我們在此文中檢視了股市流動性的動能效果，並將此效果連結到相對應股票的報酬表現上。我們發現過去六個月平均流動性較高的股票，在未來三年中也會具有較高的流動性。此外，我們發現買入較高流動性的股票，賣出流動性較低的股票，會有正的報酬。我們希望此研究能夠幫助投資人獲取更多有用的資訊。 / We examine the predictability of liquidity, the momentum effect in liquidity, and we also would like to link this effect to expected stock returns. We find that stocks with high liquidity in the past six month will be traded with high liquidity in the future (within 3 years) and that all of the zero-cost portfolios, which buy high liquidity stocks and sell low liquidity stocks, have positive returns. We hope the results in this study will help uninformed trader to obtain more information in the stock market.

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Pattern geometry plays a major role in determining oil recovery during waterflooding and enhanced oil recovery operations. Although simulation is an important tool for design and evaluation, the first step often involves rough calculations based upon areal sweep efficiencies of displacements in homogeneous, two-dimensional, scaled, physical models. These results are available as a function of the displacement pattern and the mobility ratio M. In this research I studied the effect of mobility ratios on five-spot and staggered waterflood patterns behavior for areal (2D) displacement in a reservoir that is homogeneous and isotropic containing no initial gas saturation. Simulation was performed using Eclipse 100 simulator. Simulation results are presented as graphs of areal sweep efficiency at breakthrough versus Craig mobility ratio for various staggered line drive aspect ratios. The main results of the study are presented in the form of a graph of areal sweep efficiency at breakthrough as a function of staggered line drive aspect ratio. This should enable engineers to utilize the results in a convenient manner.

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Doctorat en Sciences / info:eu-repo/semantics/nonPublished

Prior research confirms that the number of men in a population is associated with elevated levels of crime. The connection between higher numbers of males relative to females and crime is far less studied in larger aggregate populations, and the nature of the relationship is less clear. This study seeks to answer three questions: are unbalanced sex ratios associated with crime at the state level? At what level does the skew begin to matter? How quickly is the impact observed? These questions are examined through analysis of a novel longitudinal dataset of social characteristics and crime indicators for frontier American states between 1850 and 1920. Fixed effects longitudinal analysis reveals a positive association at the state level between skewed sex ratios - towards both men and women - and crime. This study concludes that any deviation from an equal sex ratio is associated with higher levels in crime, and this impact was demonstrated to occur within a short time frame.

Performance measurement is an integral part of investment analysis and risk management. Investment performance comprises two primary elements, namely; risk and return. The measurement of return is more straightforward compared with the measurement of risk: the latter is stochastic and thus requires more complex computation. Risk and return should, however, not be considered in isolation by investors as these elements are interlinked according to modern portfolio theory (MPT). The assembly of risk and return into a risk-adjusted number is an essential responsibility of performance measurement as it is meaningless to compare funds with dissimilar expected returns and risks by focusing solely on total return values. Since the advent of MPT performance evaluation has been conducted within the risk-return or mean-variance framework. Traditional, liner performance measures, such as the Sharpe ratio, do, however, have their drawbacks despite their widespread use and copious interpretations. The first problem explores the characterisation of hedge fund returns which lead to standard methods of assessing the risks and rewards of these funds being misleading and inappropriate. Volatility measures such as the Sharpe ratio, which are based on mean-variance theory, are generally unsuitable for dealing with asymmetric return distributions. The distribution of hedge fund returns deviates significantly from normality consequentially rendering volatility measures ill-suited for hedge fund returns due to not incorporating higher order moments of the returns distribution. Investors, nevertheless, rely on traditional performance measures to evaluate the risk-adjusted performance of (these) investments. Also, these traditional risk-adjusted performance measures were developed specifically for traditional investments (i.e. non-dynamic and or linear investments). Hedge funds also embrace a variety of strategies, styles and securities, all of which emphasises the necessity for risk management measures and techniques designed specifically for these dynamic funds. The second problem recognises that traditional risk-adjusted performance measures are not complete as they do not implicitly include or measure all components of risk. These traditional performance measures can therefore be considered one dimensional as each measure includes only a particular component or type of risk and leaves other risk components or dimensions untouched. Dynamic, sophisticated investments – such as those pursued by hedge funds – are often characterised by multi-risk dimensionality. The different risk types to which hedge funds are exposed substantiates the fact that volatility does not capture all inherent hedge fund risk factors. Also, no single existing measure captures the entire spectrum of risks. Therefore, traditional risk measurement methods must be modified, or performance measures that consider the components (factors) of risk left untouched (unconsidered) by the traditional performance measures should be considered alongside traditional performance appraisal measures. Moreover, the 2007-9 global financial crisis also set off an essential debate of whether risks are being measured appropriately and, in-turn, the re-evaluation of risk analysis methods and techniques. The need to continuously augment existing and devise new techniques to measure financial risk are paramount given the continuous development and ever-increasing sophistication of financial markets and the hedge fund industry. This thesis explores the named problems facing modern financial risk management in a hedge fund portfolio context through three objectives. The aim of this thesis is to critically evaluate whether the novel performance measures included provide investors with additional information, to traditional performance measures, when making hedge fund investment decisions. The Sharpe ratio is taken as the primary representative of traditional performance measures given its widespread use and also for being the hedge fund industry’s performance metric of choice. The objectives have been accomplished through the modification, altered use or alternative application of existing risk assessment techniques and through the development of new techniques, when traditional or older techniques proved to be inadequate. / PhD (Risk Management), North-West University, Potchefstroom Campus, 2014

Performance measurement is an integral part of investment analysis and risk management. Investment performance comprises two primary elements, namely; risk and return. The measurement of return is more straightforward compared with the measurement of risk: the latter is stochastic and thus requires more complex computation. Risk and return should, however, not be considered in isolation by investors as these elements are interlinked according to modern portfolio theory (MPT). The assembly of risk and return into a risk-adjusted number is an essential responsibility of performance measurement as it is meaningless to compare funds with dissimilar expected returns and risks by focusing solely on total return values. Since the advent of MPT performance evaluation has been conducted within the risk-return or mean-variance framework. Traditional, liner performance measures, such as the Sharpe ratio, do, however, have their drawbacks despite their widespread use and copious interpretations. The first problem explores the characterisation of hedge fund returns which lead to standard methods of assessing the risks and rewards of these funds being misleading and inappropriate. Volatility measures such as the Sharpe ratio, which are based on mean-variance theory, are generally unsuitable for dealing with asymmetric return distributions. The distribution of hedge fund returns deviates significantly from normality consequentially rendering volatility measures ill-suited for hedge fund returns due to not incorporating higher order moments of the returns distribution. Investors, nevertheless, rely on traditional performance measures to evaluate the risk-adjusted performance of (these) investments. Also, these traditional risk-adjusted performance measures were developed specifically for traditional investments (i.e. non-dynamic and or linear investments). Hedge funds also embrace a variety of strategies, styles and securities, all of which emphasises the necessity for risk management measures and techniques designed specifically for these dynamic funds. The second problem recognises that traditional risk-adjusted performance measures are not complete as they do not implicitly include or measure all components of risk. These traditional performance measures can therefore be considered one dimensional as each measure includes only a particular component or type of risk and leaves other risk components or dimensions untouched. Dynamic, sophisticated investments – such as those pursued by hedge funds – are often characterised by multi-risk dimensionality. The different risk types to which hedge funds are exposed substantiates the fact that volatility does not capture all inherent hedge fund risk factors. Also, no single existing measure captures the entire spectrum of risks. Therefore, traditional risk measurement methods must be modified, or performance measures that consider the components (factors) of risk left untouched (unconsidered) by the traditional performance measures should be considered alongside traditional performance appraisal measures. Moreover, the 2007-9 global financial crisis also set off an essential debate of whether risks are being measured appropriately and, in-turn, the re-evaluation of risk analysis methods and techniques. The need to continuously augment existing and devise new techniques to measure financial risk are paramount given the continuous development and ever-increasing sophistication of financial markets and the hedge fund industry. This thesis explores the named problems facing modern financial risk management in a hedge fund portfolio context through three objectives. The aim of this thesis is to critically evaluate whether the novel performance measures included provide investors with additional information, to traditional performance measures, when making hedge fund investment decisions. The Sharpe ratio is taken as the primary representative of traditional performance measures given its widespread use and also for being the hedge fund industry’s performance metric of choice. The objectives have been accomplished through the modification, altered use or alternative application of existing risk assessment techniques and through the development of new techniques, when traditional or older techniques proved to be inadequate. / PhD (Risk Management), North-West University, Potchefstroom Campus, 2014

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