The study examined the momentum in the fundamentals of companies over time, and whether the information content in the momentum of the fundamentals improved the understanding of the long-standing price momentum and earnings momentum anomalies on the Johannesburg Stock Exchange (JSE). Fundamental momentum is defined as the difference between the change of a fundamental variable over consecutive time periods. The study included all industrial companies that were listed on the JSE between the period January 1990 and December 2013. The purpose of the study was to investigate whether price momentum or earnings momentum was subsumed by fundamental momentum. Price momentum and earnings momentum are long-standing anomalies that have been widely researched, yet no definitive explanation has been provided in the literature. The objective of the study was to improve the understanding of price momentum and earnings momentum through the analysis of fundamental momentum. The study also provided insight into the persistence of fundamental momentum of earnings. The study tested the profitability of the price momentum, earnings momentum and the fundamental momentum of earnings trading strategies. The research hypotheses were formulated and tested using equal-weighted sort analysis. The sustainability of fundamental momentum of earnings was also analysed. The size and value risk factors were taken into account to ensure that the results were not influenced by such risk factors. The Fama and French three-factor model was employed to test whether the results captured one of these risk effects. The fourth research question investigated whether the fundamental momentum of an underlying component of earnings increased the persistence of the fundamental momentum of future earnings. Earnings were shown to be mean reverting over time, and therefore, the expectation was that positive or negative fundamental momentum of earnings was not sustainable over a prolonged period of time. However, by decomposing earnings into the accrual and cash flow components, and their respective sub-components, the study undertook regression analysis to see whether a specific component of earnings could improve the sustainability of fundamental momentum. The final research question tested whether price momentum and/or earnings momentum was subsumed by fundamental momentum. Two-way analysis was conducted to test whether the strategies captured similar effects. Sort analysis was used by first constructing equal-weighted portfolios based on either price momentum or earnings momentum. Each portfolio was then further subdivided based on the fundamental momentum of earnings. The profitability of the resultant portfolios was then compared with the initial portfolio. The results confirmed that the price momentum and earnings momentum anomalies were present on the JSE for the sample selected for the study. The fundamental momentum of earnings trading strategy was also shown to be a profitable trading strategy for the extreme quintile portfolios. Using the Fama-MacBeth regression methodology, size and value effects were not found to impact the results across all three momentum strategies. A behavioural overreaction or underreaction hypothesis was argued to explain the profitability of the fundamental momentum of earnings strategy. The market was shown to anticipate the earnings surprise that resulted in earnings momentum up to 12 months prior to portfolio formation. Similarly, the market anticipated fundamental momentum of earnings 12 months prior to the earnings announcement. The fundamental momentum of future earnings was shown to be more sustainable when the fundamental momentum of the cash flow component of prior earnings was higher than the fundamental momentum of the accrual component of prior earnings. This result did not give insight into the nominal size effect of the underlying earnings components, rather, it only gave insight into the rates of change of the earnings components. The final result of the study showed that price momentum and fundamental momentum captured different effects. However, the earnings momentum and fundamental momentum results were not as clear cut. Both strategies used a variant of earnings to construct the quintile portfolios and thus it was very plausible that they captured a similar effect. The study contributed to the current literature in a number of ways. A new trading strategy based on the fundamental momentum of earnings was tested. Fundamental momentum of earnings as a trading strategy has yet to be defined; as a result, it has not been researched prior to this study. Given the results, it may be seen as a derivative of earnings momentum. Understanding the sustainability of fundamental momentum of future earnings was also researched. The final contribution of the study was the two-way analysis of price momentum and fundamental momentum, and earnings momentum and fundamental momentum. / Thesis (PhD)--University of Pretoria, 2016. / tm2016 / Financial Management / PhD / Unrestricted

Dans un contexte de recul des glaciers causé par le changement climatique et d'augmentation des besoins en eau due à l'accroissement de la population et au développement économique, quantifier les contributions à l'origine des écoulements dans les bassins versants de montagne himalayens est nécessaire à la gestion de la ressource en eau actuelle ainsi qu'à la recherche de solutions d'adaptation aux impacts du changement climatique.La modélisation hydrologique est un outil adapté à la compréhension du fonctionnement des bassins versants de montagne cependant, le manque de données météorologique dans les régions de haute altitude et la représentation simplifiée des processus cryosphériques dans les modèles hydrologiques induisent de fortes incertitudes sur la simulation des débits dans les rivières.Cette thèse vise à quantifier les différentes contributions aux écoulements ainsi que leurs variations saisonnières à l'échelle locale en appliquant un modèle glacio-hydrologique dans un bassin englacé de l'Himalaya népalais.Une nouvelle paramétrisation de l'albédo de la neige et de la fonte des glaciers couverts ainsi qu'une implémentation d'un module d'avalanche sont ajoutés dans le modèle DHSVM-GDM pour améliorer la simulation du couvert neigeux et de l'évolution des glaciers.L'analyse du bilan hydrologique simulé avec la nouvelle configuration du modèle montre que les glaciers jouent un rôle important sur les débits à l'exutoire, notamment en hiver où les débits sont principalement contrôlés par l'écoulement de l'eau liquide stockée dans les glaciers.Cette thèse met en relief la difficulté de quantifier la contribution des glaciers dans les débits de rivière, en effet, sur le bassin étudié, cette contribution est estimée à 45 % de l'écoulement total si on considère la part des écoulements issus de la fonte de glace, ou bien à 70 % si on considère la part des écoulements provenant des zones englacées.L'incertitude des résultats de modélisation est étudiée en évaluant les impacts de la représentation des processus dans le modèle et de l'incertitude des données de forçage sur la simulation des contributions aux écoulements.L'incertitude sur la surface englacée dans le bassin génère une incertitude de 20 % sur le volume de fonte de glace simulé et l'incertitude sur les données de précipitations aboutit à une estimation de la contribution de la fonte de glace aux écoulements est comprise entre 28 et 70 % des débits annuels. / In a context of glacier shrinkage caused by climate change and in a context of an increase of the water demand due to population growth and economic development, it is necessary to quantify the contributions to the outflow in the Himalayan mountain catchments in order to improve the present water resource management and find adaptation solutions to climate change.Hydrological models are useful tools to understand the water balance in mountain catchment, however, the lack of meteorological data in high altitude regions and the simplified representation of the cryospheric processes in the models lead to large uncertainties on the simulated river discharges.This study quantifies the different contributions to the outflow as well as their seasonal variations at local scale using a glacio-hydrological model in a glacierized catchment located in the Nepalese Himalayas.New parametrizations for the snow albedo and debris covered glaciers, as well as an avalanche module, were implemented in DHSVM-GDM model in order to improve the simulation of the snow cover dynamics and the glacier evolution.The simulated water balance obtained with the new configuration of the DHSVM-GDM model shows that glaciers have a major impact on the river discharges, especially during winter when the outflow is mainly controlled by the release from the englacial water storage.This study highlights the complexity of quantifying the glacier contribution to the river discharges because, on the studied catchment, the glacier contribution is equal to 45 % of the total runoff considering the share of ice melt to the river discharge, or 70 % considering the share of runoff originating from glacierized areas.The impact of the representation of the cryospheric processes in the model and the impact of the forcing data on the simulated water components are analysed to assess the uncertainty on the hydrological modelling.The uncertainty related to the glacierized area estimation leads to an uncertainty of 20 % on the simulated ice melt volume, and the uncertainty related to the precipitation datasets result in a simulated ice melt contribution to the outflow ranging from 28 et 70 % of the annual outflow.

L’objectif de cette thèse est de développer, tester et valider des méthodes, techniques et outils permettant de traiter et décomposer les hydrogrammes en temps sec et en temps de pluie, dans le but de comprendre, de représenter et de prédire les dynamiques liées à ces composantes de débits sur des bassins versants urbanisés. Les données en continu de temps sec recueillies sur ces deux bassins versants Chassieu et Ecully ont été traitées à partir de la méthode de traitement des signaux bruités par ondelettes, puis analysées. L’utilisation de ces méthodes et l’analyse des données en continu a permis de mettre en évidence des composantes périodiques intra et inter journalières dans les débits mesurés. Ces composantes ont ensuite été caractérisées puis ont servi de base pour l’élaboration d’une typologie des hydrogrammes de temps sec relatif à chaque site d’étude. Des méthodes, techniques et outils de traitement, d’analyse de séries de données et de calage de modèles pluie-débit ont également été utilisés et deux modèles pluie-débit ont été proposés pour représenter : (i.) la composante liée aux eaux de ruissellement pour les deux sites d’études et (ii.) la composante d’eaux parasites d’infiltration événementielle. La typologie des hydrogrammes de temps sec ainsi que les modèles de production de flux d’eaux en périodes pluvieuses ont été implémentés dans une plate-forme de modélisation hydrologique appelée « Hydrobox ». Les débits simulés ont ensuite été confrontés aux débits mesurés. Les résultats de comparaison montrent l’intérêt de prendre en compte la signature particulière portée par chaque composante dans le but d’améliorer la compréhension et la représentation des dynamiques liées aux processus hydrologiques intervenant sur des bassins versants urbanisés. / The objective of this thesis is to develop, test and validate methods, techniques and tools which can process and decompose hydrographs in order to understand, represent and predict the dynamics associated with these flow components in urbanized watersheds. The development of the methodology is based on rainfall and runoff data including qualitatives measures of the flow rate (conductivity, pH and turbidity) continuously acquired as part of the Field Observatory for Urban Hydrology (OTHU) for two watersheds in Lyon: Django Reinhardt (Chassieu) and Ecully. The continuous data collected in dry weather period from these two watersheds were analyzed using wavelets transforms. These methods combined to signal treatments analysis helped to reveal periodic component in the measured flows. These components were then characterized and used as a basis for developing a typology of hydrographs of dry weather period for each study site. Methods, techniques and tools for processing and analyzing of data sets and calibrating of rainfall-runoff models have been used to propose two models which represent respectively: (i) the component related to the runoff contribution for the two study sites and (ii.) the component related to parasitic water infiltration. The typology of hydrographs for dry weather period, the rainfall-runoff model and the infiltration-inflow model were implemented in a platform for hydrological modeling called “Hydrobox”. The simulated and the measured flow values were then compared. The comparison results show the importance of taking into account the particular signature carried by each component in order to improve the understanding and representing the dynamics related to hydrological processes in urbanized watersheds.

In this study Bradford’s (2008) approach for setting ecological flow and water level targets is tested and refined through application within the Lake Simcoe Region Conservation Authority’s (LSRCA) subwatershed of Lover’s Creek. A method for defining subwatershed objectives and identifying habitat specialists through expert input is proposed and tested. The natural regime of each streamflow and wetland site is characterized along with the hydrological alteration at each site. Potential ecological responses to the hydrologic alterations are then hypothesized for the different types of changes calculated at each site. Methods for setting overall ecosystem health and specific ecological objective flow targets are proposed and tested. These targets are integrated into a flow regime for each site and a process for using this information for decision making is suggested. Flow magnitude quantification is attempted using hydraulic modelling and sediment transport equations, however the data used were found to be inadequate for this application. The accuracy of the targets developed using the method presented in this paper is mainly limited by the accuracy of the hydrological model and quantified flow magnitudes. Recommendations for improving these components of the assessment are made. The unique approach and recommendations presented in this paper provide explicit steps for developing flow targets for subwatersheds within the LSRCA. This research contributes toward the advancement of EFA within the LSRCA, which provides opportunity for enhanced protection and restoration of ecosystem health across the watershed. / Lake Simcoe Region Conservation Authority