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Thesis (MScEng (Industrial Engineering))--University of Stellenbosch, 2010. / ENGLISH ABSTRACT: Several studies have shown that abnormal returns can be generated simply by buying past winning stocks and selling past losing stocks. Being able to predict future price behaviour by past price movements represents a direct challenge to the Efficient Market Hypothesis, a centrepiece of contemporary finance. Fund managers have attempted to exploit this effect, but reliable footage of the performance of such funds is very limited. Several academic studies have documented the presence of the momentum effect across different markets and between different periods. These studies employ trading rules that might be helpful to establish whether the momentum effect is present in a market or not, but have limited practical value as they ignore several practical constraints. The number of shares in the portfolios formed by academic studies is often impractical. Some studies (e.g. Conrad & Kaul, 1998) require holding a certain percentage of every share in the selection universe, resulting in an extremely large number of shares in the portfolios. Others create portfolios with as little as three shares (e.g. Rey & Schmid, 2005) resulting in portfolios that are insufficiently diversified. All academic studies implicitly require extremely high portfolio turnover rates that could cause transaction costs to dissipate momentum profits and lead the returns of such strategies to be taxed at an investor’s income tax rate rather than her capital gains tax rate. Depending on the tax jurisdiction within which the investor resides these tax ramifications could represent a tax difference of more than 10 percent, an amount that is unlikely to be recovered by any investment strategy. Critics of studies documenting positive alpha argue that momentum returns may be due to statistical biases such as data mining or due to risk factors not effectively captured by the standard CAPM. The empirical tests conducted in this study were therefore carefully designed to avoid every factor that could compromise the results and hinder a meaningful interpretation of the results. For example, small-caps were excluded to avoid the small firm effect from influencing the results and the tests were conducted on two different samples to avoid data mining from being a possible driver. Previous momentum studies generally used long/short strategies. It was found, however, that momentum strategies generally picked short positions in volatile and illiquid stocks, making it difficult to effectively estimate the transaction costs involved with holding such positions. For this reason it was chosen to test a long-only strategy. Three different strategies were tested on a sample of JSE mid-and large-caps on a replicated S&P500 index between January 2000 and September 2009. All strategies yielded positive abnormal returns and the null hypothesis that feasible momentum strategies cannot generate statistically significant abnormal returns could be rejected at the 5 percent level of significance for all three strategies on the JSE sample. However, further analysis showed that the momentum profits were far more pronounced in “up” markets than in “down” markets, leaving macroeconomic risk as a possible explanation for the vast returns generated by the strategy. There was ample evidence for the January anomaly being a possible driver behind the momentum returns derived from the S&P500 sample. / AFRIKAANSE OPSOMMING: Verskillende studies het gewys dat abnormale winste geskep kan word deur eenvoudig voormalige wenner aandele te koop en voormalige verloorder aandele te verkoop. Die moontlikheid om toekomstige prysgedrag te voorspel deur na prysbewegings uit die verlede te kyk is ‘n direkte uitdaging teen die “Efficient Market Hypothesis”, wat ’n kernstuk van hedendaagse finansies is. Fondsbestuurders het gepoog om hierdie effek te benut, maar akademiese ondersteuning vir die gedrag van sulke fondse is uiters beperk. Verskeie akademiese studies het die teenwoordigheid van die momentum effek in verskillende markte en oor verskillende periodes uitgewys. Hierdie akademiese studies benut handelsreëls wat gebruik kan word om te bepaal of die momentum effek wel in die mark teenwordig is al dan nie, maar is van beperkte waarde aangesien hulle verskeie praktiese beperkings ignoreer. Sommige studies (Conrad & Kaul, 1998) vereis dat 'n sekere persentasie van elke aandeel in die seleksie-universum gehou moet word, wat in oormatige groot aantal aandele in die portefeulle tot gevolg het. Ander skep portefeuljes met so min as drie aandele (Rey & Schmid, 2005), wat resulteer in onvoldoende gediversifiseerde portefeuljes. Die hooftekortkoming van alle akademiese studies is dat hulle portefeulleomsetverhoudings van hoër as 100% vereis wat daartoe sal lei dat winste uit sulke strategieë teen die belegger se inkomstebelastingskoers belas sal word in plaas van haar kapitaalaanwinskoers. Afhangende van die belastingsjurisdiksie waaronder die belegger val, kan hierdie belastingseffek meer as 10% beloop, wat nie maklik deur enige belegginsstrategie herwin kan word nie. Kritici van studies wat abnormale winste dokumenteer beweer dat sulke winste ‘n gevolg kan wees van statistiese bevooroordeling soos die myn van data, of as gevolg van risikofaktore wat nie effektief deur die standaard CAPM bepaal word nie. Die empiriese toetse is dus sorgvuldig ontwerp om enige faktor uit te skakel wat die resultate van hierdie studie sal kan bevraagteken en ‘n betekenisvolle interpretasie van die resultate kan verhinder. Die toetse sluit byvoorbeeld sogenaamde “small-caps” uit om die klein firma effek uit te skakel, en die toetse is verder op twee verskillende monsters uitgevoer om myn van data as ‘n moontlke dryfveer vir die resultate uit te skakel. Normaalweg toets akademiese studies lang/ kort nulkostestrategieë. Dit is gevind dat momentum strategieë oor die algemeen kort posisies kies in vlugtige en nie-likiede aandele, wat dit moeilik maak om die geassosieerde transaksiekoste effektief te bepaal. Daar is dus besluit om ’n “lang-alleenlik” strategie te toets. Drie verskillende strategieë is getoets op ‘n steekproef van JSE “mid-caps” en “large-caps” en op ‘n gerepliseerde S&P500 index tussen Januarie 2000 en September 2009. Alle strategieë het positiewe abnormale winste opgelewer, en die nul hipotese dat momentum strategieë geen statisties beduidende abnormale winste kan oplewer kon op die 5% vlak van beduidendheid vir al drie strategieë van die JSE monster verwerp word. Verdere analiese het wel getoon dat momentumwinste baie meer opvallend vertoon het in opwaartse markte as in afwaartse markte, wat tot die gevolgtrekking kan lei dat makro-ekonomiese risiko ‘n moontlike verklaring kan wees. Daar was genoegsaam bewyse vir die Januarie effek as ‘n moontlike dryfveer agter die momentum-winste in die S&P500 monster.

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.

Syfte och frågeställningar Syftet med den här studien är att genom intervjuer empiriskt granska och analysera elittränarens uppfattningar om momentum i ishockey. För att få svar på syftet delades det in i de fyra frågeställningarna . (1) Hur ser elittränaren på momentum och vad innebär det fördem? (2) Hur ser elittränarna på sin spelidé? (3) Vilka triggers tar tränarna upp och hur förhåller sig dessa till momentum? (4) Vilka coachbeslut och strategier tillämpar elittränarna under match? Metod Studien har genomförts med en kvalitativ ansats. Intervjuerna har präglats av ett förhållningssätt med standardiserade teman på frågeställningar till intervjupersonerna och djupgående följdfrågor. Urvalet har varit fem tränare på elitnivå inom ishockey vilka som lägst har verkat på hockeyallsvenskan säsongen 2011/2012. Intervjuerna utfördes dels ansikte-mot-ansikte och över telefon efter ett antal initialt utförda konversationer. Analys utfördes efter Hjerm och Lindgrens (2010, s.98f) sätt att konstruera tema, kategorier och koder. Resultat Resultatet visar att även om tränarna har olika uppfattningar och erfarenheter av momentum tillämpar de strategier medvetet eller omedvetet för att verka i riktning för momentum. Vidare kan det förklaras hur triggers och olika typer av förväntningar formar reaktionen. Därtill har en modell växt fram efter utförd analys i form av en momentumspole. Modellens kärna är tränarens spelidé som tolkar triggers till momentum och att detta får en emotionell respons i form av en känsla. Individers beslutsförmåga att skapa brytpunkt i spelet gör att momentum kan bäst ses som en multidimensionell modell. Slutsats Elittränarens mål med en match bör vara att inneha momentum utifrån sin egna spelidé. Att tänka kring idén om en momentumspole kan hjälpa tränare att lokalisera vilka punkter som kan förstärkas genom positiva triggers och känslor. Denna idé är med andra ord att betrakta som ett utkast till en teoretisk arbetsmodell för hur momentum kan tolkas och användas praktiskt.

Our result suggests a momentum effect in the index futures market that we find an abcdrmal return in some specific situations after deducting the transaction costs and tax in the simulation. All positive profits concentrate on short-term observing periods and short-term holding periods in momentum strategy. There is an obvious tendency that the profits slump through the increase of observing periods and the increase of holding periods. And the standard deviation of the profits goes larger as the holding periods extend. The momentum effect would still show in a shorter time period but a lower magnitude when we set the return criterion smaller. This phenomenon concurs with our expectation and implies that the behavioral theories can explain some parts of the momentum effect. In some cases the reversal profits are stronger in long-term observing periods but the standard deviation of it becomes very large and makes it difficult to implement. Other cases the profits are significant in short-term observing periods by intermediate or long-term holdings and long-term observing becomes disappointed. It needs more tests for a larger sample size to capture the characteristics of reversal phenomenon and acquire the parameters that can seize the reversal effect.

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A model for the Josephson junction is constructed based on two macroscopic angular momentum vectors. These vectors, which interact via a Heisenberg-like Hamiltonian, are defined using Anderson's pseudospin concept in superconductivity. Along with this, a new state vector, which affords a more complete description of the constant-charge-imbalance mode of the junction, is explicitly constructed. The resulting equations of motion lead directly to the basic Josephson results and at the same time provide a simple physical picture for the dynamical behavior of the junction. Both the Anderson (n,(phi)) and Feynman two-state models of the junction are shown to be equivalent to a restricted form of the angular momentum approach. The process of formulating the junction problem in terms of pseudo-angular-momentum together with the above identification constitutes a microscopic derivation of the Feynman method. A perturbation theory calculation is carried out within the full pseudo-angular-momentum equations of motion to determine how this approach differs from the earlier ones.

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