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Journal articles on the topic 'Short-term momentum effect'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Ejaz, A., and P. Polak. "Short term momentum profits and their source: a business indicators’ approach." Agricultural Economics (Zemědělská ekonomika) 59, No. 12 (2013): 563–77. http://dx.doi.org/10.17221/50/2013-agricecon.

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The main objective of the paper is to seek the source that can explain the momentum profits because the source of momentum profits has been disputed. The secondary objective of the paper is to affirm the findings of the author about the presence of the short term momentum effect and to reaffirm the notion that CAPM cannot explain the momentum profits supported by a large number of authors. For the primary objective, a set of variables has been chosen, that fall under the category of &ldquo;Business Indicators&rdquo;, to explain the momentum profits. It is found that a variable &ldq

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Ejaz, Abdullah, and Petr Polak. "Short-Term Momentum Effect: a Case of Middle East Stock Markets." Business: Theory and Practice 16, no. (1) (2015): 104–12. https://doi.org/10.3846/btp.2015.438.

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The objective of this paper is to find short-term momentum effect in stock markets of the Middle East and to examine whether short-term momentum profits can be explained by risk-based CAPM model. Seven major stock markets from the Middle East were selected. Short-term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short-term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon

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Ejaz, Abdullah, and Petr Polak. "Short-Term Momentum Effect: a Case of Middle East Stock Markets." Verslas: Teorija ir Praktika 16, no. 1 (2015): 104–12. http://dx.doi.org/10.3846/btp.2015.438.

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The objective of this paper is to find short-term momentum effect in stock markets of the Middle East and to examine whether short-term momentum profits can be explained by risk-based CAPM model. Seven major stock markets from the Middle East were selected. Short-term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short-term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon

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Zhang, Yifan, Yitong Li, and Yuan Dai. "The Comparison on the Momentum Effect and Reversal Effect in Chinas Stock MarketAn Empirical Research Based on Whether the Industry Is Cyclical." Advances in Economics, Management and Political Sciences 196, no. 1 (2025): 282–90. https://doi.org/10.54254/2754-1169/2025.bj24836.

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This study investigates the momentum and reversal effects in China's real estate and pharmaceutical industries using monthly stock return data from 2004 to 2024. The results show very different market behaviors: the real estate industry shows a short-term reversal effect and a long-term reversal effect that is not remarkable for momentum or inversion effects, whereas the pharmaceutical industry shows a long- and short-term significant reversal effect and a medium-term inconspicuous momentum effect. This study uses monthly data to investigate the cyclical performance of different industries in

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Su, Xinyue. "An Empirical Analysis of Price Momentum Effect in A-share Market." BCP Business & Management 46 (June 8, 2023): 233–46. http://dx.doi.org/10.54691/bcpbm.v46i.5102.

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This article sorts the returns of listed companies in the A-share market from May 1991 to April 2022 over the past J months, selects winners and losers, constructs a zero investment portfolio, and holds it for K months. The results showed that there is a reversal effect in the short term and a momentum effect in the medium to long term. Only when the holding period is one month, no obvious pattern can be observed. This article is interested in the combination of winners and losers with a holding period of one month. Next, Fama-MacBeth regression is used to further verify whether there is momen

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Khan, Mostafa Saidur Rahim. "Market States and Momentum: Evidence from the Dhaka Stock Exchange." Review of Pacific Basin Financial Markets and Policies 20, no. 02 (2017): 1750011. http://dx.doi.org/10.1142/s0219091517500114.

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This study examines the momentum effect in the Dhaka Stock Exchange (DSE) listed stock returns on the basis of market states. Momentum profits are found to be significantly positive in UP market states but insignificant in DOWN market states. Momentum profits evident in UP market states are also found to revert in the long term. The evidence of short term momentum and long term reversal hold true even after adjusting for risks. In addition to short-term momentum and long-term reversal, regression coefficients also provide evidence for a positive but nonlinear relationship between momentum prof

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Nguyen, Ha, Bin Liu, and Nirav Y. Parikh. "Exploring the short-term momentum effect in the cryptocurrency market." Evolutionary and Institutional Economics Review 17, no. 2 (2020): 425–43. http://dx.doi.org/10.1007/s40844-020-00176-z.

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Zhang, Jin, Yuxiu Zhang, and Yongqi Dong. "A New Momentum Strategy Based on Chinese Securities Market." International Journal of Business and Management 14, no. 12 (2019): 90. http://dx.doi.org/10.5539/ijbm.v14n12p90.

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Facing the current gaps with regard to the momentum effect in Chinese securities market, a momentum strategy was constructed to compare the securities market price under the effective market theory with under the non-effective market theory by the Hushen 300 index from 2006 to 2015 and a stock price residual measurement model. An important result was that the root cause of the momentum effect was systematic irrational behavior. On this basis, a new momentum strategy was constructed based on RSP (Residual of Stock Price), and the performance of that strategy was tested in different ranking and

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Yu, Xinyi. "Analyze the Equity Premium Puzzle from the Perspectives of the Momentum Effect and Reversal Effect." Advances in Economics, Management and Political Sciences 178, no. 1 (2025): 165–71. https://doi.org/10.54254/2754-1169/2025.22773.

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Against the backdrop that traditional asset pricing models fail to adequately explain the equity premium puzzle, this paper explores the reasons for the stock premium from the momentum effect and reversal effect in behavioral finance. Through the research of stock premium, this paper attempts to put forward suggestions for enhancing market efficiency and reducing irrational behaviors in the market. Based on the theoretical basis of momentum effect and reversal effect, this paper takes the Chinese stock market and the US stock market as the research objects, and focuses on analyzing the perform

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Ejaz, Abdullah, and Petr Polak. "Australian Stock Exchange and sub-variants of price momentum strategies." Investment Management and Financial Innovations 15, no. 1 (2018): 224–35. http://dx.doi.org/10.21511/imfi.15(1).2018.19.

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The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.

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Sehgal, Sanjay, and I. Balakrishnan. "Contrarian and Momentum Strategies in the Indian Capital Market." Vikalpa: The Journal for Decision Makers 27, no. 1 (2002): 13–20. http://dx.doi.org/10.1177/0256090920020103.

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The study attempts to evaluate if there are any systematic patterns in stock returns for the Indian market. The empirical findings reveal that there is a reversal in long-term returns, once the short-term momentum effect has been controlled by maintaining a one year gap between portfolio formation period and the portfolio holding period. A contrarian strategy based on long-term past returns provides moderately positive returns. Further, there is a continuation in short-term returns and a momentum strategy based on it provides significantly positive payoffs. The results in general are in confor

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Chakrabarty, Bidisha, Pamela C. Moulton, and Charles Trzcinka. "The Performance of Short-Term Institutional Trades." Journal of Financial and Quantitative Analysis 52, no. 4 (2017): 1403–28. http://dx.doi.org/10.1017/s0022109017000400.

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Using a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than 3 months, and the returns on these trades average -3.91% (nonannualized). These losses are pervasive across all types of stocks, with the lowest returns occurring in small stocks, value stocks, and low-momentum stocks. Short-term trades lose more in more volatile markets. Across funds, the worst short-term returns accrue to funds that do the most trading, and there is no evidence of persistent skill or disp

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Habib-ur-rahman, Habib-ur-rahman, and Hasan M. Mohsin. "Momentum Effect: Empirical Evidence from Karachi Stock Exchange." Pakistan Development Review 51, no. 4II (2012): 449–62. http://dx.doi.org/10.30541/v51i4iipp.449-462.

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Capital market efficiency and the prediction of future stock prices are the most thought-provoking and ferociously debated areas in finance. The followers of traditional financial theory strongly believe that the markets are efficient in pricing the financial instruments. This view became popular after Fama’s work on the Efficient Market Hypothesis. But before 1990s, wide-ranging financial literature documented that stock prices, to some extent, are predictable. Many psychologists, economist and the journalists are of the view that general tendency of individuals is to overreact to the informa

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Imran, Zulfiqar Ali, Woei-Chyuan Wong, and Rusmawati Ismail. "Momentum Effect in Developed and Emerging Stock Markets." Journal of Finance and Accounting Research 2, no. 2 (2020): 1. http://dx.doi.org/10.32350/jfar/2020/0202/95.

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The study aims to reaffirms the existence of short-term momentum effect in 13 developed and emerging stock markets where previous literature has lack of consensus. Although many studies emphasis on the existence of momentum effect, but still, there are substantial number of researchers that deny the its presence. The contradictory finding of many researchers over the existence of momentum effect, raises a serious question, to what extend our stock markets are informationally efficient and whether investor can make abnormal profits by using momentum investment strategies. This study applies mom

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Ren, Feifan. "A Comprehensive Analysis of Behavioral Finance and its Impact on Investment Decisions." Highlights in Business, Economics and Management 32 (May 16, 2024): 72–77. http://dx.doi.org/10.54097/jda3dq67.

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This paper thoroughly examines behavioral finance, challenging traditional financial theories by questioning investor rationality and market efficiency. Focusing on five key phenomena—loss aversion, short-term momentum, long-term reversal, framing effect, and endowment effect—the analysis relies on real-world observations to reveal how psychological biases significantly impact investor decisions and financial markets. Loss aversion, especially evident during financial crises, highlights humans' tendency to avoid potential losses rather than pursuing equivalent gains. The study explores short-t

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Saleh, Walid, and Orouba Al Sabbagh. "Short-term stock price momentum, long-term stock price reversal and the effect of information uncertainty." International Journal of Accounting and Finance 2, no. 1 (2010): 1. http://dx.doi.org/10.1504/ijaf.2010.031910.

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Nedev, Bozhidar. "Cultural Specifics and the Momentum Effect on the Bulgarian Stock Exchange." Journal of Business Accounting and Finance Perspectives 3, no. 1 (2021): 1. http://dx.doi.org/10.35995/jbafp3010005.

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This article analyses the relationship between the documented momentum effect on the Bulgarian Stock Exchange and the cultural characteristics of Bulgarian society on the basis of the 6-Dimensions Culture Model by Hofstede. Derived are possible behavioural biases, that could cause investors to underreact to firm-specific information, resulting in short-term return predictability. Outlined are implications for the relation between the rising of momentum effect and low individualism index, as identified on the Bulgarian Stock Exchange (BSE).

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Goel, Garima, Saumya Ranjan Dash, Mário Nuno Mata, António Bento Caleiro, João Xavier Rita, and José António Filipe. "Economic Policy Uncertainty and Stock Return Momentum." Journal of Risk and Financial Management 14, no. 4 (2021): 141. http://dx.doi.org/10.3390/jrfm14040141.

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This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge momentum portfolios. The short side portfolio dominates this effect as compared to the long side. EPU is statistically significant after controlling for macroeconomic variables. Furthermore, the paper conducts a battery of time series analysis, which highlights that EPU has a causal relationship with the hedg

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Ferris, Stephen P., Sulgi Koo, Kwangwoo Park, and David T. Yi. "The Effects of Hosting Mega Sporting Events on Local Stock Markets and Sustainable Growth." Sustainability 15, no. 1 (2022): 363. http://dx.doi.org/10.3390/su15010363.

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We examine the economic effects of the Summer and Winter Olympic Games and the FIFA World Cup on the economies of host countries. We found that in the short run, hosting the Olympic Games has a significant positive announcement effect on the host country’s equity market. Our results also revealed a positive effect on the stock market in non-G7 countries hosting a mega sporting event and an insignificant effect in G7 countries hosting such events, indicating that hosting a mega sporting event can provide additional momentum for developing or emerging economies. We did find, however, that while

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Ranjan Dash, Saumya, and Jitendra Mahakud. "Conditional multifactor asset pricing model and market anomalies." Journal of Indian Business Research 5, no. 4 (2013): 271–94. http://dx.doi.org/10.1108/jibr-12-2012-0126.

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Purpose – The purpose of this paper is to investigate the firm-specific anomaly effect and to identify market anomalies that account for the cross-sectional regularity in the Indian stock market. The paper also examines the cross-sectional return predictability of market anomalies after making the firm-specific raw return risk adjusted with respect to the systematic risk factors in the unconditional and conditional multifactor specifications. Design/methodology/approach – The paper employs first step time series regression approach to drive the risk-adjusted return of individual firms. For exa

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Huang, Jinsui, Peiying Zhang, and Junbin Zhang. "Understanding Momentum and Reversal Investing Strategies." Journal of Economics, Finance and Accounting Studies 5, no. 1 (2023): 106–12. http://dx.doi.org/10.32996/jefas.2023.5.1.8.

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Momentum and reversals are two phenomena to explain the past return trend. Originally introduced by Jegadeesh and Titman in 1993, momentum is now a common investment strategy when investors are trading securities. It points out the stock price may have a relationship with their past performance. A large number of researchers have been trying to find out the momentum investment effect based on empirical evidence in different markets in different investment periods, which include short term, medium term and long term. Moreover, a series of research concludes that the momentum investment strategy

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Wu, Yi, and Nicole Lux. "U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis." Journal of Risk and Financial Management 11, no. 3 (2018): 54. http://dx.doi.org/10.3390/jrfm11030054.

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This paper studies U.K. regional house prices across nine regions from January 2005 to December 2017 to identify regional versus national effects on house prices and potential house price bubbles. It uses a version of the Gordon dividend discount model, modelling house prices as the present value of imputed rents as a measure of fundamentals. It differentiates between long-term and short-term effect using pooled mean group (PMG) and mean group estimation (MG) to determine variations in regional house prices during different periods relating to the most recent financial crisis. The results conf

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Hartzmark, Samuel M., and David H. Solomon. "Efficiency and the Disposition Effect in NFL Prediction Markets." Quarterly Journal of Finance 02, no. 03 (2012): 1250013. http://dx.doi.org/10.1142/s2010139212500139.

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Examining NFL betting contracts at Tradesports.com, we find mispricing consistent with the disposition effect, where investors are more likely to close out profitable positions than losing positions. Prices are too low when teams are ahead and too high when teams are behind. Returns following news events exhibit short-term reversals and longer-term momentum. These results do not appear driven by liquidity or non-financial reasons for trade. Finding the disposition effect in a negative expected return gambling market questions standard explanations for the effect (belief in mean reversion, pros

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Noel, Jordan T. P., Vinicius Prado da Fonseca, and Amilcar Soares. "The Use of Momentum-Inspired Features in Pre-Game Prediction Models for the Sport of Ice Hockey." International Journal of Computer Science in Sport 23, no. 1 (2024): 1–21. http://dx.doi.org/10.2478/ijcss-2024-0001.

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Abstract We make a unique contribution to momentum research by proposing a way to quantify momentum with performance indicators (i.e., features). We argue that due to measurable randomness in the NHL, sequential outcomes’ dependence or independence may not be the best way to approach momentum. Instead, we quantify momentum using a small sample of a team’s recent games and a linear line of best-fit to determine the trend of a team’s performances before an upcoming game. We show that with the use of SVM and logistic regression these momentum- based features have more predictive power than tradit

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Ajadi, Adedeji. "Profitability of momentum investing strategies in an emerging market." Business Performance Review 1, no. 1 (2023): 31–40. http://dx.doi.org/10.22495/bprv1i1p3.

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This paper examines the profitability of momentum strategies on the Nigerian stock market over a 20-year period, from 1996 to 2016, using all listed equities on the Nigeria Exchange Limited (NGX) All Share Index. It also evaluates whether or not the profitability of momentum strategies is conditional upon the state of the market. A momentum strategy creates and buys a portfolio of past winners and short-sells a portfolio of past losers to generate excess profit. Our result shows that the Nigerian stock market exhibits medium-term price momentum, with eight out of sixteen strategies recording s

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Li, Zhixi, and Vincent Tam. "A Machine Learning View on Momentum and Reversal Trading." Algorithms 11, no. 11 (2018): 170. http://dx.doi.org/10.3390/a11110170.

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Momentum and reversal effects are important phenomena in stock markets. In academia, relevant studies have been conducted for years. Researchers have attempted to analyze these phenomena using statistical methods and to give some plausible explanations. However, those explanations are sometimes unconvincing. Furthermore, it is very difficult to transfer the findings of these studies to real-world investment trading strategies due to the lack of predictive ability. This paper represents the first attempt to adopt machine learning techniques for investigating the momentum and reversal effects oc

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Park, Kyung Suh, and Chan Shik Jung. "A Study on the Long-Term Performance of Mergers in the Korean Stock Market." Korean Journal of Financial Studies 52, no. 6 (2023): 845–79. http://dx.doi.org/10.26845/kjfs.2023.12.52.6.845.

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This study analyzes the merger-related hypotheses which are managerial overconfidence hypothesis, controlling shareholder interest hypothesis, synergy hypothesis, financial constraint hypothesis, and momentum hypothesis through long-term performance analysis of acquiring firms. As a result of empirical analysis, first, the three-year event-time buy-andhold excess return (BHAR) was about -10% for both the average and median values which is statistically significant. Second, through both calendar-time portfolio excess return and BHAR, we find that the stronger the management's overconfidence is,

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Ordue, James Agera, Henry Yua, Doosuur ViVian Ityavyar, and Tom Jacob Tarnongo. "Evaluating the Nexus between Macroeconomic Indicators and Stock Market Performance in Nigeria." International Journal of Developing and Emerging Economies 12, no. 1 (2024): 67–93. http://dx.doi.org/10.37745/ijdee.13/vol12n16793.

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This study examines the effect of macroeconomic indicators on stock market performance in Nigeria from 1986 to 2022 using time series data analysis. The analysis includes unit root tests, co-integration tests, and error correction model analysis to understand the long-term and short-term dynamics between macroeconomic variables and stock market performance. Various diagnostic tests, such as tests for autocorrelation, multicollinearity, and heteroscedasticity, were conducted to enhance the accuracy of the model. The results indicate a strong positive relationship between stock market performanc

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Bali, Turan G., and Scott Murray. "Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?" Journal of Financial and Quantitative Analysis 48, no. 4 (2013): 1145–71. http://dx.doi.org/10.1017/s0022109013000410.

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AbstractWe investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed, isolating the effect of skewness. We find a strong negative relation between risk-neutral skewness and the skewness asset returns, consistent with a positive skewness preference. The returns are not explained by well-known mark

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Spulbar, Cristi, Abdullah Ejaz, Ramona Birau, and Jatin Trivedi. "Sustainable Investing Based on Momentum Strategies in Emerging Stock Markets: A Case Study for Bombay Stock Exchange (BSE) of India." Scientific Annals of Economics and Business 66, no. 3 (2019): 351–61. http://dx.doi.org/10.47743/saeb-2019-0029.

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This research article examines the profitability on the momentum portfolios in the case of the emerging stock market of India, i.e. Bombay Stock Exchange (BSE). Sustainable investing integrates environmental, social and governance (ESG) characteristics into investment decisions. Risk management is one of the most significant ranking factors determining the adoption of corporate strategies based on sustainable investing. A sustainable stock market provides a transparent and effective solution to inherent challenges related to environmental, social, economic and corporate governance issues. The

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Cho, Jang Hyung, Robert Daigler, YoungHa Ki, and Janis Zaima. "Destabilizing momentum trading and counterbalancing contrarian strategy by large trader groups." Review of Accounting and Finance 19, no. 1 (2019): 83–106. http://dx.doi.org/10.1108/raf-03-2019-0054.

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Purpose The purpose of this paper is to assess trading strategies adopted by each large trader group and examine their effects on the volatility in the interest rate futures markets. Design/methodology/approach The Grinblatt et al.'s (1995) measure of momentum strategy is used to estimate the degree momentum and contrarian strategies. Then, regression analysis is used to determine the effects of trading strategies on volatility. Findings Up until 2005, the trades by non-clearing member firms in the futures market were separated from institutional traders providing us the opportunity to study t

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Pu, Shi. "Unlocking the Reversal Anomaly in the A-share Market: Insights from Marginal Funds of Institutional Investors." Highlights in Business, Economics and Management 41 (October 15, 2024): 42–48. http://dx.doi.org/10.54097/j19fmj53.

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Fama's Efficient Market Hypothesis (1970) posits that all valuable information is swiftly reflected in stock prices in mature markets. However, anomalies like momentum and reversal effects persist in China's A-share market. This study investigated the short-term reversal effect using turnover rates and institutional investor marginal funds. Significant reversals were found in high-turnover stocks due to speculative trading and deviations from intrinsic value. Institutional investors played a crucial role in correcting mispricing. The Institutional Holding Change Ratio (IHCR) demonstrated that

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Li, Yicun, Yuanyang Teng, Wei Shi, and Lin Sun. "Is the Long Memory Factor Important for Extending the Fama and French Five-Factor Model: Evidence from China." Mathematical Problems in Engineering 2021 (June 24, 2021): 1–7. http://dx.doi.org/10.1155/2021/2133255.

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This paper proposes a new factor model, which is built upon the marriage of the Fama and French five-factor model and a long memory factor based on the monthly data of the A-share market in the Chinese stock market from January 2010 to July 2020. We first examine the explanatory power of the Fama and French five-factor model. We find strong market factor return of market (RM), size factor small minus big (SMB), and value factor high minus low (HML) but weak factor robust minus weak (RMW) and investment factor conservative minus aggressive (CMA). Then, both the Hurst exponent and the momentum f

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Reddy, Krishna, Muhammad Ali Jibran Qamar, and Marriam Rao. "Return reversal effect in Shanghai A share market." Managerial Finance 45, no. 6 (2019): 698–715. http://dx.doi.org/10.1108/mf-04-2018-0140.

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Purpose The existing literature about return reversal effect in Chinese stock markets is inconclusive and controversial. Therefore, the purpose of this paper is to investigate the presence of return reversal effect in the Shanghai A stock market. Design/methodology/approach The authors used the late-stage contrarian strategy of Malin and Bornholt (2013) for the period March 2011‒March 2016. Findings The results show that there is a long-term return reversal effect in the Shanghai A stock market for the period March 2011‒March 2016. When portfolios are in the formation period (P=24 months), the

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Restrepo, Juan M., Jorge M. Ramírez, James C. McWilliams, and Michael Banner. "Multiscale Momentum Flux and Diffusion due to Whitecapping in Wave–Current Interactions." Journal of Physical Oceanography 41, no. 5 (2011): 837–56. http://dx.doi.org/10.1175/2010jpo4298.1.

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Abstract Whitecapping affects the Reynolds stresses near the ocean surface. A model for the conservative dynamics of waves and currents is modified to include the averaged effect of multiple, short-lived, and random wave-breaking events on large spatiotemporal scales. In this study’s treatment, whitecapping is parameterized stochastically as an additive uncertainty in the fluid velocity. It is coupled to the Stokes drift as well as to the current velocity in the form of nonlinear momentum terms in the vortex force and the Bernoulli head. The effects of whitecapping on tracer dynamics, mass bal

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Liu, Gengwang, Yue Yang, Wanting Mo, Wentao Gu, and Rihan Wang. "Private Placement, Investor Sentiment, and Stock Price Anomaly." Journal of Advanced Computational Intelligence and Intelligent Informatics 27, no. 5 (2023): 771–79. http://dx.doi.org/10.20965/jaciii.2023.p0771.

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The private placement of A-shares gained momentum with the release of the Administrative Measures for Securities Issuance of Listed Companies in 2006. This led to enhanced research on the impact of private placement on stock prices. In 2012, the Chinese government relaxed the requirements for directed issuance of listed companies, resulting in a surge of directed issuance since then. This study uses a sample of listed companies that conducted private placements in the A-share market between 2013 and 2021, to analyze the impact of investor sentiment on stock price differences after private plac

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Kozlowski, Steven, and Alex Lytle. "The January Anomaly and Anomalies in January." Applied Finance Letters 12, no. 1 (2023): 2–10. http://dx.doi.org/10.24135/afl.v12i1.615.

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Prior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent return anomalies. We find that short-term reversals strengthen while momentum changes sign at the turn of the year, and such patterns are more pronounced following years of recession and poor market performance, consistent with tax-loss selling playing a key role. Although additional factors are likely to c

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Thapa, Krishna Bahadur, and Raja Ram Adhikari. "Impact of Macroeconomic Indicators on Stock Market Performance: Evidence from Nepal." NPRC Journal of Multidisciplinary Research 2, no. 3 (2025): 219–27. https://doi.org/10.3126/nprcjmr.v2i3.77059.

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Background: The stock market is a critical indicator of economic activity, reflecting both investor sentiment and macroeconomic conditions. Understanding the relationship between stock market performance and macroeconomic variables is essential for policymakers, investors, and financial analysts. Objective: This study aims to analyze the relationship between the Nepal Stock Exchange (NEPSE) and key macroeconomic variables, including deposits, reserve money, liquidity, and lending interest rates, to determine their short-term and long-term effects on market performance. Methods: Using time-seri

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Devita, M. J., D. H. Bradstreet, E. F. Guinan, and Z. Glownia. "Evidence of Angular Momentum Loss in the Eclipsing Binary VW Cephei." Highlights of Astronomy 11, no. 1 (1998): 350. http://dx.doi.org/10.1017/s1539299600021018.

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VW Cep is one of the brightest and longest observed short-period (P = 6.67 hours) W UMa type binaries. It consists of a G5V and K0V components in contact with their Roche surfaces. We investigated complex period changes based upon eclipse timings from the past 70 years. In addition to the well-known 30 year light time effect due to the presence of a third star in the system, we find evidence for a long term decrease in the orbital period of dP/dt = −0.02 sec/yr. This decrease in period could arise from angular momentum loss from the binary or mass exchange between components. From these timing

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Brevik, Iver. "Remarks on the Abraham–Minkowski problem, in relation to recent radiation pressure experiments." International Journal of Modern Physics A 34, no. 28 (2019): 1941003. http://dx.doi.org/10.1142/s0217751x19410033.

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The classic electromagnetic energy–momentum problem in matter (usually called the Abraham–Minkowski problem) has attracted increased interest, as is natural in relation to the several impressive radiation pressure experiments that have appeared recently. Our intention with the present note is to focus attention on some of these results, and also to give a warning against premature interpretations of the observations. One sees often in the literature that the observable deflections of dielectric surfaces are interpreted so as to mean that the so-called Abraham term is a chief ingredient. Usuall

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Derouez, Faten. "Technological Advancements and Economic Growth as Key Drivers of Renewable Energy Production in Saudi Arabia: An ARDL and VECM Analysis." Energies 18, no. 9 (2025): 2177. https://doi.org/10.3390/en18092177.

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This study examines the short- and long-term effects of various economic, environmental, and policy factors on renewable energy production (REP) in Saudi Arabia from 1990 to 2024, using the Autoregressive Distributed Lag (ARDL) approach and Vector Error Correction Model (VECM) techniques. The analysis focuses on fossil fuel consumption (FFC), renewable energy investment (REI), carbon emissions (CEs), energy prices (EPs), government policies (GPs), technological advancements (TAs), socioeconomic factors (SEFs), and economic growth (EG) as determinants of REP, measured as electricity generated f

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Rehman, Mohd Ziaur, Shabeer Khan, Ghulam Abbas, and Mohammed Alhashim. "Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach." Sustainability 15, no. 6 (2023): 5556. http://dx.doi.org/10.3390/su15065556.

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This study explores the association of novel COVID-19 with the dominant financial assets, global uncertainty, commodity prices, and stock markets of the top ten corona-affected countries. We employ a wavelet coherence technique to unearth this linkage using daily data of COVID-19 deaths and reported cases from 1 January 2020 until 26 February 2021. The study finds a weak coherence between COVID-19 and global uncertainty variables in the short and medium term, while a strong positive correlation has been witnessed in the long run. The COVID-19 cases impact the stock markets in the short and med

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Hendricks, Eric A., Jonathan L. Vigh, and Christopher M. Rozoff. "Forced, Balanced, Axisymmetric Shallow Water Model for Understanding Short-Term Tropical Cyclone Intensity and Wind Structure Changes." Atmosphere 12, no. 10 (2021): 1308. http://dx.doi.org/10.3390/atmos12101308.

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A minimal modeling system for understanding tropical cyclone intensity and wind structure changes is introduced: Shallow Water Axisymmetric Model for Intensity (SWAMI). The forced, balanced, axisymmetric shallow water equations are reduced to a canonical potential vorticity (PV) production and inversion problem, whereby PV is produced through a mass sink (related to the diabatic heating) and inverted through a PV/absolute–angular–momentum invertibility principle. Because the invertibility principle is nonlinear, a Newton–Krylov method is used to iteratively obtain a numerical solution to the d

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Robert, Loïc, Gwendal Rivière, and Francis Codron. "Positive and Negative Eddy Feedbacks Acting on Midlatitude Jet Variability in a Three-Level Quasigeostrophic Model." Journal of the Atmospheric Sciences 74, no. 5 (2017): 1635–49. http://dx.doi.org/10.1175/jas-d-16-0217.1.

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Abstract The variability of midlatitude jets is investigated in a long-term integration of a dry three-level quasigeostrophic model on the sphere. As for most observed jets, the leading EOF of the zonal-mean wind corresponds to latitudinal shifts of the jet, and the second EOF to pulses of the jet speed. The first principal component (PC1) is also more persistent than the second one (PC2); this longer persistence arises from different eddy feedbacks both in the short term (i.e., within a few days following the peak of the PCs) and in the long term. The short-term eddy feedbacks come from two d

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Zhang, Bin, Yi-Dan Gao, Gang Zhao, et al. "The Photometric, Spectroscopic and Orbital Period Investigations of Ten Short Period Contact Binaries." Publications of the Astronomical Society of the Pacific 137, no. 6 (2025): 064201. https://doi.org/10.1088/1538-3873/add80f.

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Abstract In this paper, photometric and spectroscopic data from ten contact binaries (CBs) are presented and analyzed. We found that CzeV710 was a totally eclipsing binary with a very low mass ratio (q ∼ 0.14), V401 Cam was a W-subtype totally eclipsing binary (f = 35.5%), the others were shallow CBs. Using O − C, we further discovered that five of them exhibit secular period changes, one show linear variations, and four show cyclic variations. For V1030 Cas, a long-term decrease superposed a cyclic variation was discovered. Except CzeV710, the light curves for the other nine targets show the

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Abdelkawy, Nagwa Amin. "Diversification and the Resource Curse: An Econometric Analysis of GCC Countries." Economies 12, no. 11 (2024): 287. http://dx.doi.org/10.3390/economies12110287.

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This research explores the effects of significant global economic shocks, such as the 2008 Global Financial Crisis and the 2020 COVID-19 pandemic, on GDP growth in the Gulf Cooperation Council (GCC) nations. Employing a dynamic generalized method of moments (GMM) model, the analysis highlights the strong momentum effect of lagged GDP growth, where past performance plays a critical role in shaping current economic outcomes. The findings also reveal that natural resources continue to positively influence short-term growth, but with diminishing returns over time, supporting the resource curse hyp

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Wang, Liping, Yuqi Shang, Shuqin Li, and Chuang Li. "Environmental Information Disclosure-Environmental Costs Nexus: Evidence from Heavy Pollution Industry in China." Sustainability 15, no. 3 (2023): 2701. http://dx.doi.org/10.3390/su15032701.

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Environmental disclosure has gained momentum in the past decades due to increasing pressure from different stakeholders, especially in Chinese practice. In the background, previous research focused on the financial performance of environmental information disclosure, and little literature discussed the nexus between environmental information disclosure and environmental costs. The paper made an initial attempt to link environmental disclosure to different aspects of environmental costs (i.e., quality, enterprise size, market orientation, and ownership) based on 234 listed enterprises of heavy

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Yue, Gao. "Research On Performance Continuity of Mixed Funds Based on FF Five Factor Model." BCP Business & Management 43 (March 24, 2023): 299–314. http://dx.doi.org/10.54691/bcpbm.v43i.4653.

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In the Chinese market, many retail investors believe in the law of "the strong will always be strong and the weak will always be weak" when making fund investment for speculative purposes, and select stocks mainly based on the fund's previous performance data. Therefore, through the comparison of monthly returns, quarterly returns and annual returns of the fund, it is found that the performance continuity is more obvious at the monthly level. At the quarterly level, the fund as a whole appears reversal effect, momentum effect disappeared. In the semi-annual level, it is found that there are se

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Luo, Na. "Research on Performance and Valuation of Enterprises Placarded by Others Based on the Improved Panel Vector Auto-Regression Model." Applied Economics and Finance 5, no. 3 (2018): 34. http://dx.doi.org/10.11114/aef.v5i3.3006.

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In recent years, enterprises, which were placarded, have become a heated issue in the secondary market in China. However, there still lack researches about the performance and valuation of those enterprises which were placarded. Therefore, it seems that it is lack of persuasion to use the word “barbarians” to define the enterprises which carry out placard. For the reasons above, this paper makes the use of the improved PVAR model to give an empirical analysis on the performance and valuation of the enterprises placarded, based on the samples between 2011 and 2015. First, this paper divides the

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Wan, Shen, Feifei Shen, Jiajun Chen, Lin Liu, Debao Dong, and Zhixin He. "Evaluation of Two Momentum Control Variable Schemes in Radar Data Assimilation and Their Impact on the Analysis and Forecast of a Snowfall Case in Central and Eastern China." Atmosphere 15, no. 3 (2024): 342. http://dx.doi.org/10.3390/atmos15030342.

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To evaluate the impact of different momentum control variable (CV) schemes (CV5, the momentum control variable option with ψχ and CV7, the momentum control variable option with UV) on radar data assimilation (DA) in weather research and forecasting model data-assimilation (WRFDA) systems, a heavy snowfall in central and eastern regions of China, which started on 6 February 2022, was taken as a case in this study. The results of the wind-field increments from the single observation tests indicated that the wind-field increments had a larger range of influence when stream function and velocity p

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