Thesis (Ph. D.)--University of Wisconsin, 1966. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references.

Essay 1 Abstract Prior research indicates that equity markets assign a higher valuation to firms that sustain a string of earnings increases (earnings string) and a string of meeting or beating analysts’ earnings expectations (MBE string). However, to date, there is little evidence on the response of debt investors when firms sustain a long string of meeting/beating earnings benchmarks. This study fills the gap in the literature by analyzing the impact of sustaining an earnings string/MBE string on the cost of debt. I find evidence of a positive (negative) association between the length of the earnings string/MBE string and the bond yield spreads (credit ratings). These results suggest that debt holders assess a higher risk to firms that sustain a string of earnings benchmarks and require a higher risk premium, contrary to equity holders, who reward firms that sustain a string of earnings benchmarks. Additional analyses indicate that this discrepancy is attributable to the different investor compositions between debt and equity markets. Essay 2 Abstract This study extends the existing literature by investigating the impact of sustaining a string of earnings increases (earnings string) on stock returns using the time-series asset pricing approach. Using both Fama-French (1993) three-factor and Carhart (1997) four-factor models, I find that the average abnormal return of a zero investment arbitrage portfolio that longs the highest earnings string portfolio and shorts the lowest earnings string portfolio is approximately negative 65 (75) basis points per month. These results provide further insight into the existing literature by demonstrating that earnings string firms initially experience higher stock returns. However, as earnings strings become longer, the market reaction becomes weaker.

Essa dissertação trata de geometria simplética e suas aplicações, apresentando conceitos tais como o gradiente simplético e também o teorema de Darboux. Discutimos a formulação Lagrangeana da mecânica, apresentando as equações de Euler-Lagrange e, usando a geometria simplética, mostramos como estes naturalmente evoluem para o formalismo Hamiltoneano e as equações de Hamilton. Introduzimos também o conceito da métrica de Jacobi e demonstramos o teorema de Noether. Apresentamos o conceito de ações simpléticas e Hamiltoneanas, bem como aplicações momento e comomento. São demonstrados resultados importantes como o teorema de Kirillov-Kostant-Sourieau para órbitas coadjuntas e a redução simplética de Marsden-Weinstein-Meyer. Os resultados centrais apresentados são o teorema de Atiyah-Guillemin-Steinberg de convexidade, o teorema de Schur e Horn para matrizes unitárias e o teorema de Delzant, este último sendo apresentado apenas com uma ideia da prova. / This thesis is about symplectic geometry and its applications, presenting concepts such as the symplectic gradient and also Darboux\'s theorem. We discuss the Lagrangian formulation of mechanics, presenting the Euler-Lagrange equations and, using symplectic geometry, show how those naturally evolve into the Hamiltonian formalism and the Hamilton equations. We instroduce also the concept of the Jacobi metrics and prove Noether\'s theorem. We also introduce the concept of symplectic and Hamiltonian actions as well as moment and comoment maps. We prove important results such as the Kirillov-Kostant-Sourieau theorem for coadjoint orbits and the symplectic reduction of Marsden-Weinstein-Meyer. The central results presented are the convexity theorem of Guillemin-Atiyah-Steinberg, the Schur and Horn theorem for unitary matrices and the Delzant theorem, this last one being presented only with an idea of the proof.

This paper empirically tests the theoretical model developed by Aggarwal, Krigman and Womack (2001), which argues that insiders of a firm strategically underprice its initial public offering to maximize personal wealth by selling shares at lockup expiration. First day underpricing generates information momentum for the stock in terms of increased research coverage and recommendations by analysts. Increased research coverage is positively correlated with stock returns and insider selling at the end of the lockup period. Although the value of the stock should be typically based on discounted expected future cash flows, several empirical papers suggest a downward sloping demand curves for new issues (Kaul, Mehrotra and Morck 2000, Field and Hanka 2000), consistent with the assumption of this paper’s empirical model. The hypothesis is tested using a sample of 210 internet-based firms such as Social media platforms, online travel agents, online real-estate agents and E-commerce services. The empirical results are significant and consistent with the hypothesis.

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The purpose of the study was to explore and determine kinetic and kinematic variables that related to D-I male sprinters maximal running velocity performance. The current study was separated into 3 individual chapters: 1.) Kinematic analysis magnitude of acceleration for braking and propulsion phases during foot contact phase at maximal speed sprinting; 2.) Using kinetic isometric mid-thigh pull variables to predict D-I male sprinters’ 60m performance; 3.) Relationship of whole and lower body angular momentum cancellation during terminal swing phase to sprint performance. Methods: for sprint measurement all the athletes were participated 2 trials of 100% effort running through 60 meters. The sprint time was measured by an electronic timing gate system. The electronic timing gate system was placed at every 10 meter intervals from the start line for 60 m. Six cameras were placed between 50 m and 60 m for kinematic data collection and analysis. Volume captured by the cameras is 7.5 m long, 1.2 m wide, and 1.95 m high. Reflective markers were attached on the body landmarks based on Vicon Nexus full body plugin model. The strength assessments were performed in a customized power rack, and kinetic values were collected via a dual force plate setup (2 separate 91 cm x 45.5 cm force plates, Roughdeck HP, Rice Lake, WI). The position for each isometric pull was established before each trial using goniometry, with each bar height corresponding to a 125±5º knee angle and a near-vertical trunk position. Results: current study partially support previous assumption that fast sprinters can minimize braking phase during foot contact phase when they are running maximal velocity. However, those minimizing effects did not impact maximal running velocity performance. Second, the study showed that fast sprinters can produce greater force during a short period of time than slower sprinters. Moreover, a certain trend of statistical significance was observed from the third study that angular momentum cancellation between lower bodies at frontal plane may be related to maximal running velocity performance. Discussion: the current study confirmed that fast sprinters can produce greater force in a short period time. However, the current study did not show statistical significance of angular momenta cancellation and sprint performance. Only a level of trend was observed. Thus, further study should examine sprinters with different training background, especially elite level sprinters is definitely needed.

The landscape of equity trading changed when computer algorithms commenced to analyse large volumes of stock market data faster than a fraction of a second. Advances in technology have enabled trading algorithms to initiate, route, and execute orders on aspects of market timing, optimising order quantity, and deciding price parameters with limited human intervention. The distinctive features of high-frequency trading are low latency, high order to trade ratio, co-location, and short holding periods. Besides contributing to profitability, cost efficiency, and competitiveness, it has also amplified issues such as systemic risk and market disruption.  European legal frameworks – in particular the Markets in Financial Instruments Directive II (MiFID II) and the Market Abuse Regulation (MAR) – have been and still are a response to this fairly new proprietary trading paradigm. This thesis interprets and analyses the risk mitigation and market manipulation requirements in order to clarify whether the legislation regarding high-frequency trading is compliant with the underlying appropriateness of MiFID II, MAR, and the Swedish Securities Act. The following two chapters provide an overview of the capital market with its participating actors and an outline of requirements for high-frequency trading investment firms. The ban on market manipulation is thereafter examined, systemised, and exemplified vis-à-vis fictitious transactions through manipulative schemes. Lastly, a case law analysis is conducted in respect of market abuse and defective trading algorithms.  This thesis finds plausible causation between defective trading algorithms, investor confidence, and market manipulation. Nevertheless, high-frequency trading per se is not considered to meet the necessary prerequisites for market manipulation stated in MAR. Information provision is one of the foremost tools to mitigate risk linked to systemic events and disruptive markets. However, too extensive requirements can potentially inhibit innovation and infringe legal rights related to inter alia, intellectual property, exempli gratia, trade secrets.

Financial market anomalies are constant subjects of debate because of their devotion form the foundational financial theories. Fama and French (2008) referred to the momentum effect as the premier anomaly. Thus, this study sought to apply the concept of momentum to examine three investment strategies. The first strategy was price momentum, an existing investment strategy but which was used as a comparison to the returns of the second and third strategies. The second strategy applied momentum to return on equity, operating cash flow and earnings before interest, tax, depreciation and amortisation, whilst the third strategy combined stocks with momentum in both stock price and respective fundamental variable.Using a non-probability sampling method, a total of 109 stock listed on the JSE over the period 1999-2010 were tested. Momentum in stock price and respective fundamentals was used to rank stocks into quintiles. The viability of each investment strategy was measured by comparing its average and risk adjusted returns to the market.The results revealed that fundamental momentum can beat market returns, with the highest amount of significant differences found using momentum in return on equity. The combination strategy also reported results of beating the market, with the higest amount of significant differences found using the 12 month fundamental momentum combined with 6 month price momentum. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Magister Commercii - MCom / Market Segmentation and style investing have become an essential part of security management over the past 40 years. There are many factors that separate the market, these include economy, investor behaviours, and specific anomalies. Apart, from the segmentation, investors lean towards a few tested investment styles and sectors, which hinder growth, while, dividing the market further. Thus, a major question arises on what really drives asset performance in the South African equity market. An evaluation of the relationship between sector performance and style anomalies over time is essential.

Many Small Unmanned Aerial Vehicles (SUAV) are driven by small scale, fixed blade propellers. The flow produced by the propeller, known as the propeller slipstream, can have significant impact on SUAV aerodynamics. In the design and analysis process for SUAVs, numerous Computational Fluid Dynamic (CFD) simulations of the coupled aircraft and propeller are often conducted which require a time-averaged, steady-state approximation of the propeller for computational efficiency. Most steady-state propeller models apply an actuator disk of momentum sources to model the thrust and swirl imparted to the flow field by a propeller. These momentum source models are based on simplified theories which lack accuracy. Currently, the most common momentum source models are based on blade element theory. Blade element theory discretizes the propeller blade into airfoil sections and assumes them to behave as two-dimensional (2D) airfoils. Blade element theory neglects many 3D flow effects that can greatly affect propeller performance limiting its accuracy and range of application. The research work in this dissertation uses a surrogate modeling method to develop a more accurate momentum source propeller model. Surrogate models for the time averaged thrust and swirl produced by each blade element are trained from a database of timeurate, highidelity 3D CFD propeller simulations. Since the surrogate models are trained from these highidelity CFD simulations, various 3D effects on propellers are inherently accounted for such as tip loss, hub loss, post stall effect, and element interaction. These efficient polynomial response surface surrogate models are functions of local flow properties at the blade elements and are embedded into 3D CFD simulations as locally adaptive momentum source terms. Results of the radial distribution of thrust and swirl for the steady-state surrogate propeller model are compared to that of time-dependent, highidelity 3D CFD propeller simulations for various aircraft-propeller coupled situations. This surrogate propeller model which is dependent on local flow field properties simulates the time-averaged flow field produced by the propeller at a momentum source term level of detail. Due to the nature of the training cases, it also captures the accuracy of time-dependent 3D CFD propeller simulations but at a much lower cost.