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A numerical model which determines the geometry of a threshold channel was recently developed. Such a model is an important tool for designing unlined irrigation canals and channelization schemes, and is useful when considering flow regulation. However, its applicability is limited in that its continuously curving boundary does not allow for sediment transport, which is an essential feature of natural rivers and streams. That model has thus been modified to predict the shape and stress distribution of an optimal stable channel; a channel with a flat-bed region over which bedload transport occurs, and curving bank regions composed of particles that are all in a state of incipient motion. It is the combination of this channel geometry and the phenomenon of momentum-diffusion, that allows the present model to simulate the "stable bank, mobile bed" condition observed in rivers. The coupled equations of momentum-diffusion and force-balance are solved over the bank region to determine the shape of the channel banks (the bank solution). The width of the channel1s flat-bed region is determined by solving the momentum-diffusion equation over the flat-bed region (the bed solution), using conditions at the junction of the flat-bed and bank regions that ensure matching of the bed and bank solutions. The model was tested against available experimental and field data, and was found to adequately predict the bank shape and significant dimensions of stable channels. To make the model results more amenable to the practic ing engineer, design equations and plots were developed. These can be used as an alternative solution for stable channel design; relieving the practitioner of the need to run the numerical program. The case of a stable channel that transports both bedload and suspended sediment is briefly discussed. Governing equations and a possible solution scheme for this type of channel are suggested; laying the groundwork for the development of an appropriate numerical model. / Ph. D.

The momentum puzzle, i.e., stocks that have performed better in the past tend to perform better in the future, has been a constant challenge to classic finance theory. Prior research has failed to provide valid risk-based explanations because winner portfolios do not exhibit higher risk characteristics. Without a convincing risk explanation, the persistence of momentum profit is a violation of the efficient market hypothesis. Today, the momentum puzzle remains one of the very few major anomalies that cannot be explained by Fama-French factor models. I find prior empirical efforts to measure momentum profits and its sources are contaminated by the state of the market during both formation and holding periods. By looking into different market states, classified by both traditional and non-traditional bull and bear market definition, I find the key to at least partially solve the momentum mystery. Momentum stocks are riskier when formed in bull market, and momentum profit is much higher in continuation of market than reverses of market condition, lending empirical support to a risk-based explanation. My definition of market states is essentially based on the risk premium of major risk factors. When market risk is considered a risk factor, if realized market risk premium is positive, it is a bull market; when size is considered a proxy for risk factor, if SMB (small minus big risk premium) is positive, it is a bull market; when valuation (book-to-market) ratio is a proxy for risk factor, if HML (High-minus-Low risk premium) is positive, it is a bull market. This paper also explores simulations using models based on the positive relationship between risk and return. The simulation result confirms that at least part of the momentum profit can be explained by risk.

Denna studie kartlägger om det är möjligt att med hjälp av svenska insynspersoners värde-pappershandel prognostisera den svenska aktiemarknaden. Individuella insynspersoner har tidigare visats ha mer information kring enskilda företag än övriga aktörer på en aktiemarknad och har vistats skapa överavkastning gentemot marknaden. Aggregerad insynshandel har tidi-gare visat sig ha ett positivt samband med framtida avkastning på aktiemarknader. För att undersöka sambandet mellan svensk insynshandel och den svenska aktiemarknaden använder vi finansinspektionens insynslista som innefattar över 209 000 transaktioner av svensk insynshandel för perioden 1991-2013. Detta material undersöks tillsammans med hi-storiska indexvärden över tidsperioden och sambandet kartläggs med hjälp av OLS-regressioner. Vi undersöker även vad som driver sambandet mellan insynshandel och framtida avkastning, och vilket ekonomiskt värde det finns i insynshandel som prognosinstrument. Resultaten visar på att det finns ett statistiskt signifikant positivt samband mellan insynshan-del och framtida avkastning på den svenska aktiemarknaden. Detta samband blir starkare på lång sikt. Vi ser även att köptransaktioner är en starkare indikator för framtida marknadsrörel-ser än säljtransaktioner. Detta bekräftar tidigare studier där de menar att insynspersoner ofta säljer innehav på grund av andra anledningar än vinstsyfte. Vi finner även att sambandet drivs av ett informationsövertag men även av en Contrarian-strategi samt en genomlysningseffekt. Slutligen skapar vi prognosmodeller grundade i historisk insynshandel och genomför backtest på dessa under 22 år. Resultaten pekar på att insynshandel fungerar bra för att prognostisera framtida uppgångar på den svenska aktiemarknaden och är användbara för att skapa invester-ingsstrategier. / This study investigates if it possible to forecast the Swedish stock market using insider trading data. Individual insiders have been shown to have more information concerning a company than other investors. Additionally, insiders have been shown to be able to outperform the market in earnings from trading in company stock. Aggregate insider trading has, in previous studies, been shown to have a positive relationship with future returns on stock markets. To map the relationship between Swedish insider trading and the Swedish stock market we use the insider trading records from Finansinspektionen containing over 209 000 transactions over the course of 22 years. These records are examined together with a historic stock price index from the same time period. The relationship between the two is examined using OLS-regressions. We examine what factors drive the predictive power of insider trading and what economic value insider trading has as a forecasting instrument. Our results show that there is a statistically significant positive relationship between insider trading and future returns on the Swedish stock market, the significance increases with time. We also find indications that insider purchases have a stronger relationship with future index movements than insider sales have. This is consistent with earlier studies that find that insid-ers sell stock for many other reasons than profit. We conclude that the predictive power of insider trading derive from an information advantage, although our results indicates that some of the predictive power can be explained by a contrarian-strategy and a transparency effect. Finally we construct forecast-models based on historical insider trading and back-test these on the 22 year period. Results from these tests indicate that aggregate insider trading is effective in predicting future rises in the stock market and can function as a basis for successful invest-ment strategies.

This dissertation consists of two essays: one looks at the time-varying relationship between earnings and price momentum, and the other looks at how liquidity and transparency affect the pricing differential between Chinese A-and Hong Kong H-share. The first essay presented in Chapter I investigates the time varying relationship between earnings momentum and price momentum. Using a Markov-switching framework, allowing for variation between high volatility and low volatility states, I find that price momentum is significantly more influenced by earnings momentum in the high volatility state. Further for price momentum I find that loser firms display a higher degree of differential response to earnings momentum across the low and high volatility states than winner firms. Limited financing and investor’s sensitivity to future investment opportunities might explain these two results. A further analysis indeed indicates that loser firms tend to be more financially constrained. Additionally, I investigate the relationship between investor sentiment and the two momentums and find that sentiment only has predictive power for price momentum profits in the low volatility state. Finally, the results are robust regardless of instrument variables. The second essay presented in Chapter 2 examines the impact of liquidity and transparency on the discount attached to H-shares from 2003 to 2011. The higher the relative illiquidity of an H-share, the more the H-share is discounted relative to the underlying A-share price. In addition, more actively traded A-shares and infrequently traded H-shares are associated with a higher H-share discount. Further, increases in the number of analysts following a firm, both in the A-and H- market, are accompanied by a lower H-share discount. Also, a firm with a higher percentage of A-share holdings by mutual funds is associated with a smaller H-share discount. Overall, the results provide support for the notion that liquidity and transparency affect the relative pricing of A- and H-shares.

Um comportamento é dito mais resistente à mudança quanto menor for a alteração observada diante de modificações ambientais. Assim, estudos sobre resistência à mudança têm investigado a alteração do comportamento após a inserção de algumas operações que podem mudar comportamento que está em curso (evento perturbador). Essa proposta pode ser eficaz em investigações voltadas aos efeitos do consumo de drogas, como por exemplo, o etanol, que estimula determinadas áreas do Sistema Nervoso Central, responsáveis por possíveis alterações no valor reforçador de estímulos. O presente trabalho teve como objetivo avaliar se a presença do etanol acarretaria em alguma alteração diferencial nas condições com diferentes taxas de reforço e se sua presença e ausência poderiam ser caracterizadas como um evento perturbador. O Experimento I constou de duas partes. Na primeira parte foi analisada a função do etanol como evento perturbador. Dez ratos autoadministravam por via oral (gelatina) etanol (ET) 10% ou maltodextrina (MALTO) antes de sessões experimentais de treino de pressão à barra sob um esquema múltiplo VI 15 s-VI 45s. Na segunda parte, a pressão à barra foi colocada em extinção, mas as condições de autoadministração das substâncias foram mantidas para observar o efeito do etanol sobre a resistência à mudança dessa resposta. O Experimento II teve como objetivo avaliar o efeito da retirada de ET depois de intoxicações aguda e crônica. O experimento constou de duas partes. Na primeira, uma única dose de 20% de ET foi administrada por gavagem a ratos (n=9) previamente treinados sob o esquema múltiplo VI-VI; após 12 e 36 horas da administração, a resposta de pressão a barra sob o esquema múltiplo VI-VI foi observada. Na segunda parte, os mesmo ratos autoadministraram a cada 12 horas gelatina de ET a 10% por 21 dias; após 12 e 36 horas da administração, a resposta de pressão a barra sob o esquema múltiplo VI-VI foi novamente estudada. Os resultados do Experimento I indicaram que as doses consumidas de ET (10g/Kg) não tiveram função de evento perturbador. Quando houve algum efeito de queda ou aumento das taxas de respostas, esse não foi observado apenas no componente correlacionado com maior taxa de reforço, mas sim em ambos. Quanto à administração de ET na resistência à mudança empregando-se extinção como evento perturbador, não se obteve qualquer alteração. Contudo, quando a análise foi voltada à administração da gelatina, fosse com MALTO ou ET, houve diferentes efeitos em relação à fase de linha de base. Na primeira fase do Experimento II (retirada após intoxicação aguda) foi observado que a retirada do etanol teve efeito de evento perturbador apenas para sessões após 12h, mas não após 36h. Na segunda fase (retirada após a administração crônica) não houve efeito de retirada: os ratos continuaram se comportando de maneira semelhante aos dias com etanol. A retirada do etanol somente após a administração aguda apresentou tal efeito, que pode ser explicado devido ao efeito rebote de sua remoção do organismo, que foi observado somente após poucas horas do término do consumo (12 horas). Esse efeito rebote parece ter sido alterado pela taxa de reforço estabelecida nas condições do presente experimento (menos alterada ix na condição com maior taxa de reforço). Essa diversidade de resultados pode ter sido em função das diferenças entre consumo agudo e crônico ou por diferenças nas vias de administração empregadas / A behavior is considered resistant to change as the smallest change is observed before environmental modifications. Therefore, studies on resistance to change have investigated the change in behavior after the administration of some operations which can change the behavior in course (disrupting operation). This approach can be effective regarding investigations related to the effect of drug consumption such as ethanol, which stimulates specific areas in the Central Nervous System responsible for modifications in the reinforcement value of reinforcing stimuli. Thus, the purpose of the present study was to evaluate if the presence of ethanol would bring on any differential alteration in the reinforcement value of conditions with different rates of reinforcement and if its presence could be seen as a disruptive operation. Experiment I consisted of two parts. In the first, the function of ethanol as a disruption operation was analyzed. Ten rats self-administered orally (gelatin) ethanol (ET) 10% or maltodextrin (MALTO) before trial sessions of bar pressing training under a multiple VI 15 s-VI 45 s schedule. On the second part, the bar pressing was in extinction, but the conditions of the self-administration of the substances were maintained to observe the effects of ethanol on the resistance to change of this response. The purpose of Experiment II was to evaluate the effects of ET withdrawal after acute and chronic intoxications. The experiment was divided into two parts. On the first, a single dose of 20% ET was administered by force feeding to rats (n=9) previously trained under multiple schedules VI-VI; after 12 and 36 hours of the administration, the response bar pressing under the schedule VI-VI was observed. On the second part, the same rats self-administered every 12 hours ET gelatin at 10% for 21 days; after 12 and 36 hours of administration, the response bar pressing under the multiple schedule VI-VI was assessed. The results from Experiment I indicated that the consumed doses of ET (10g/Kg) did not function as a disrupting operation. When there was some effect or increase in response rates, it was not only observed in components co-related to a higher reinforcement rate, but in both. Regarding the administration of ET related to resistance to change when employing extinction as a disruption operation, there was no alteration. Nonetheless, when the analysis was directed to the administration of the gelatin either with MALTO or with ET there were different effects related to the baseline phase. On the first phase of Experiment II (withdrawal after acute intoxication) ethanol withdrawal had the effect of a disrupting operation only during sessions after 12hr, but not after 36hr. On the second phase (withdrawal after chronic administration) there was no effect of the withdrawal: rats continued to behave on the same way as they did on the days with ethanol. The ethanol withdrawal only presented such an effect after the acute administration which can be explained due to the rebound effect of its removal from the organism, which was observed only a few hours after the end of the consumption (12 hours). This rebound effect seems to be changed through the reinforcement rate established on the conditions of the present xi Experiment 2 (unless changed in the condition with the highest rate of reinforcement). The same results were not observed after the end of the chronic administration of the ethanol. This difference in results could be due to the differences between acute and chronic consumption or the differences in the methods of administration employed

Um comportamento é dito mais resistente à mudança quanto menor for a alteração observada diante de modificações ambientais. Assim, estudos sobre resistência à mudança têm investigado a alteração do comportamento após a inserção de algumas operações que podem mudar comportamento que está em curso (evento perturbador). Essa proposta pode ser eficaz em investigações voltadas aos efeitos do consumo de drogas, como por exemplo, o etanol, que estimula determinadas áreas do Sistema Nervoso Central, responsáveis por possíveis alterações no valor reforçador de estímulos. O presente trabalho teve como objetivo avaliar se a presença do etanol acarretaria em alguma alteração diferencial nas condições com diferentes taxas de reforço e se sua presença e ausência poderiam ser caracterizadas como um evento perturbador. O Experimento I constou de duas partes. Na primeira parte foi analisada a função do etanol como evento perturbador. Dez ratos autoadministravam por via oral (gelatina) etanol (ET) 10% ou maltodextrina (MALTO) antes de sessões experimentais de treino de pressão à barra sob um esquema múltiplo VI 15 s-VI 45s. Na segunda parte, a pressão à barra foi colocada em extinção, mas as condições de autoadministração das substâncias foram mantidas para observar o efeito do etanol sobre a resistência à mudança dessa resposta. O Experimento II teve como objetivo avaliar o efeito da retirada de ET depois de intoxicações aguda e crônica. O experimento constou de duas partes. Na primeira, uma única dose de 20% de ET foi administrada por gavagem a ratos (n=9) previamente treinados sob o esquema múltiplo VI-VI; após 12 e 36 horas da administração, a resposta de pressão a barra sob o esquema múltiplo VI-VI foi observada. Na segunda parte, os mesmo ratos autoadministraram a cada 12 horas gelatina de ET a 10% por 21 dias; após 12 e 36 horas da administração, a resposta de pressão a barra sob o esquema múltiplo VI-VI foi novamente estudada. Os resultados do Experimento I indicaram que as doses consumidas de ET (10g/Kg) não tiveram função de evento perturbador. Quando houve algum efeito de queda ou aumento das taxas de respostas, esse não foi observado apenas no componente correlacionado com maior taxa de reforço, mas sim em ambos. Quanto à administração de ET na resistência à mudança empregando-se extinção como evento perturbador, não se obteve qualquer alteração. Contudo, quando a análise foi voltada à administração da gelatina, fosse com MALTO ou ET, houve diferentes efeitos em relação à fase de linha de base. Na primeira fase do Experimento II (retirada após intoxicação aguda) foi observado que a retirada do etanol teve efeito de evento perturbador apenas para sessões após 12h, mas não após 36h. Na segunda fase (retirada após a administração crônica) não houve efeito de retirada: os ratos continuaram se comportando de maneira semelhante aos dias com etanol. A retirada do etanol somente após a administração aguda apresentou tal efeito, que pode ser explicado devido ao efeito rebote de sua remoção do organismo, que foi observado somente após poucas horas do término do consumo (12 horas). Esse efeito rebote parece ter sido alterado pela taxa de reforço estabelecida nas condições do presente experimento (menos alterada ix na condição com maior taxa de reforço). Essa diversidade de resultados pode ter sido em função das diferenças entre consumo agudo e crônico ou por diferenças nas vias de administração empregadas / A behavior is considered resistant to change as the smallest change is observed before environmental modifications. Therefore, studies on resistance to change have investigated the change in behavior after the administration of some operations which can change the behavior in course (disrupting operation). This approach can be effective regarding investigations related to the effect of drug consumption such as ethanol, which stimulates specific areas in the Central Nervous System responsible for modifications in the reinforcement value of reinforcing stimuli. Thus, the purpose of the present study was to evaluate if the presence of ethanol would bring on any differential alteration in the reinforcement value of conditions with different rates of reinforcement and if its presence could be seen as a disruptive operation. Experiment I consisted of two parts. In the first, the function of ethanol as a disruption operation was analyzed. Ten rats self-administered orally (gelatin) ethanol (ET) 10% or maltodextrin (MALTO) before trial sessions of bar pressing training under a multiple VI 15 s-VI 45 s schedule. On the second part, the bar pressing was in extinction, but the conditions of the self-administration of the substances were maintained to observe the effects of ethanol on the resistance to change of this response. The purpose of Experiment II was to evaluate the effects of ET withdrawal after acute and chronic intoxications. The experiment was divided into two parts. On the first, a single dose of 20% ET was administered by force feeding to rats (n=9) previously trained under multiple schedules VI-VI; after 12 and 36 hours of the administration, the response bar pressing under the schedule VI-VI was observed. On the second part, the same rats self-administered every 12 hours ET gelatin at 10% for 21 days; after 12 and 36 hours of administration, the response bar pressing under the multiple schedule VI-VI was assessed. The results from Experiment I indicated that the consumed doses of ET (10g/Kg) did not function as a disrupting operation. When there was some effect or increase in response rates, it was not only observed in components co-related to a higher reinforcement rate, but in both. Regarding the administration of ET related to resistance to change when employing extinction as a disruption operation, there was no alteration. Nonetheless, when the analysis was directed to the administration of the gelatin either with MALTO or with ET there were different effects related to the baseline phase. On the first phase of Experiment II (withdrawal after acute intoxication) ethanol withdrawal had the effect of a disrupting operation only during sessions after 12hr, but not after 36hr. On the second phase (withdrawal after chronic administration) there was no effect of the withdrawal: rats continued to behave on the same way as they did on the days with ethanol. The ethanol withdrawal only presented such an effect after the acute administration which can be explained due to the rebound effect of its removal from the organism, which was observed only a few hours after the end of the consumption (12 hours). This rebound effect seems to be changed through the reinforcement rate established on the conditions of the present xi Experiment 2 (unless changed in the condition with the highest rate of reinforcement). The same results were not observed after the end of the chronic administration of the ethanol. This difference in results could be due to the differences between acute and chronic consumption or the differences in the methods of administration employed

<p>Bakgrund: 4 av 5 svenskar äger aktier i någon form och det är många som är intresserade av att maximera sin avkastning. Det har lett till att det skrivs mycket i media om olika sätt att få avkastning högre än marknaden. Om det skulle vara möjligt att nå överavkastning är det en indikation på att marknaden inte är effektiv.</p><p>Syfte: Syftet med studien är att undersöka om det historiskt har gått att nå en överavkastning genom tillämpa momentum- eller motsatstrategin på den svenska aktiemarknaden. Syftet är även att testa om den svenska aktiemarknaden har varit effektiv i svag form.</p><p>Genomförande: Momentumstrategin testades genom att portföljer formades med de tio aktier som har haft högst relativ prisstyrka de senaste sex månaderna. Portföljernas marknadsjusterade avkastning har sedan följts i sex månader. Motsatsstrategin testades genom att vinnarportföljer formades med de tio aktier som har haft högst avkastning de senaste tre åren och förlorarportföljer formades för de med lägst avkastning. Portföljernas marknadsjusterade avkastningar under de kommande tre åren jämfördes sedan med varandra.</p><p>Slutsats: Vi har kommit fram till att det har gått att nå en överavkastning med hjälp av momentumstrategin och att den har fungerat bäst i perioder av stabila uppgångar. Det har däremot inte gått att få överavkastning med hjälp av motsatsstrategin. Vi menar att resultatet beror på att marknaden underreagerar. Därmed kan vi säga att den svenska aktiemarknaden under den undersöka tidsperioden inte har varit effektiv i svag form.</p> / <p>Background: 4 out of 5 Swedes own stocks in some form and many people are interested in maximising their profits. This has led to a lot of publicity in ways to get profits higher than the market. The eventual possibility to receive abnormal returns indicates that the market is inefficient.</p><p>Purpose: The purpose of the study is to investigate if it historically has been possible to receive abnormal returns by implementing momentum- and contrarian strategies on the Swedish stock market. The purpose is also to test if the Swedish stock market has been efficient in weak form.</p><p>Implementation: The momentum strategy was tested by forming portfolios consisting of the ten stocks with the highest relative price strength over the last six months. The portfolio abnormal returns were then followed for the following six months. The contrarian strategy was tested by forming winner portfolios consisting of the ten stocks with the highest abnormal returns over the last three years. Loser portfolios were formed of the ten stocks with the lowest abnormal returns over the last three years. The portfolios abnormal returns were then compared to each other for the following three years.</p><p>Conclusion: We have reached the conclusion that it has been possible to receive abnormal returns by using the momentum strategy. It has been the most successful in periods of steady raises. The contrarian strategy has not generated any excess returns. We believe that reason for the results is that the market under reacts. Therefore we can state that the Swedish stock market not has been efficient in weak form during the examined period.</p>