s interest in the ‘heroine of 1812’ and she allocated the profits from her publication on Secord in order to create a commemorative plaque/monument in the name of Laura Secord. The Club celebrated this event with a regular pilgrimage to this site. The connection felt by Club members and this memorial would continue until the Club’s last meetings. The majority of members in the early years were of the upper middle classes in the growing city of St. Catharines. Many of the charter members were the wives of merchants, business men, lawyers, doctors, even a hatter. Furthermore, the position of president was most often held by a woman with a comprehensive list of interests. This is particularly the case in Isabel Brighty McComb (1876-1941). Brighty who became a member in 1903, became Club president in 1932 and stayed in her post until her death in 1941. Similar to Mrs. Currie, Brighty was a local historian and published 2 booklets on local history. Her obituary indicates her position in the community as an author and involved community member committed to lifetime memberships in the Imperial Order of Daughters of Empire, I.O.D.E., the National Organization of Women, N.O.W. and the United Empire Loyalist Society, as well as the WLC. She was a locally known ‘teacher of elocution’ and a devoted researcher of Upper Canadian history. In a Club scrapbook dedicated to her, the biographical sketch illustrates the professionalism surrounding Brighty. There is very little personal history mentioned and the focus is on her literary works, her published essay, booklets and poetry. This professional focus, evident in both her obituary and the scrapbook, illustrate the diversity of these women, especially in their roles outside of the home. The WLC collection contains a vast array of essay, lectures clippings and scrapbooks from past meetings. Organized predominantly by topic or author, the folders and scrapbooks offer a substantial amount of research opportunity in the literary history of Canada. The dates, scope of topics and authors covered offer historians an exciting opportunity to examine the consumption of particular literary trends, artists and topics within the context of a midsized industrial city in English Canada. This is especially important because the agenda adhered to by the Club was bent on promoting, discussing and reviewing predominantly Canadian material. By connecting when and what these women were studying, scholars many gain a better understanding of the broader consumption and appreciation of literary and social trends of Canadian women outside of publishing and institutional records. Furthermore, because the agendas were set by and for these women, outside of the constructs of an institutionalized canon or agenda, they offer a fresh and on the ground examination of literary consumption over an extensive length of time.

The role of a minor party : a comparative study of the British Liberal Party and the Australian Country Party since 1918

and the Australian Country Party since 1918. 2. The thesis examines the proposition that the role of a minor party is determined, not by its total strength expressed as a percentage of the national vote, but by how its strength is concentrated. Australia and Britain were chosen for the comparison because of the many similarities in political culture and in the extent of class voting. Each country has a party - the Country Party in Australia and the Liberal Party in Britain - which has had a distinct impact on the political scene in their respective countries. In the period from 1918 to the present day neither party, at the national level, has ever held the largest number of seats in parliament let alone a majority of seats, and it is in this sense that they are herein defined as minor parties. In the thesis the constitutional background of and differences between Australia and Britain are reviewed, followed by a brief historical picture of each of the two parties being studied. The sources of supporc of the two parties are analysed and it is here that real differences emerge. The Country Party in Australia is a deliberately sectional party with a narrow rural base, whereas the British Liberal Party is more broadly based than either the Labour or Conservative Parties in Britain. 3. Party leadership and organisation are then discussed. Both parties have had outstanding leaders, Earle Page and McEwen for the Country Party; Asquith, Lloyd George and Grimond for the Liberal Party. Both parties have had relatively fewer leaders than their major party opponents. However, whereas the Country Party has been free of serious splits the Liberal Party was shattered on the leadership struggles of Asquith and Lloyd George. Both parties have been identified with decentralisation of state power, the Country Party through its support, albeit sometimes lukewarm of the New States Movement; the Liberal Party through its espousal of a federal system for Britain with separate Welsh, Scottish and regional assemblies. Unfortunately for the British Liberal Party the beneficiaries of their policies in this area have been relatively new nationalist parties in both Wales arid Scotland. The major part of the thesis is devoted to a study of how the electoral systems in the two countries have, in practice, worked to the advantage or disadvantage of the Country Party and the British Liberal Party. The Country Party has been as consistently over-represented in the House of Representatives as the Liberal Party has been under-represented in the British House of Commons. With the even distribution of its support the introduction of the single transferable vote, in itself, would bring little benefit to the British Liberal Party in terms of seats. Multimember urban constituencies combined with some type of list system are the only way the Liberals are likely to obtain House of Commons seats in proportion to their votes. 4. Finally, the relations of the two minor parties with their respective major parties are considered. In the conclusion the future of the two parties is reviewed. In general terms it appears that the Country Party is faced with a slow decline. Although the British Liberal Party made a major breakthrough, in terms of votes, in the February 1974 election, they were unable to maintain this momentum in the October election, even though they lost very little ground. In the long term they must make an inroad into Labour held seats if they are to progress further.

Greener Golf Operations: A Comparative Case Study of Ontario Golf Courses Engaged in Environmental Sustainability Initiatives

This research explored environmental sustainability (ES) initiatives at five top-ranked Ontario golf courses that were members of the Audubon Cooperative Sanctuary Program for Golf (ACSP). Research Questions: (1) How are golf courses adapting to safeguard the natural environment? (2) Why or why not are golf courses moving to ES? and (3) What are the arising barriers to ES in golf and how can they be overcome; what role does communication play? Overall, the research was framed with an adaptation of the dimensions of convergence by Houlihan (2012), including the motives, inputs, implementation, momentum, and impact. Additionally, impression management and message framing constructs were utilized to address the issue of communicating ES initiatives. Data collection involved in-depth interviews, observations, and unobtrusive document collection. Environmental aspects of the examination were guided by the Canadian Standards Association (CSA) Requirements and Guidance for Organizers of Sustainable Events and Sustainable Sport and Event Toolkit (SSET).