<p>This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). Our results are not coherent with previous studies conducted on the U.S market or theworld market, instead our results indicate that the Swedish stock exchange’s sector indices experience acontrarian effect over the intermediate time period. The results are adjusted for systematic risk and aresignificant on the 5%-level. Our result show that the weak form of the efficient market hypothesis isviolated and we therefore believe that a demand exists for easy and convenient investment vehicles withsector specific exposure, which could have a positive effect on the efficiency of the market.</p>

The thesis addresses two areas of research within financial economics: empirical asset pricing and the borderline area between finance and economics with emphasis on econometrical methods. The empirical asset pricing section considers the effects of short-sale constraints on both the stock market as well as the derivatives market. Many arbitrage relations in the economy are intimately tied to the possibility to go short. One such arbitrage relation is the put-call-parity (PCP) relation that dictates a pricing relation between several derivative instruments and their underlying assets. During the latter part of the 1980s stock options could be traded in Sweden, while at the same time shorting was not permitted. The main contribution of the paper is to show that this shorting prohibition indeed implied larger deviations from PCP. Furthermore, this effect is only relevant for firms with stocks that were not shortable abroad, as firms with stocks shortable abroad did not show any deviations from PCP. The second paper investigates the asymmetries found in the momentum effect. Previous studies have found that the momentum effect is mostly due to the fact that a portfolio of loser firms tend to continue perform poorly, rather than because a portfolio of winner firms continue to do well. The explanation for this phenomenon investigated in the paper is based on the theoretical work by Diamond and Verrecchia (1985). In this model they demonstrate that the effects of restrictions on the ability to go short will have as a result that negative news are incorporated more slowly than positive news. The main contribution of my paper is to explore this hypothesis, and provide a link to the momentum effect. This has been achieved by considering Sweden during the 1980s during which the rare situation of a complete shorting prohibition was enforced. The second section of the thesis foremost addresses the CCAPM model. In the third paper the joint effect of market frictions, different utility specifications, as well as more stringent econometrical analysis, on the CCAPM are considered. Since all these remedies tend to co-exist and should not be considered on a stand alone basis, as has been the case in the previous literature. The paper also shows how several measures of misspecification available in the literature are implemented when market frictions are present. In particular, the paper presents the Hansen and Jagannathan measure with market frictions. The final paper considers L1-norm-based alternatives to the L2-norm-based Hansen and Jagannathan (1997) measure. It is well known that L1-norm methods may show good properties in the presence of non-normal distributions, for instance, with respect to heavy-tailed and/or asymmetric distributions. These methods provide more robust estimators, since they are less easily influenced by outliers or other extreme observations. The basic intuition for this is that L2-norm methods involve squaring errors, which magnifies large deviations, while L1-norm methods are based on absolute deviations. Since financial data are known to frequently display non-normal properties, L1-norm methods have found considerable use in financial economics. / Diss. Stockholm : Handelshögskolan, 2005

Inom ledarskapsteori skrivs det mycket om ledarens roll vad gäller organisationens framgång. Däremot finns det mindre skrivet om kopplingen mellan ledaren som person och dennes framgång i ledarskapet. Många människor hamnar i en ledarroll till följd av stor skicklighet inom det de gör men är olämpliga som ledare, många människor gör samtidigt ett fantastiskt jobb som ledare. Ledarrollen är inte en yrkesroll som går att kliva i och ur utan ett förhållningssätt som personen lever med. Ledarskapsförmågan går dock att utveckla på många sätt om ledaren har drivkraft och mod att vilja utvecklas. I grunden handlar det om individens självbild och självkänsla. Studien syftar till att belysa det personliga ledarskapets påverkan på det professionella ledarskapet och baseras på åtta samtal med människor vilka alla har lång erfarenhet av ledarskap på professionell nivå. Idag arbetar samtliga med eller föreläser om personlig utveckling och/eller ledarskap på ett eller annat vis. Resultatet behandlar frågor om; gott ledarskap, det personliga ledarskapet, kopplingen där emellan och utveckling av ledarskap. Ämnesområdena är kopplade till teorierna; Transformativt ledarskap och Autentiskt ledarskap, slutsatser är sedan dragna från det. I dagsläget ökar förståelsen för betydelsen av personligt ledarskap för ett bra ledarskap i arbetslivet, men forskningen inom ämnet är bristfällig. Ord som mod, människointresse och insikt är ständigt återkommande i empirin. Dock inte i teorin och är därmed faktorer som behöver mer efterforskning. / Leadership theory provides much of the manager's role in the organization's success. However, there is less written about the connection between the leader as a person and his success in profession. Many people get into a leadership role due to great skills in what they do but they are unsuitable as a leader, while many people do a fantastic job as leader. Leadership is not a profession that you are able to leave at desk; leadership is a lifestyle or a personality. Leadership ability can be developed in many ways if the leader has the driving force, courage and willingness to develop, in essence it is all grounded in the individual's self-image and self esteem. The study aims to highlight the personal leadership’s impact on the professional leadership and based on eight interviews with people who have extensive experience of leadership at the professional level, and also in one way or another work with or have lectures on personal development and leadership. The result is dealing with questions about; good leadership, personal leadership, the link between these and development of leadership. The subject is linked to the theories about Transformational Leadership and Authentic Leadership; conclusions are then drawn from it. In the current situation the understanding about the importance of personal leadership for the professional leadership is increasing, but research on the subject is inadequate. Words like; courage, human interest and insight are a constant factor in the empire, but not in the theory, this indicates that those factors need more research.

This thesis contributes to the discussion on the importance of accounting information for stock market efficiency. As any analysis of market efficiency depends on the use of adequate risk proxies, the thesis first investigates the ability of commonly used risk factors to explain the cross-sectional variation of Swedish stock returns. The findings suggest that capturing risk is indeed very complicated, as neither CAPM beta nor size and book-to-market equity ratio are significantly associated with realized monthly returns. The relative bid-ask spread is found to be the strongest of all the analyzed factors; nevertheless it does not seem to be related to momentum in the manner predicted in the conceptual argument presented earlier in the paper. Second, the thesis documents that simple accounting summary measures, such as earnings and book value of equity, can be used as benchmarks for the identification of mispriced stocks. Contrarian investment strategies (CISs) based on these simple measures earn a substantial value premium of 11-14%. In addition, we find that their effectiveness is compromised by noise that is caused by transitory earnings and accounting conservatism. Controlling for these factors increases the magnitude of the value premium and improves the consistency of the CIS. This suggests that the information reflected in key accounting measures is not fully reflected in stock prices. Finally, this thesis shows that the structure of accounting information matters too. It documents that the transition from the Swedish GAAP to IFRS in 2005 not only changed the average goodwill charges reported by companies, but also affected valuation of goodwill-intensive companies. This suggests that investors were not able to see through the conservative treatment of goodwill prior to the adoption of IFRS and that they recognized its higher persistence only after being provided with accounting information directly highlighting it. It is sometimes suggested that the structure of financial reporting “per se” should not be relevant to the valuation of companies, because the presentation itself does not the affect expected operating performance and because investors and analysts can “see through” and properly discount for various reporting formats. This thesis concludes that, contrary to this proposition, the structure of accounting does matter for equity valuation and that changes in representation do impact on stock prices.

Solid propellant gas generators that have high gas capacity are used for fast pressurization of inflatable devices or elastic shells. However, many applications such as control surface actuation, air bottle pressurization in rocket engines and safety systems of automobiles (airbags) require exit gases at near ambient temperature. A scheme suitable for short duration applications is passive cooling of gas generator gases by using a packed bed as compact heat exchanger. A study indicated that the mass flow rates of solid propellant gas generators for applications such as air bottle pressurization and control system actuators were of the order of 1 kg/s. Since pressure and enthalpy drop correlations for packed beds with mass flow rates (~1 kg/s) and packing sphere based Reynolds number (Red) ~ 9X104 were unavailable in open literature, an experimental investigation was deemed necessary. The objectives of the present study were (a) characterization of packed beds for pressure and enthalpy drop, (b) develop Euler and Nusselt number correlations at Red~105 and (c) evolve an engineering procedure for estimation of packed bed pressure and enthalpy drop. An experimental test facility with a hydrogen-air combustor was designed and fabricated for this purpose to characterize a variety of packed beds for pressure drop and heat transfer. Flow through separate packed beds consisting of 9.5mm and 5mm steel spheres and lengths ~200mm and ~300mm were studied in the sphere based Reynolds numbers (Red) range of 0.4X104 to 8.5X104. The average porosity (є) of the randomly packed beds was ~0.4. The ratios of packed bed diameter to packing diameter for 9.5mm and 5mm sphere packing were ~ 9.5 and 18 respectively. The inlet flow temperature was unsteady and a suitable arrangement using mesh of spheres was used at either ends to eliminate flow entrance and exit effects. Stagnation pressures were measured at entry and exit of the packed beds. The pressure drop factor fpd, (ratio of Euler number (Eu) to packed bed dimensions) for packed bed with 9.5mm spheres exhibited an asymptotically decreasing trend with increasing Reynolds number, and a correlation for the pressure drop factor is proposed as, fpd=Eu/ [6(1-є) (L/dp)] =125.3 Red-0.4; 0.8X104 < Red < 8.5X104 (9.5mm sphere packing). However, for packed beds with 5mm spheres the pressure drop factor fpd, was observed to increase in the investigated Reynolds number range. The correlation based for pressure drop factor is proposed as, fpd= Eu/ [6(1-є) (L/dp)] =0.0479 Red0.37; 0.4X104 < Red < 3.9X104 (5mm sphere packing). The pressure drop factor was observed to be independent of the inlet flow temperature. Gas temperatures were measured at the entry, exit and at three axial locations along centerline in the packed beds. The solid packing temperature was measured at three axial locations in the packed bed. At Red~104, the influence of gas phase and solid phase thermal conductivity on heat transfer coefficient was found to be negligible based on order of magnitude analysis and solid packing temperature data obtained from the experiments. Evaluation of sphere based Nusselt number (Nud) at axial locations in the packed bed indicated a length effect on the heat transfer coefficient, which was a function of Reynolds number and size of spheres used in packing. The arithmetic average of Nusselt numbers at different axial locations in the packed bed were correlated as Nud=3.85 Red0.5; 0.5X104 < Red < 8.5X104. The Nusselt numbers obtained in the experiments were consistent with corresponding literature data available at lower Reynolds numbers. In this experimental study Euler number correlations for pressure drop and Nusselt number correlations for heat transfer were obtained for packed beds at Red~105. An engineering model for estimation of packed bed pressure and enthalpy drop was evolved, which is useful for sizing of packed bed heat exchanger in solid propellant gas generation systems.

Börshandlade fonder (ETF:er) blir alltmer populära som spar- och investeringsalternativ. Antalet ETF:er och variationen av dessa ökar stadigt. Denna studie ser på ETF:er likställda aktier (ur ett värdepappersperspektiv) och syftar till att applicera momentumstrategier på den amerikanska ETF-marknaden, likt Jegadeesh och Titman (1993), för att testa sambandet mellan ETF:ers kapitalvärde och riskjusterad överavkastning, estimerat genom Jensens alfa. Med utgångspunkt från Banz (1981) som visar på samband mellan investeringar i småbolagsaktier och högre riskjusterad avkastning (än motsvarande investeringar i stora bolags aktier). Testet har baserats på portföljer sammansatta på momentum- och contrarianstrategier för att utröna om en ETFs storlek på kapitalvärde är avgörande för en ETFs avkastning. Populationen har delats upp efter kapitalvärde i grupper om 25% största respektive 25% minsta, varefter portföljer skapats med momentumvinnare och momentumförlorare inom respektive grupp. Resultaten är mångtydiga och är i en del fall i linje med forskning som stödjer teorier om sambandet mellan lågt kapitalvärde och hög riskjusterad överavkastning. I andra fall är resultatet motsatt. Dock ger de flesta observationer inte statistisk signifikans och sambandet kan därför inte styrkas statistiskt. Resultatet tyder snarare på att ett samband mellan dessa två variabler inte föreligger.

This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). Our results are not coherent with previous studies conducted on the U.S market or theworld market, instead our results indicate that the Swedish stock exchange’s sector indices experience acontrarian effect over the intermediate time period. The results are adjusted for systematic risk and aresignificant on the 5%-level. Our result show that the weak form of the efficient market hypothesis isviolated and we therefore believe that a demand exists for easy and convenient investment vehicles withsector specific exposure, which could have a positive effect on the efficiency of the market.

Transport and mixing of momentum and salt in an estuary varies in time and space due to river discharge, changes in tidal amplitude and phase, wind stress, and lateral mixing processes, such as secondary circulation. This dissertation focuses on observing, describing, parameterizing, and quantifying secondary circulation in a sinuous coastal plain estuary using acoustic Doppler current meters. This endeavor is made to improve our general understanding of secondary circulation, to identify its primary driving forces, and to better parameterize key physical processes necessary for further study in current numerical models. Secondary circulation is used to describe several mechanisms whose result is to vertically overturn the water column along the transverse axis of a channel. Secondary circulation is commonly generated by one or more of the following mechanisms: channel curvature, unusual bottom topography or channel geometry, planetary rotation, and/or the differential advection of density. Data for this dissertation was collected in the naturally sinuous Satilla River in southeast Georgia. A shallow coastal plain estuary, the Satilla is a partially-mixed estuary characterized by 2 meter range semidiurnal tides. It has a strong neap-to-spring axial current inequality and strong neap-to-spring vertical salinity differences. The balance of mechanisms responsible for the strength and location of secondary flow in the Satilla River varies with spatial location, phase of the tide, and lateral cross-channel position. A simple steady-state momentum balance between the Coriolis acceleration, centrifugal acceleration, the lateral baroclinic gradient, and bottom stress is sufficient to explain secondary circulation in the Satilla River under a wide variety of conditions. The primary momentum balance for this river is a three-way balance between the centrifugal acceleration, bottom stress, and the lateral baroclinic gradient. The dominant mechanism that drives the local secondary circulation depends on the phase of the tide and the lateral placement of the acoustic current profiler.

This study focuses ontransient heat flow behavior in which centralizing energy on themetal makes metal surface come to aheat molten state with centralized heat source . This flow field is two-dimensional transient model, using Phase-field method and Two-phase flow to simulatemetal surface. In this study is under considerations of the mass conservation equation, momentum equation, energy equation and the level-set equation, regardless of the impact due to the concentration diffusion. At last it will show the flow of the molten zone caused by temperature, and the flows in molten zone forced by thermocapillary which is caused byvariation of temperature.

This thesis addresses the attitude control of satellites with similar and dissimilar actuators and control allocation methods on maneuvering. In addition, the control moment gyro (CMG) steering with gyroscopes having limited gimbal angle travel is also addressed. Full Momentum envelopes for a cluster of four CMG&#039 / s are obtained in a pyramid type mounting arrangement. The envelopes when gimbal travel is limited to plus-minus 90 degree are also obtained. The steering simulations using Moore Penrose (MP) pseudo inverse as well as blended inverse are presented and success of the pre planned blended inverse steering in avoiding gimbal angle limits is demonstrated through satellite slew maneuver simulations, showing the completion of the maneuver without violating gimbal angle travel restrictions. Dissimilar actuators, CMG and magnetic torquers are used as an approach of overactuated system. Steering simulations are carried out using different steering laws for constant torque and desired satellite slew maneuver scenarios. Success of the blended inverse steering algorithm over MP pseudo inverse is also demonstrated