Daily abnormal returns and price effects in the “passion investments” market

This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price behavior on the next day. Statistic tests (t-test, ANOVA, Mann–Whitney U test, modified cumulative abnormal returns approach, regression analysis with dummy variables) confirm the presence of price patterns related to extreme returns: price fluctuations on the day after extreme returns are higher than returns on “normal” days. On the days after positive abnormal returns, the momentum effect is detected. Contrarian effect is typical for the days after negative abnormal returns. A trading strategy based on detected price effects showed the presence of exploitable profit opportunities. Results of this paper provide additional pieces of evidence in favor of inconsistencies between the efficient market hypothesis and practice and can be used by traders to generate extra profits in the “passion investments” market. Acknowledgment The authors gratefully acknowledge financial support from the Ministry of Education and Science of Ukraine (0121U100473).

Perceived Motion and Operational Momentum: How Speed, Distance, and Time Influence Two-Digit Arithmetic

Operational momentum was originally defined as a bias toward underestimating outcomes of subtraction and overestimating outcomes of addition. It was suggested that these estimation biases are due to leftward attentional shift along the mental number-line (spatially organized internal representation of number) in subtraction and rightward shift in addition. This assumes the use of “recycled” mechanisms of spatial attention, including “representational momentum” – a tendency to overestimate future position of a moving object, which compensates for the moving object’s shift during preparation of a reaction. We tested a strong version of this assumption directly, priming two-digit addition and subtraction problems with leftward and rightward motion of varied velocity, as velocity of the tracked object was found to be a factor in determining representational momentum effect size. Operands were subsequently moving across the computer screen, and the participants’ task was to validate an outcome proposed at the end of the event, which was either too low, correct, or too high. We found improved accuracy in detecting too-high outcomes of addition, as well as complex patterns of interactions involving arithmetic operation, outcome option, speed, and direction of motion, in the analysis of reaction times. These results significantly extend previous evidence for the involvement of spatial attention in mental arithmetic, showing movement of the external attention focus as a factor directing internal attention in processing numerical information. As a whole, however, the results are incompatible with expectations derived from the strong analogy between operational and representational momenta. We suggest that the full model may be more complex than simply “moving attention along the mental number-line” as a direct counterpart of attention directed at a moving object.

Impact of upward and downward earnings management on stock returns

PurposeThe current study aims at examining the impact of upward and downward earnings management on the cross-sections of stock return. The study also examines the moderating role of cross-sectional effects on the association between earnings management and stock returns.Design/methodology/approachThe study employed univariate and bivariate-sorted portfolio-level analysis to investigate the issue. Fama–Macbeth cross-sectional regression is used to analyze the moderating role of different cross-sectional effects. The study used a sample of 3085 Bombay Stock Exchange (BSE) listed stocks spanning over 20 years from January 2000 to December 2019.FindingsThe findings suggest that investors have different perceptions toward different forms of earnings management. In other words, results exhibit that investors perceive downward earnings management as an element of risk; hence, they discount the returns at a higher rate. On the contrary, results show that upward earnings management is positively perceived by the investors; hence, they hold the stocks even at a lower rate of return. This relation is found to be consistent even after controlling the impact of marker effect, size effect, value effect and momentum effect.Originality/valueThis study is among pioneering studies that consider the direction of earnings management while examining its impact on the stock return. This study is also among the earlier attempts to examine the moderating role of four different cross-sectional effects by taking a uniform sample of stocks over the same period.

Design of a Free Space Optical Communication System for an Unmanned Aerial Vehicle Command and Control Link

An electromagnetic immune Free Space Optical Communication (FSOC) system for an Unmanned Aerial Vehicle (UAV) command and control link is introduced in this paper. The system uses the scheme of omnidirectional receiving and ground scanning transmitting. It has a strong anti-turbulence ability by using a large area detector and short-focus lens. The design of omnidirectional communication improves the ability of anti-vibration and link establishment. Pure static reception has no momentum effect on the platform. The receiver is miniaturized under no use of a gimbal mirror system, beacon camera system, Four-Quadrant Photodetector (QPD) and multi-level lens system. The system can realize omnidirectional reception and the communication probability in 1 s is greater than 99.99%. This design strengthens the ability of the FSOC system, so it can be applied in the UAV command and control, the satellite submarine communication and other occasions where the size of the platform is restricted.

Momentum strategies in times of economic policy uncertainty

Purpose This paper aims to evaluate the influence of economic policy uncertainty (EPU) on the momentum effect, analysing its influence depending on the economic cycle and in different quantiles. Design/methodology/approach To determine the influence of EPU in the momentum effect taking into account the economic cycle and the level of the quantile, linear regression and quantile regression have been applied for the period from 2 January 1985 to 30 April 2019 for the US stock market. Findings It is shown that an increased feeling of insecurity associated with EPU reduces the momentum effect, especially in times of recession. Distinguishing by quantiles, an asymmetry in the impact of EPU in the momentum effect is discovered, finding that EPU reduces (increases) the profits of momentum strategies in the lowest (highest) quantiles. In the highest quantiles, an investor can obtain higher extraordinary returns with this strategy. For example, in the highest quantile, a one-point increase in the EPU levels would have increased the daily profitability by 12.7 basis points. These findings have important implications for investors and policymakers. Originality/value To the best of the authors’ knowledge, this is the first paper that evaluates the influence of EPU on the momentum effect by conducting an analysis based on the economic cycle and different quantiles, demonstrating how these factors are relevant in the influence of this uncertainty in the momentum anomaly.

Investigating the Momentum Effect in the Merging Market: Evidence from Pakistan

The momentum effect has been extensively studied in previous studies. However, this topic has received scarce attention in Pakistan’s stock market. We investigate the influence of momentum strategies on the stock returns by utilizing the capital assets pricing model (CAPM), Carhart four-factor model, 25 momentum strategies and by employing 466 firms’ data from Pakistan stock markets over the period from 2009 to 2017. The results suggest the inexistence of momentum effects in the Pakistan Stock Exchange. The CAPM can explain the momentum profit of 6/1 and 9/1 strategies. The results of the Carhart four-factor model reveals a positive and significant relationship between portfolios’ return and market and value premium. Conversely, there is a negative and significant relationship between portfolios’ return and size and momentum factor. For momentum strategies, 3 out of 25 zero-cost portfolios are positive and statistically significant, confirming a momentum effect. However, with 6 and 9 months of formation period and 1 month of the holding period (6/1; 9/1), the portfolios generate a significantly high return. This study contributes new knowledge to the momentum literature, providing new perspectives to understand the momentum effect in an emerging market like Pakistan.

Gold and oil prices: abnormal returns, momentum and contrarian effects

This paper explores price (momentum and contrarian) effects and their timing parameters on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily gold and oil price data over the period 01.01.2009–31.03.2020 the following hypotheses are tested: (H1) there is a time gap between the detection of an abnormal return day and the end of that day, (H2) there are price effects on the day after abnormal returns occur; (H3) price effects after 1-day abnormal returns have identifiable timing parameters; (H4) the detected timing parameters can be used to “beat the market”. For these purposes average analysis, t tests, CAR and trading simulation approaches are used. The main results can be summarised as follows. Prices tend to move in the direction of abnormal returns till the end of the day when these occur. The presence of abnormal returns can usually be detected before the end of the day by estimating specific timing parameters, and a momentum effect can be detected. On the following day two different price patterns are detected: a momentum effect for oil prices and a contrarian effect for gold prices, respectively. These effects are limited in time, and the corresponding timing parameters are estimated. Trading simulations show that these effects can be exploited to generate abnormal profits with an appropriate calibration of the timing parameters.