Momentum and seasonality in Chinese stock markets

In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum/contrarian trading strategies using monthly stock returns in China for the period from 1994 to 2007. Our results suggest that there is no momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past winners become losers and past losers become winners afterward. The contrarian profit is statistically significant for the strategies using short formation and holding periods, especially for the formation periods of 1 to 3 months and the holding periods of 1 to 3 months. The contrarian strategies can generate about 12% per annum on average. Moreover, we follow Heston and Sadka (2008, Journal of Financial Economics) to investigate where there is any seasonal pattern in the cross-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the results are robust to different formation and holding periods.

The momentum effect in competitions : field evidence from tennis matches

It is often suggested that there is a psychological advantage to be leading in a competition. It is, however, hard to identify such an effect econometrically. Using a Regression Discontinuity Design over a large dataset of tennis matches (N=634,095) the present paper exploits the randomised variation in first set results that occurs when the first set is decided by a close tie break (N=72,294). I find that winning the first set has a significant and strong effect on the result of the second set. A player who wins a close first set tie break will, on average, win one game more in the second set. I discuss the likely economic and psychological explanations of this phenomenon.

The temperature dependence of the momentum distribution of beryllium measured by neutron Compton scattering

In this paper we report a new neutron Compton scattering (NCS) measurement of the ground state single atom kinetic energy of polycrystalline beryllium at momentum transfers in the range 27}104 As ~1 and temperatures in the range 110}1150 K. The measurements have been made with the electron Volt spectrometer (eVS) at the ISIS facility and the measured kinetic energies are shown to be &10% higher than calculations made in the harmonic approximation.

The view from here : educational program creates momentum for positive change

Kate Nayton, Elaine Fielding and Elizabeth Beattie describe how they developed a successful program to educate hospital staff about dementia care. The program may soon be trialled in other acute care facilities.

Essays on momentum investing strategies

The momentum investment strategy, which buys recent winner stocks and sells recent loser stocks, earns returns that are simply too good to be explained by traditional finance theories. This thesis extends our understanding of the sources of momentum profits. The research shows that part of the seemingly anomalous returns can be explained by the market's reaction to public news, is affected by how delisting returns are calculated, and is biased by ignoring the time-varying risk of the trading strategy.

Theoretical modelling of momentum transfer function of bi-disperse porous media

The aim of this paper is to obtain the momentum transfer coefficient between the two phases, denoted by f and p, occupying a bi-disperse porous medium by mapping the available experimental data to the theoretical model proposed by Nield and Kuznetsov. Data pertinent to plate-fin heat exchangers, as bi-disperse porous media, were used. The measured pressure drops for such heat exchangers are then used to give the overall permeability which is linked to the porosity and permeability of each phase as well as the interfacial momentum transfer coefficient between the two phases. Accordingly, numerical values are obtained for the momentum transfer coefficient for three different fin spacing values considered in the heat exchanger experiments.

Delisted stocks and momentum: Evidence from a new Australian dataset

We explore the impact of delisting on the performance of the momentum trading strategy in Australia. We employ a new dataset of hand-collected delisting returns for all Australian stocks and provide the first study outside the U.S. to jointly examine the effects of delisting and missing returns on the magnitude of momentum profits. In the sample of all stocks, we find that the profitability of momentum strategies depends crucially on the returns of delisted stocks, especiallyon bankrupt firms. In the sample of large stocks, however, the momentum effect remains strong after controlling for the effect of delisted stocks, in contrast to the U.S. evidence in which delisting returns can explain 40% of momentum profits. As these large stocks are less exposed to liquidity risks, the momentum effect in Australia is even more puzzling than in the U.S.

An analysis of MONTBLEX data on heat and momentum flux at Jodhpur

Parameterization of sensible heat and momentum fluxes as inferred from an analysis of tower observations archived during MONTBLEX-90 at Jodhpur is proposed, both in terms of standard exchange coefficients C-H and C-D respectively and also according to free convection scaling. Both coefficients increase rapidly at low winds (the latter more strongly) and with increasing instability. All the sensible heat flux data at Jodhpur (wind speed at 10m <(U)over bar (10)>, < 8ms(-1)) also obey free convection scaling, with the flux proportional to the '4/3' power of an appropriate temperature difference such as that between 1 and 30 m. Furthermore, for <(U)over bar (10)> < 4 ms(-1) the momentum flux displays a linear dependence on wind speed.

Homogeneous isotropic turbulence: large momentum expansion

High temperature expansion is an effective tool for studying second order phase transitions. With this in mind, we have looked at a high momentum expansion for homogeneous isotropic turbulence. Combining our results with those of the inertial range, we give another view of extended self-similarity (ESS).

Energy-momentum conserving algorithm for nonlinear transient analysis within the framework of hybrid elements

This work deals with the formulation and implementation of an energy-momentum conserving algorithm for conducting the nonlinear transient analysis of structures, within the framework of stress-based hybrid elements. Hybrid elements, which are based on a two-field variational formulation, are much less susceptible to locking than conventional displacement-based elements within the static framework. We show that this advantage carries over to the transient case, so that not only are the solutions obtained more accurate, but they are obtained in fewer iterations. We demonstrate the efficacy of the algorithm on a wide range of problems such as ones involving dynamic buckling, complicated three-dimensional motions, et cetera.

Stability Of Large Damped Flexible Spacecraft With Stored Angular Momentum

Vibrational stability of large flexible structurally damped spacecraft carrying internal angular momentum and undergoing large rigid body rotations is analysed modeling the systems as elastic continua. Initially, analytical solutions to the motion of rigid gyrostats under torque-free conditions are developed. The solutions to the gyrostats modeled as axisymmetric and triaxial spacecraft carrying three and two constant speed momentum wheels, respectively, with spin axes aligned with body principal axes are shown to be complicated. These represent extensions of solutions for simpler cases existing in the literature. Using these solutions and modal analysis, the vibrational equations are reduced to linear ordinary differential equations. Equations with periodically varying coefficients are analysed applying Floquet theory. Study of a few typical beam- and plate-like spacecraft configurations indicate that the introduction of a single reaction wheel into an axisymmetric satellite does not alter the stability criterion. However, introduction of constant speed rotors deteriorates vibrational stability. Effects of structural damping and vehicle inertia ratio are also studied.

Representations and properties of para-Bose oscillator operators. I. Energy position and momentum eigenstates

Para-Bose commutation relations are related to the SL(2,R) Lie algebra. The irreducible representation [script D]alpha of the para-Bose system is obtained as the direct sum Dbeta[direct-sum]Dbeta+1/2 of the representations of the SL(2,R) Lie algebra. The position and momentum eigenstates are then obtained in this representation [script D]alpha, using the matrix mechanical method. The orthogonality, completeness, and the overlap of these eigenstates are derived. The momentum eigenstates are also derived using the wave mechanical method by specifying the domain of the definition of the momentum operator in addition to giving it a formal differential expression. By a careful consideration in this manner we find that the two apparently different solutions obtained by Ohnuki and Kamefuchi in this context are actually unitarily equivalent. Journal of Mathematical Physics is copyrighted by The American Institute of Physics.

Strong-coupling expansion for the momentum distribution of the Bose-Hubbard model with benchmarking against exact numerical results

A strong-coupling expansion for the Green's functions, self-energies, and correlation functions of the Bose-Hubbard model is developed. We illustrate the general formalism, which includes all possible (normal-phase) inhomogeneous effects in the formalism, such as disorder or a trap potential, as well as effects of thermal excitations. The expansion is then employed to calculate the momentum distribution of the bosons in the Mott phase for an infinite homogeneous periodic system at zero temperature through third order in the hopping. By using scaling theory for the critical behavior at zero momentum and at the critical value of the hopping for the Mott insulator–to–superfluid transition along with a generalization of the random-phase-approximation-like form for the momentum distribution, we are able to extrapolate the series to infinite order and produce very accurate quantitative results for the momentum distribution in a simple functional form for one, two, and three dimensions. The accuracy is better in higher dimensions and is on the order of a few percent relative error everywhere except close to the critical value of the hopping divided by the on-site repulsion. In addition, we find simple phenomenological expressions for the Mott-phase lobes in two and three dimensions which are much more accurate than the truncated strong-coupling expansions and any other analytic approximation we are aware of. The strong-coupling expansions and scaling-theory results are benchmarked against numerically exact quantum Monte Carlo simulations in two and three dimensions and against density-matrix renormalization-group calculations in one dimension. These analytic expressions will be useful for quick comparison of experimental results to theory and in many cases can bypass the need for expensive numerical simulations.