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The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: 1) help global investors determine the optimal selection and holding periods for momentum portfolios, 2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, 3) assess the investment strategy profits after considering transaction costs, and 4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

The forbidden line (6sp³P₀ - 6s²¹S₀ ) λ2656Å is forbidden for all multipole transitions if the nucleus of Hg isotope has no magnetic moment. For Hg¹⁹⁹ the selection rule is broken by the interaction of the nuclear magnetic dipole moment with the atomic electrons. In this thesis the Zeeman effect of the line is discussed in detail. In particular, the intensity of the Zeeman components is calculated as a function of the external magnetic field. It turns out that even for an external magnetic field sufficient to produce the Back-Goudsmit effect (30,000 gauss) the intensity of Zeeman components changes by less than one percent. Also the effect of the interaction of the nuclear magnetic moment and atomic electrons on the intensity of forbidden lines (6 ¹S₀ - 6³P₁) λ4618Å and (6 ¹S₀ - 6³P₂) λ5313Å of Pb²⁰⁹ is calculated (in absence of external magnetic field). The effect is very small. / Science, Faculty of / Physics and Astronomy, Department of / Graduate

Orbital angular momentum (OAM) is a property of light that is widely used for applications in bioimaging, optical communication and optical manipulation, but is mainly limited to the infrared and visible spectra. Developing a table-top source of Extreme Ultraviolet (XUV) light containing an arbitrary amount of OAM is yet to be achieved. We accomplish this by exploiting high-harmonic generation (HHG), a process whereby an infrared pump beam produces high order harmonics. We experimentally demonstrate the conservation of OAM in HHG by measuring harmonics of order n containing n times the OAM of the pump (n = 11, 13, 15 in our experiment). These results agree with our theoretical model. We also show theoretically how to manipulate the HHG process to impart an arbitrary amount of OAM to the di fferent harmonics. We hence show the way to a table-top and flexible source of XUV light containing orbital angular momentum.

In the first essay, I document sample-specific and time period-specific style returns in two distinct sets of U.S. equities: Fama and French style portfolios and the S&P 1500 style indexes. The value and size effects are apparent in the Fama and French portfolios. Only the size effect is evident in the S&P data. In general, the Fama and French style returns are greater than those of the S&P 1500 styles. Style returns tend to be time-varying and exhibit momentum over a variety of formation period-holding period horizons. In the second essay, I utilize a bootstrap procedure to test for the presence of styleswitchers - as defined in Barberis and Shleifer (2003). I document style winner and loser continuations. There are some periods when no matter which particular style won (lost) in the past, it is more likely to continue winning (losing) in the future. I also test some Barberis and Shleifer (2003) propositions regarding style momentum. One proposition holds that Sharpe ratios from style-level momentum strategies should be at least as large as asset-level momentum Sharpe ratios. While many style momentum strategies generate significant returns, the implied Sharpe ratios are lower than those reported for asset-level momentum strategies. The Barberis and Shleifer (2003) model also suggests that style momentum could be time-varying. I condition style momentum returns on January, lagged market state, lagged monetary policy changes and lagged changes in relative dispersion and find significant conditional style-level momentum. In the third essay, I identify and test explanatory factors that potentially predict style momentum returns. Several macroeconomic, relative dispersion, market related and volatility related factors are associated with future short-term style momentum returns. Interactions of many of these variables with market and monetary state indicator variables are significant in the regressions as well.

The objective of this study was to analyse the impact of business magazine cover stories, albeit positive, neutral or negative, on the share price of the featured company. Two of the aspects of investment finance are rational behaviour and efficient markets. Both of these concepts were explored to understand why a cover story would have an impact on a company share price. Causal research was conducted to analyse the correlation between a magazine cover story and the featured company’s share price. The cover stories were collected form the Financial Mail and Finance Week archives. The holding period returns were calculated and compared to zero to analyse whether there was any momentum or contrarian signals. The holding period returns were also adjusted for that of the average of the resources index (J258) to ascertain whether the returns were abnormal or not. The results have shown that in some instances, such as with neutral cover stories, the markets show strong signs of efficiency. The results of positive cover stories showed these to be momentum indicators, however when the results were adjusted for the resource index, many the positive returns dissipated. Negative cover stories had the strongest results, where after the cover story there were clear contrarian signals. Most of the companies stopped showing negative returns. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

Behavioral momentum theory states that resistance to change of operant behavior is governed by the Pavlovian stimulus-reinforcer relation in a given discriminative stimulus situation. That is, higher reinforcer rates in the presence of a discriminative stimulus result in a stronger stimulus-reinforcer relation and, thereby, greater resistance to change. Within the momentum-based quantitative framework of resistance to change, the construct relating persistence to pre-disruption reinforcer rates is termed “behavioral mass.” All research on which momentum theory is based has examined resistance to change following prolonged exposure to stable reinforcer rates in multiple schedules of reinforcement. Thus, at present little is known about the time frame over which behavioral mass accumulates or the manner by which newly experienced stimulus reinforcer relations are incorporated into mass when these rates change. The experiments described in this dissertation aimed to clarify these facets of the construct. Chapters 1 and 2 provide a detailed overview behavioral momentum theory and resistance to change. Topics discussed include quantitative models of resistance to change, clinical implications of resistance-to-change research, some notable limitations of behavioral momentum theory, and extensions of the theory to account for diverse behavioral outcomes. A recently published study is presented in Chapter 3 that aimed to determine how resistance to change and behavioral mass of pigeons’ key pecking adapts in the face of stimulus-reinforcer relations that change across time during baseline. Results suggest that resistance to change is a function of recently experienced stimulus-reinforcer relations and that behavioral mass depends most heavily on these recent experiences. The experiment described in Chapter 4 extended the findings reported in Chapter 3 by examining whether behavioral mass changes during operant extinction. Pre-exposure to extinction in an alternative multiple-schedule component decreased resistance to extinction of target-component key pecking relative to conditions without pre-exposure to extinction. Between-condition differences in extinction were well accounted for quantitatively by either variation in behavioral mass or changes in the magnitude of factors that are assumed to disrupt responding during extinction. Chapter 5 offers an integrative discussion of this research and emphasizes theoretical implications, practical applications, and areas for future research.

The plan of this paper is to present some observations and then in subsequent chapters to examine the two basic cosmological ideas in the light of these observations. The first of the observations involves an estimate of the angular momentum in a given volume of space and the ratio of this momentum to the mass or number of nucleons in the given volume. We therefore wish to obtain a rough estimate of the angular momentum in that part of the universe which man may call his immediate surroundings, i.e., the solar system and galaxy.

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