The following thesis applies equations of motion used in linear locomotion (gait analysis) to the analysis of the purely rotational motion of the fouetté or tour à la seconde. Modifications to the method of analysis include the creation of several MATLAB programs to compute improved estimates of the moment of inertia tensor, three-dimensional angular momentum about the dancer’s centre of mass. The results of this investigation—the quantification of angular momentum and external moments—are compared to similar results from gait analysis to demonstrate how the dancer maintains balance during rotational motion. The variables calculated by the MATLAB programs are particularly relevant in the field of balance control research in the context of inputs into the body’s balance control systems.

In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. We show that forming momentum portfolios by ranking stockson the residual return instead of total return increases the Sharpe ratio and reduces the excesskurtosis and skewness. Furthermore, managing volatility by scaling the exposure to the twomomentum styles increases performance of both, but most notably for the traditionalmomentum factor. Assessing the high average returns in relation to the high turnover of theportfolios, we find it likely for the net return after accounting for transaction costs to bestatistically significant based on research on factor strategies and limits to arbitrage. / Denna uppsats undersöker ett antal momentumstrategier på den svenska aktiemarknaden övertidsperioden åren 2000 till 2021. I linje med tidigare forskning visar vi på enmomentumeffekt, där aktier som presterat bättre (sämre) relativt andra under föregående årtenderar att prestera bättre (sämre) även i kommande månader. Vi visar attmomentumportföljer som rankar aktier utifrån dess idiosynkratiska avkastning underföregående tidsperiod förbättrar den riskjusterade avkastningen i jämförelse med dentraditionella momentumfaktorn. Förbättring visas även i en ökad symmetri med en minskadsannolikhet för extrema negativa utfall, ofta benämnt som ”tail risk” i sammanhanget. Vidareundersöks riskstrategier som låter exponeringen mot faktorportföljerna variera baserat påhistorisk volatilitet och resultatet visar på en förbättring, främst för den traditionellamomentumfaktorn. Baserat på portföljernas höga medelavkastning över tidsperioden och denmånatliga omsättningen finner vi det troligt att den positiva avkastningen förblir statistisktsignifikant efter hänsyn tagits till transaktionskostnader.

Background: Buying past winners and selling past losers has historically generated both profits and losses. The momentum strategy has been researched with risk measures and portfolio creation as fundamental components. While no definitive framework exists, prior research has explored industry segmentation within portfolio construction but has yet to reach a clear conclusion. Purpose: The purpose is to determine if there is a significant momentum effect in industry-portfolios, and if some industries are more prone to momentum strategy than others. Method: The research followed a positivistic paradigm with deductive reasoning using a quantitative approach. Secondary data of industry returns for 30 industries from the American stock market is collected from Kenneth R French database. The portfolios are analyzed from a statistical perspective to draw conclusions of the market anomaly. Findings: Three hypotheses were formed to address the research question and purpose. The winner-portfolio yielded significant raw returns in 14 of 16 tests for various periods, while loser and winner-loser portfolios showed negative raw returns. Accounting for systematic risk generated significant profits for all the winner portfolios. Further, industry-specific momentum was examined, revealing no momentum in some industries and momentum in others.   Conclusion: We find evidence that the industry portfolio can generate significant excess return over the market for 3–12-month periods, that can't be explained by the assets systematic risks. The study concludes that while industry-specific momentum is a viable strategy for diversification and capturing winners, its effectiveness varies across industries and has shown diminishing excess returns over the past two decades.

Seminario para optar al grado de Ingeniero Comercial, Mención Administración / El presente seminario confirma, basándose en la metodología utilizada en González (2006), la validez de las Hipótesis de Sobrereacción y Subreacción en el mercado accionario chileno, mediante el estudio de las estrategias de Momentum y Contrarian. En efecto, se encuentra que Momentum obtiene un retorno significativo de 7,06%, para un periodo de formación y testeo de 6 meses, mientras que la estrategia Contrarian, un 33,55%, considerando periodos de formación y testeo de 24 meses. Esto re-confirma además, la persistencia en las oportunidades de arbitraje en el tiempo. Tras estudiar los costos de transacción para ambas estrategias, en base a la medida propuesta en Lesmond et. al (2004) de Spread más Comisión citada, se observa que éstos equivalen a un 20% y 25%, respectivamente, los que entregan unos retornos netos de -13,5% y 8,5%. Si bien este último es positivo, factores como el tiempo que hay que mantener la posición abierta (24 meses), la volatilidad en los resultados, y la estimación conservadora de los costos, a través de la medida utilizada, omitiendo costos relevantes, hace que ninguna de las estrategias sea interesante desde el punto de vista de una oportunidad de inversión real. De esta forma, efectivamente se catalogan los retornos de las estrategias como teóricos (González 2006), sin embargo, esto no se debe a las restricciones a la venta corta existentes actualmente, sino que principalmente a los altos costos de transacción que implica transar los portafolios de estas estrategias (especialmente el perdedor), además de los ya mencionados. Es entonces este hecho el que finalmente permite explicar la persistencia en las oportunidades de arbitraje en el tiempo. Por último, incluir una aproximación de los costos de transacción en el mercado accionario chileno, constituye un aporte a la escasa evidencia sobre el tema, y además, según Lesmond (2005), al ser este mercado sumamente ilíquido, se reafirma la necesidad de estudiar los costos de transacción en futuras investigaciones.

This thesis consists of three main empirical chapters on the effect of stock liquidity on exchange markets. The first (Chapter 2) investigates the pricing ability of an illiquidity measure, namely the Amihud measure (Amihud, 2002), in different sample periods. The second (Chapter 3) determines the causal link between two well-known market quality factors liquidity and idiosyncratic volatility adopting two-stage least squares methodology (2SLS). The last empirical chapter (Chapter 4) revisits the limits to arbitrage theory and studies the link between stock liquidity and momentum anomaly profit, employing the difference-in-differences approach. The overall contribution of this thesis is to employ causal techniques in the context of asset pricing in order to eliminate potential endogeneity problems while investigating the relation between stock liquidity and exchange markets. Chapter 2 investigates whether the Amihud measure is priced differently if the investor is optimistic or, conversely, pessimistic about the future of the stock markets. The results of the chapter show that Amihud measure is priced in the low-sentiment period and that there is illiquidity premium when investor sentiment is low. Chapter 3 studies whether a change in stock liquidity has an impact on idiosyncratic volatility, employing causal techniques. Prior studies investigate the link between liquidity and idiosyncratic volatility but none focus on the potential problem of reverse causality. To overcome this reverse causality problem, I use the exogenous event of decimalisation as an instrumental variable and employ two-stage least squares approach to identify the impact of liquidity on idiosyncratic volatility. The results of the chapter suggest that an increase in illiquidity causes an increase in idiosyncratic volatility. As an additional result, my study shows that reduction in the tick size as a result of decimalisation improves firm-level stock liquidity. Chapter 4 examines whether liquid stocks earn more momentum anomaly profits compare to illiquid stocks, using the implementation of different tick sizes for different price ranges in the American Stock Exchange (AMEX) between February 1995 and April 1997. This programme provides a plausibly exogenous variation to disentangle the endogeneity issue and allows me to examine the impact of liquidity on momentum, by clearly exploiting the difference-in-difference framework. The results of the chapter show that liquid stocks earn more momentum profit than illiquid stocks.

This year (2018), it is 25 years since the Momentum Strategy was first scientifically described. Despite this, the cause of the effect has not surely been concluded although it has been empirically studied in several previous studies. It has been shown to be valid for different kinds of assets. Since the authors of this thesis are based in Stockholm they thought it would be interesting and relevant to study if the strategy is valid on the Swedish market. The stock data comes from the stocks which has been part of the OMXS30 at least once during the period of 2010-2018. This study has also utilised two different ways on how to quantitate the return of the different portfolios. The effect of the holding period has in this report been attempted to address. The holding period is the length of the period which assets should be enclosed in the portfolio. One of the quantitation methods compared the portfolios’ development each month. The other method was more like a window analysis, to evaluate a portfolio’s return if one decides to invest in that theory until all the invested funds has been turned over. The study finds that the Momentum Strategy with holding periods of 2, 3 and 4 months significantly outperforms the market. With a higher significance level (10%) Momentum Strategy portfolios with holding periods of 2-6 and 11-14 months are outperforming the market. With a larger sample size, it is possible that the results would have been more conclusive.

The dissertation consists of two essays. In the first essay, we investigate the relation of government ownership to the idiosyncratic volatility of Saudi Arabian firms that traded in the Saudi stock exchange between 2010 and 2016. The results show that publicly traded firms with an increase in government ownership have less idiosyncratic volatility. Furthermore, we investigate market leverage ratio, dividend payout ratio, and illiquidity ratio as potential roles in which government ownership influences the idiosyncratic volatility. The results prove the negative relationship between government ownership and idiosyncratic volatility. In the second essay, we investigate the association between government ownership and momentum trading of firms traded in the Saudi stock exchange between 2010 and 2016. The results show that firms with higher state ownership are expected to have greater price momentum. We used two approaches: the portfolio sorting approach and the fixed effect approach, and these two approaches confirm the positive relationship between government ownership and momentum.

No description available.

This thesis studies the sources of the returns from the momentum strategy and attempts to find some hints for the heated debate on the market efficiency hypothesis over the past twenty years. By decomposing the momentum returns from a mathematical model, we investigate directly the contributors and their relative importance in generating these momentum returns. Our empirical results support that autocorrelation of own stock returns is one of the driving forces for the momentum expected returns. The magnitude of the autocorrelation decreases as the ranking period becomes more remote. The second important source comes from the cross-sectional variation of the expected returns in the winner and loser portfolios at a given time. The third important source is the difference of the expected returns between the winner and loser portfolios. To our surprise, the cross-autocovariance does not contribute much to the momentum expected returns. Thus, the lead-lag effect can cause momentum returns, but its impact is not as significant as we had anticipated. More importantly, by changing the weights of the winner and loser portfolios, we find that the own-autocovariance of the winner portfolio is almost negligible, compared to that of the loser portfolio. The returns of the winners are much more random than those of the losers. This asymmetric own-autocovariance found in the return decomposition provides another underlying explanation to the recent finding that the contribution of the winner and loser portfolios to the momentum returns is asymmetric, and it is the losers, rather than the winners, that drive the momentum returns. Therefore, the market may not be as efficient as we believed before.

This research shows an experimental set-up of measuring forces acting on single cylinder in cross flow provided by a water tunnel. Water was also released at various directions from the cylinder surface to study the effect of momentum injection on cylinder forces. The fluid forces on the cylinder was measured by a strain gauge bonded on long-thin plat which is connected to the cylinder. The drag and lift coefficients of the cylinder were measured with momentum injection of various direction and magnitude. Experimental results show that the drag coefficient is effectively reduced with momentum injection at streamwise direction. Negative drag coefficient (propulsion) can be obtained if the magnitude of momentum inject is large enough. When the momentum injection has cross-stream component, lift force is obtained with its value depending on the magnitude of momentum injection. For higher Reynolds number, the magnitude of momentum injection has to be increased to maintain the effectiveness of momentum injection.