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Seasonal effects in modern markets : A study on the Sell in May effect’s development over time
No full textStudien syftar till att undersöka förekomsten och utvecklingen av kalenderanomalin Sell in May and Go Away (SIM) på de svenska, amerikanska och australiensiska aktiemarknaderna under perioden 1990–2020. Studien tillämpar ordinary least squares (OLS) regressioner för att analysera säsongseffekter i månadsvis avkastning från aktieindex. För att fördjupa studien utvärderas även den riskjusterade avkastningen mellan en Sell in May-strategi och en traditionell Buy & Hold (BAH) strategi med stöd av Sharpekvoter och Capital Asset Pricing Model (CAPM). Resultaten gav visst stöd för att SIM-effekten existerar, särskilt på den svenska marknaden, där statistiskt signifikanta skillnader i avkastning mellan vinter- och sommarhalvåret observerades för hela perioden 1990–2020. I övrigt var resultaten ofta inte signifikanta, vilket innebär att de bör tolkas med försiktighet. Vid jämförelse av investeringsstrategierna visade SIM-strategin en starkare riskjusterad avkastning än BAH-strategin i samtliga fall, vilket framgår i analysen av sharpekvoterna. Däremot visade CAPM-analysen inte något stöd för att SIM-strategin genererat någon överavkastning utöver vad som kan förklaras av marknadsrisken, vilket försvagar hypotesen om att det rör sig om en faktisk marknadsanomali. Slutsatsen är att SIM-effekten i viss utsträckning förekommer, men att dess styrka varierar mellan marknader och över tid, vilket skulle kunna tyda på att marknadens effektivitet ökat över tid.This study aims to investigate the existence and development of the calendar anomaly known as Sell in May and Go Away (SIM) in the Swedish, American and Australian stock markets during the period 1990–2020. In order to do this, ordinary least squares (OLS) regressions are applied to analyze the seasonal effects in monthly returns from stock indices. In order to deepen the analysis, the risk adjusted returns of a SIM strategy are compared to a Buy & Hold (BAH) strategy using Sharpe ratios and the Capital Asset Pricing Model (CAPM). The results provide some support for the existence of the SIM effect, particularly in the Swedish market, where statistically significant differences in returns between the winter (November-April) and summer (May-October) periods were observed when measuring the entire time period. For the other markets, as well as the individual decades themselves, the results were generally not statistically significant which implies that the findings should be interpreted with caution. When comparing the two investment strategies, the SIM strategy exhibited a stronger risk adjusted return in all cases which can be seen in the analysis of the Sharpe ratios. However, the CAPM analysis found no evidence for returns that couldn’t be explained by the systematic market risk which weakens the idea that SIM represents a true market anomaly. The conclusion is that the SIM effect appears to exist to some extent, but its strength varies across markets and over time, which could be interpreted as a sign of increasing market efficiency.
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Seasonal effects in modern markets : A study on the Sell in May effect’s development over time
No full textStudien syftar till att undersöka förekomsten och utvecklingen av kalenderanomalin Sell in May and Go Away (SIM) på de svenska, amerikanska och australiensiska aktiemarknaderna under perioden 1990–2020. Studien tillämpar ordinary least squares (OLS) regressioner för att analysera säsongseffekter i månadsvis avkastning från aktieindex. För att fördjupa studien utvärderas även den riskjusterade avkastningen mellan en Sell in May-strategi och en traditionell Buy & Hold (BAH) strategi med stöd av Sharpekvoter och Capital Asset Pricing Model (CAPM). Resultaten gav visst stöd för att SIM-effekten existerar, särskilt på den svenska marknaden, där statistiskt signifikanta skillnader i avkastning mellan vinter- och sommarhalvåret observerades för hela perioden 1990–2020. I övrigt var resultaten ofta inte signifikanta, vilket innebär att de bör tolkas med försiktighet. Vid jämförelse av investeringsstrategierna visade SIM-strategin en starkare riskjusterad avkastning än BAH-strategin i samtliga fall, vilket framgår i analysen av sharpekvoterna. Däremot visade CAPM-analysen inte något stöd för att SIM-strategin genererat någon överavkastning utöver vad som kan förklaras av marknadsrisken, vilket försvagar hypotesen om att det rör sig om en faktisk marknadsanomali. Slutsatsen är att SIM-effekten i viss utsträckning förekommer, men att dess styrka varierar mellan marknader och över tid, vilket skulle kunna tyda på att marknadens effektivitet ökat över tid.This study aims to investigate the existence and development of the calendar anomaly known as Sell in May and Go Away (SIM) in the Swedish, American and Australian stock markets during the period 1990–2020. In order to do this, ordinary least squares (OLS) regressions are applied to analyze the seasonal effects in monthly returns from stock indices. In order to deepen the analysis, the risk adjusted returns of a SIM strategy are compared to a Buy & Hold (BAH) strategy using Sharpe ratios and the Capital Asset Pricing Model (CAPM). The results provide some support for the existence of the SIM effect, particularly in the Swedish market, where statistically significant differences in returns between the winter (November-April) and summer (May-October) periods were observed when measuring the entire time period. For the other markets, as well as the individual decades themselves, the results were generally not statistically significant which implies that the findings should be interpreted with caution. When comparing the two investment strategies, the SIM strategy exhibited a stronger risk adjusted return in all cases which can be seen in the analysis of the Sharpe ratios. However, the CAPM analysis found no evidence for returns that couldn’t be explained by the systematic market risk which weakens the idea that SIM represents a true market anomaly. The conclusion is that the SIM effect appears to exist to some extent, but its strength varies across markets and over time, which could be interpreted as a sign of increasing market efficiency.
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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