• Title/Summary/Keyword: Momentum Factor

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Angular Momentum Effect of Electron Scattering with Reduced Angular Momentum Expansion (축약 각운동량 전개(Reduced Angular Momentum Expansion) 방법으로 해석한 전자 산란의 각 운동량 효과)

  • Kang, J.H.
    • Journal of the Korean Magnetics Society
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    • v.18 no.1
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    • pp.36-38
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    • 2008
  • We calculate the electron scattering amplitude with reduced angular momentum expansion(RAME) and compare it with the plane wave approximation. By using WKB approximation it is shown that the curvature correction factor given by RAME is originated from the source wave centrifugal potential energy. The factor also can be understood as an effective wave number correction factor in plane wave approximation. Angular momentum and its relationship with scattering amplitude is explicitly shown.

A Study on the Effect of Investor Sentiment and Liquidity on Momentum and Stock Returns (투자자 심리와 유동성이 모멘텀과 주식수익률에 미치는 영향 연구)

  • In-Su, Kim
    • Journal of Industrial Convergence
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    • v.20 no.11
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    • pp.75-83
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    • 2022
  • This study analyzes whether investor sentiment and liquidity explain the momentum phenomenon in the Korean stock market and whether it is a risk factor for the asset pricing model. The empirical analysis used the monthly returns of non-financial companies listed on the stock market during the period 2000-2021. As a result of the analysis, first, it was found that there is a momentum effect in Korea. This is the same result as the previous study, and since 2000, the momentum effect has been accepted as a general phenomenon in the Korean stock market. Second, if we look at the portfolio based on investor sentiment, investor sentiment is influencing momentum. In particular, when investor sentiment is negative, the return on the winner portfolio is high. Third, as a result of the analysis based on liquidity, the momentum effect disappears and a reversal effect appears. Fourth, it was found that investor sentiment and liquidity influence the momentum effect. This is a result of the strong momentum effect in the illiquid stock group with negative investor sentiment. Fifth, as a result of analyzing the effect of each factor on stock returns, it was found that both investor psychology and liquidity factors have a significant impact on returns. The estimated results provide evidence that the inclusion of these two factors in the Carhart four-factor model significantly increases the predictive power of the model. Therefore, it can be said that investor sentiment factors and liquidity factors are important factors in determining stock returns.

Momentum Effect in the Oman Stock Market Over the Period of 2005-2018

  • GHARAIBEH, Omar Khlaif;AL-KHAZALI, Ahmad;AL-QURAN, Ali Zkariya
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.2
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    • pp.711-724
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    • 2021
  • The purpose of this paper is to investigate the profitability of the momentum effects on the Oman Stock Market (OSM). This study uses the monthly returns of all stocks listed on the OSM, with a total of 107 companies used in the study for the period from 2005 to 2018. According to the methodology developed by Jegadeesh and Titman (1993), this study builds momentum portfolios based on various sizes. Moreover, the January effect is also examined to recognize if this effect is related to the momentum effect. The results find that there is evidence of momentum returns and these returns are statistically and economically significant. The sub-periods confirmed the profitability of the momentum strategy. This paper shows that momentum returns are evident at different sizes; big, medium, and small-sized portfolios. Besides, the result shows that the classic January effect does not play an important role in the momentum returns. Thus, the implication is that the momentum should not take into account the annual, seasonal, and size returns. The capital asset pricing model (CAPM) or the three-factor model cannot explain momentum returns generated by individual stocks in the Oman Stock Market. These results are useful to academia and investors alike.

Effects of radiation-modulated cooling on the momentum transfer from stellar feedback

  • Na, Chongsam;Kimm, Taysun
    • The Bulletin of The Korean Astronomical Society
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    • v.44 no.1
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    • pp.70.2-70.2
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    • 2019
  • Strong radiation fields can change the ionization state of metals and hence cooling rates. In order to understand their effects on the momentum transfer from radiation and supernova feedback, we perform a suite of radiation-hydrodynamic simulations with radiation-modulated metal cooling. For this purpose, we pre-tabulate the metal cooling rates for a variety of spectral shapes and flux levels with the spectral synthesis code, Cloudy, and accurately determine the rates based on the local radiation field strength. We find that the inclusion of the radiation-modulated metal cooling decreases the total radial momentum produced by photo-ionization heating by a factor of ~3 due to enhanced cooling at temperature T~10^3-4 K. The amount of momentum transferred from the subsequent SN explosions, however, turns out to be little affected by radiation, as the main cooling agents at T~10^5-6 K are only destroyed by soft X-ray radiation which is generally weak. We further discuss the total momentum budget in various conditions.

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A Study on Volatility Management of the Smart-beta Portfolio: Focus on Asia-Pacific Stock Market (스마트-베타 포트폴리오의 변동성관리에 관한 연구: 아시아-태평양 지역 주식시장을 중심으로)

  • Liu, Won-Suk
    • Asia-Pacific Journal of Business
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    • v.10 no.3
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    • pp.37-51
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    • 2019
  • In this paper, we investigate the performance of anomaly factors in Asia-Pacific Stock market and show the higher Sharpe ratio of the volatility managed smart beta portfolio. The smart beta portfolio combines the benefit of passive strategy and active strategy. However, the smart beta portfolios are seems to be exposed to the risk of anomaly factors from the perspective of traditional financial equilibrium model. Therefore, the smart beta strategy may generate negatively skewed returns unappealing to investors having lower risk tolerance. Our empirical investigations find that the return of the Asia-Pacific region stock market is more volatile than other regions with the lower efficiency ratio. However, the value factor and the momentum factor of Asia-Pacific region both show good performances. More interestingly, we also find that managing the volatility of the momentum factor in Asia-Pacific stock market almost doubles the efficiency ratio.

Heat Transfer Coefficient and Shear Factor Subjected to Both Oscillating Flow and Oscillating Pressure in Pulse Tubes (주기적인 유동과 압력의 변화를 수반하는 맥동관의 열전달계수와 전단계수)

  • Jeong, Eun-Soo
    • Korean Journal of Air-Conditioning and Refrigeration Engineering
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    • v.19 no.3
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    • pp.220-227
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    • 2007
  • Heat transfer and momentum transfer under conditions of both oscillating flow and oscillating pressure within pulse tubes show very different behavior from those for steady state conditions. The analytic solutions of axial velocity and temperature of the gas within pulse tubes were obtained by assuming that the variations in pressure and temperature were purely sinusoidal and small. The shear stress and the heat flux at the tube wall obtained from the solutions are expressed in terms of the cross-sectional averaged velocity, the difference between mean temperature and instantaneous cross-sectional averaged temperature and the difference between mean pressure and instantaneous pressure. It is shown that the complex shear factor, which has been applied to momentum transfer of incompressible oscillating flow, and the complex Nusselt number, which has been applied to either heat transfer with oscillating pressure only or heat transfer of incompressible oscillating flow, could also be used for momentum transfer and heat transfer subjected to both oscillating flow and oscillating pressure, respectively.

A Dispersion and Characteristic Analysis for the One-dimensional Two-fluid Mode with Momentum Flux Parameters

  • Song, Jin-Ho;Kim, H.D.
    • Nuclear Engineering and Technology
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    • v.33 no.4
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    • pp.409-422
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    • 2001
  • The dynamic character of a system of the governing differential equations for the one- dimensional two-fluid model, where the momentum flux parameters are employed to consider the velocity and void fraction distribution in a flow channel, is investigated. In response to a perturbation in the form of a'traveling wave, a linear stability analysis is peformed for the governing differential equations. The expression for the growth factor as a function of wave number and various flow parameters is analytically derived. It provides the necessary and sufficient conditions for the stability of the one-dimensional two-fluid model in terms of momentum flux parameters. It is demonstrated that the one-dimensional two-fluid model employing the physical momentum flux parameters for the whole range of dispersed flow regime, which are determined from the simplified velocity and void fraction profiles constructed from the available experimental data and $C_{o}$ correlation, is stable to the linear perturbations in all wave-lengths. As the basic form of the governing differential equations for the conventional one-dimensional two-fluid model is mathematically ill posed, it is suggested that the velocity and void distributions should be properly accounted for in the one-dimensional two-fluid model by use of momentum flux parameters.s.

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MEASUREMENT OF THE SINGLE AND TWO PHASE FLOW USING A NEWLY DEVELOPED AVERAGE BIDIRECTIONAL FLOW TUBE

  • Yun, Byong-Jo;Euh, Dong-Jin;Kang, Kyunc-Ho;Song, Chul-Hwa;Baek, Won-Pil
    • Nuclear Engineering and Technology
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    • v.37 no.6
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    • pp.595-604
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    • 2005
  • A new instrument, an average BDFT (Birectional Flow Tube), was proposed to measure the flow rate in single and two phase flows. Its working principle is similar to that of the Pilot tube, wherein the dynamic pressure is measured. In an average BDFT, the pressure measured at the front of the flow tube is equal to the total pressure, while that measured at the rear tube is slightly less than the static pressure of the flow field due to the suction effect downstream. The proposed instrument was tested in air/water vertical and horizontal test sections with an inner diameter of 0.08m. The tests were performed primarily in single phase water and air flow conditions to obtain the amplification factor(k) of the flow tube in the vertical and horizontal test sections. Tests were also performed in air/water vertical two phase flow conditions in which the flow regimes were bubbly, slug, and churn turbulent flows. In order to calculate the phasic mass flow rates from the measured differential pressure, the Chexal drift-flux correlation and a momentum exchange factor between the two phases were introduced. The test results show that the proposed instrument with a combination of the measured void fraction, Chexal drift-flux correlation, and Bosio & Malnes' momentum exchange model could predict the phasic mass flow rates within a $15\%$ error. A new momentum exchange model was also proposed from the present data and its implementation provides a $5\%$ improvement to the measured mass flow rate when compared to that with the Bosio & Malnes' model.

Convergent Momentum Strategy in the Korean Stock Market (한국 주식시장에서의 융합적 모멘텀 투자전략)

  • Koh, Seunghee
    • Journal of the Korea Convergence Society
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    • v.6 no.4
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    • pp.127-132
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    • 2015
  • This study attempts to empirically investigate if relative momentum strategy is effective in the Korean stock market. The sample of the study is comprised of companies which are traded in both Kospi and Kosdaq stock markets in Korea for the period between 2001~2014. The study observes that the momentum strategy buying past winner stocks and selling past loser stocks is negatively correlated with the value strategy buying value stocks with high book to market ratio and selling glamour stocks with low book to market ratio. And each strategy is alternatively effective from period to period. The study demonstrates that the momentum strategy is effective when both strategies which are negatively correlated are treated as one system by estimating Fama and French's[1] 3 factor regression model.

Improved Momentum Exchange Theory for Incompressible Regenerative Turbomachines (II) - Loss Model and Performance Prediction - (비압축성 재생형 기계에 대한 개선된 운동량 교환 이론 (II) - 손실 모델 및 성능 예측 -)

  • Park Mu Ryong;Chung Myung Kyoon;Yoo Il Su
    • Transactions of the Korean Society of Mechanical Engineers B
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    • v.28 no.10
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    • pp.1247-1254
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    • 2004
  • In momentum exchange theory the loss models for the circulatory flow is critically important. But because of lack of loss model on the circulatory flow, analysis model on regenerative turbomachines is not available in the open literature. In the present study circulatory loss is evaluated by combining bend's losses. Through the comparison with the previous experimental data on linear pressure gradient, a combination factor is suggested in terms of the aspect ratio of a channel. Applying this factor to two kinds of regenerative blowers the predicted results are found to be in good agreement with the experimental data of the overall performance and the head distribution along the rotational direction. Especially, the comparison with the head distribution demonstrates the accuracy of hydraulic model and loss model suggested in the present study. And the comparison with the overall performance confirms the validness of physical models as well as loss models suggested in the present study.