scholarly journals Rolling Momentum Strategy: An Empirical Analysis

2021 ◽  
Vol 129 ◽  
pp. 03018
Author(s):  
Tim Langenstein ◽  
Martin Užík ◽  
Thomas Holtfort ◽  
Roman Warias
Keyword(s):  
Empirical Analysis ◽  
Value Added ◽  
Investment Strategy ◽  
Relative Strength ◽  
Momentum Strategy ◽  
Technical Trading Rules ◽  
Performance Development ◽  
Near Future ◽  
The Empirical Analysis ◽  
Dot Com

Research background: The focus of the momentum strategy, as a procyclical investment strategy, lies in the hypothesis that the winning shares of the past will most likely develop in the same direction in the near future. The same is assumed for the performance of the loser shares. The technical trading rules of relative strength according to Levy provide the basis for this approach (Levy, 1967). The momentum strategy can thus offer investors an opportunity to outperform the market. The creation of portfolios under the momentum strategy follows simple rules: On the basis of past prices, equities are selected within a formation period according to return criteria. The stocks with the highest and lowest returns on equities in the formation period are combined into winning and losing portfolios, each with the same number. The final step is the acquisition of the winning portfolio, which is held over the specified investment period, with the loser portfolio being sold short at the same time. The empirical analysis presented in this paper focuses on the success of the momentum strategy for the STOXX Europe 600 market over a formation and investment period of six months. Purpose of the article: The objective of this paper is to empirically test the above statements and assumptions. Portfolios are built up on a rolling basis over a period of six months and then observed with respect to their performance over a period from 1995 to 2000. The achieved returns are compared with a buy-and-hold strategy and empirically tested for return differences. Especially the years 2001, 2008, and 2020 as the crisis years of the dot-com bubble, the financial crisis, and the COVID-19 pandemic are focused on and discussed. Methods: The data of the period are examined for performance development in a database in the form of winner and loser portfolios. The returns are calculated as AR to a reference portfolio DAX. The returns are statistically tested for significant differences to a zero return using a t test. Findings & Value added: The results show the performance of the momentum strategy in the period from 1995 to 2000 for the stocks of the STOXX Europe 600. The strong fluctuations in the crisis years are notable. With few exceptions, the reference returns could only provide statistically non-significant results.

scholarly journals Shift-share analysis of production in the manufacturing industry of South Africa’s Southern District Municipality

2011 ◽  
Vol 4 (1) ◽  
pp. 9-30
Author(s):  
Ewert Kleynhans ◽  
Moloto J. Sekhobela
Keyword(s):  
Manufacturing Industry ◽  
Value Added ◽  
Growth Potential ◽  
Local Municipalities ◽  
Southern District ◽  
Industrial Mix ◽  
Near Future ◽  
The Empirical Analysis ◽  
Insight Into ◽  
Future Growth

In this study, the development and structure of value-added production in the manufacturing industries of the Southern District Municipality (SDM) of South Africa are investigated. The field of study focuses on spatial economic development, with the aim of identifying industries that can offer future growth and job creation. The methodology of shift-share analysis, often applied to studies of Economic Geography, is used for the empirical analysis. The SDM district municipality includes the local municipalities of Klerksdorp, Potchefstroom, Ventersdorp, Merafong City and Wolmaransstad. The economy of these municipalities is mainly dependent on gold mining, which is declining as their gold reserves are becoming depleted which will lead to a large section of its population being unemployed in the near future. Shift-share analysis provides insight into the shifts of production between various sectors over time and is comprehensible to policymakers. It provides further insight into the national share effect on production of the sectors in the region, as well as the regional industrial mix and the competitive share effects. It was found that the sectors with the highest growth potential are Transport Equipment, Petroleum and Chemicals, Furniture, Metal Products, and Wood and Paper Products, and they merit attention in future development initiatives.

The Word Class Adjective in English Business Magazines Online

2018 ◽  
Vol 6 (2) ◽  
pp. 99-115
Author(s):  
Borislav Marušić ◽  
Sanda Katavić-Čaušić
Keyword(s):  
Empirical Study ◽  
Empirical Analysis ◽  
Word Formation ◽  
Word Class ◽  
Business English ◽  
Starting Point ◽  
Comprehensive Picture ◽  
English Syntax ◽  
The Empirical Analysis ◽  
Insight Into

Abstract The aim of this paper is to research the word class adjective in one sequence of the ESP: Business English, more precisely English business magazines online. It is an empirical study on the corpus taken from a variety of business magazines online. The empirical analysis allows a comprehensive insight into the word class adjective in this variety of Business English and makes its contribution to English syntax, semantics and word formation. The syntactic part analyses the adjective position in the sentence. The semantic part of the study identifies the most common adjectives that appear in English business magazines online. Most of the analysis is devoted to the word formation of the adjectives found in the corpus. The corpus is analysed in such a way that it enables its division into compounds, derivatives and conversions. The results obtained in this way will give a comprehensive picture of the word class adjective in this type of Business English and can act as a starting point for further research of the word class adjective.

ICT SMEs, Performance, Absorptive Capacity and Transformative Capacity

2019 ◽  
Vol 118 (3) ◽  
pp. 178-188
Author(s):  
Yeon-Sung Cho ◽  
Kyung-Il Khoe
Keyword(s):  
Firm Performance ◽  
Market Orientation ◽  
Empirical Analysis ◽  
Absorptive Capacity ◽  
Latent Variables ◽  
Equation Modeling ◽  
Transformative Capacity ◽  
The Impact ◽  
The Empirical Analysis ◽  
Innovative Capacity

This study intends to integrate the relationship of market orientation, innovative capacity and firm performance to Information and Communication Technology(ICT) SMEs. The purpose of this study is to identify the role of absorptive capacity and transformative capacity that affect the performance of ICT SMEs. Hypotheses were established between five latent variables. A total of six hypotheses were established including the moderated effects of absorptive capacity and transformative capacity. Of the data collected after the survey, 112 valid surveys were selected as the final sample, except for 17 questionnaires with high non - response and insincere response. The empirical analysis of this study used smartpls3.0, Partial Least Squares (PLS), a variance-based structural equation modeling. The empirical analysis of this study revealed that the impact of market orientation on innovative capacity was significant. Moreover, the innovative capacity had a positive effect on the performance of ICT SMEs. In addition, the absorptive activity had a positive moderated effect between the market orientation and the innovative capacity. On the other hand, the transformative capacity showed a positive moderated effect in relation to innovative capacity and firm performance. Our empirical results have demonstrated the importance of knowledge based capacity in the ICT SMEs.

Capital Structure and Earnings per Share: An Empirical Analysis of Indian Corporate Sector

2015 ◽  
Vol 5 (3) ◽  
Author(s):  
Harvinder Singh Mand ◽  
Manjit Singh
Keyword(s):  
Capital Structure ◽  
Empirical Analysis ◽  
Corporate Sector ◽  
Independent Variables ◽  
Earnings Per Share ◽  
Panel Data Regression ◽  
Data Regression ◽  
The Impact ◽  
The Relationship ◽  
The Empirical Analysis

This paper intends to measure the impact of capital structure on EPS (earnings per share) in Indian corporate sector. Fifteen control variables along with capital structure have been selected to know their impact on EPS. Panel data regression has been applied to establish the relationship among dependent and independent variables. It is found from the empirical analysis that the relation of capital structure with EPS has been statistically insignificant in Indian corporate sector among all specific industries except telecommunication industry. The results are consistent with Modigliani-Miller approach.

Organizational Socialization

2018 ◽  
Author(s):  
Martin Krzywdzinski
Keyword(s):  
Social Integration ◽  
Empirical Analysis ◽  
Social Relationships ◽  
Organizational Socialization ◽  
Team Building ◽  
Work Behaviors ◽  
Selection Processes ◽  
The Social ◽  
Socialization Processes ◽  
The Empirical Analysis

This chapter examines the organizational socialization mechanisms in automotive plants in Russia and China. The empirical analysis starts with selection processes. How do the companies select candidates during recruitment and whom do they select? Are they looking for a certain type of employee? The chapter continues with the analysis of onboarding concepts in China and Russia and then follows the employees within their teams. It analyzes the social relationships in the team, which influence the socialization processes within the company. Finally, overarching company activities intended to promote social integration (team building, competitions) are examined to determine the extent to which they shape work behaviors and generate identification with the company. The analysis shows considerable differences between the Russian and the Chinese plants regarding the intensity and the effects of organizational socialization.

Religion and Religiosity in the US

2017 ◽  
Author(s):  
Detlef Pollack ◽  
Gergely Rosta
Keyword(s):  
Social Inequality ◽  
Empirical Analysis ◽  
Western Europe ◽  
Modern Society ◽  
Religion And Politics ◽  
Economic Conditions ◽  
Religious Practices ◽  
The Us ◽  
The Empirical Analysis

Although the countries of Western Europe are very similar to the US in terms of their social, political, and economic conditions, they differ greatly when it comes to religion. Chapter 10 discusses how these differences can be explained. The empirical analysis shows that, besides the considerable differences in the level of religiosity between the US and Western Europe, there are also surprising similarities in the weakening church ties and religious practices. The findings demonstrate that it is in many respects not Europe but America that is the exception. This relates among other things to the level of social inequality, which is unusually high for a modern society, the strong tendencies towards functional dedifferentiation, such as between religion and politics, and the traditionalism of the culturally accepted system of values.

scholarly journals The Impact of Top Management’s Support on the Collaboration of Green Supply Chain Participants and Environmental Performance

2020 ◽  
Vol 12 (21) ◽  
pp. 9090
Author(s):  
Jungeun Lee ◽  
Hye-Young Joo
Keyword(s):  
Supply Chain ◽  
Empirical Analysis ◽  
Environmental Performance ◽  
Green Supply Chain ◽  
Top Management ◽  
Direct Impact ◽  
Theoretical Mechanism ◽  
The Impact ◽  
The Empirical Analysis

The purpose of this study is to determine whether the support of top management significantly improves the level of environmental collaboration with participating companies upstream and downstream of the green supply chain and the impact on environmental performance. The results of the empirical analysis of 301 companies that are establishing a green supply chain are as follows. First, top management’s support positively affects the level of collaboration with suppliers and customers in the green supply chain. Secondly, support from top management has a direct impact on the company’s environmental performance. Thirdly, the environmental collaboration of participating companies partially plays a mediation role between the support of top management and the environmental performance. This study has significance in that it analyzes the theoretical mechanism of top management’s support for environmental collaboration with participating companies, leading to environmental performance, and draws implications.

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