...Investigating Momentum on the Johannesburg Stock Exchange December 1 2010 Hendrik Snyman 14422425 A dissertation submitted in partial fulfilment of the requirements for the degree of Master of Science in Engineering (Management) Department of Industrial Engineering University of Stellenbosch An oil prospector had died and gone to heaven. At the gate, he is met by St Peter.‘Well, I checked you out and you meet all of the qualifications. But there’s one problem,’ He said. ‘We have some tough zoning laws up here, and we keep all of our oil prospectors over in that pen. And as you can see, it is absolutely chock-full. There is no room for you.’ And the prospector said, ’Do you mind if I just say four words?’ St Peter said, ‘No harm in that.’ So the prospector cupped his hands and yelled out, ‘Oil discovered in hell!’ And, of course, the lock comes off the cage and all of the oil prospectors start heading straight down. St Peter said, ‘That’s a pretty sick trick. So,‘ he says, ’go in and make yourself at home. All the room in the world.’ The prospector paused for a minute, then said, ‘No, I think I’ll go along with the rest of the boys. There might be some truth to that rumour after all.’ 1 1 Janet Lowe, The Rediscovered Benjamin Graham: Selected Writings of the Wall Street Legend, Wiley, 1999. I|Page Dedication This dissertation is dedicated to all those people who provided moral and financial support along with particular insight into the weird and wonderful...
Words: 14511 - Pages: 59
...TRADING EXERCISE REPORT ASSET CLASS: FIXED INCOME FUTURES GROUP: Bakhali, Cordero, Gunkel, Swaleh, Quevedo PRELIMINARY STRATEGY REPORT OCTOBER 17, 2012 _______________________________________________________________________________ -(5-10 pages) explaining the various trading strategies you will use :I am just interested to learn about what you plan to try during the next weeks. - The report will be worth 10 points. The grading will be based on the following questions: • Do you understanding how your asset class works? (5 pts) • Did you define clearly and unambiguously your trading strategy? (5 pts) • The key for us is to try to forecast the interest rate for which we need to analyze the impact of monetary policy and QE3, among others. I. Introduction: 1. Asset Selection Eurodollar futures: traded at Chicago Mercantile Exchange (CME Globex Electronic trading platform); convey obligations over a specific notional $ amount in a specific currency $1 million investors use futures to target a cash rate of interest on an underlying benchmark cash product Short term interest rate futures: 3 months Settling price on an exact point in time, when rate of underlying is fixed, the price of cash is agreed upon or fixed every day to create LIBOR settlements (London Interbank offered rate), which is the daily fixing by member banks around London @ 11 am each day. 2. Attributes of Eurodollar Futures: Underlying Instrument | 3-month LIBOR: LIBOR on 3-month U.S.$ deposits...
Words: 1871 - Pages: 8
...Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets Zhuo Chen∗ Andrea Lu† September 6, 2014 Abstract This paper investigates the source of price momentum in the equity market using information from options markets. The empirical results provide direct evidence of the gradual information diffusion model in Hong and Stein (1999). Consistent with their theory, we show that a successful identification of stocks’ information diffusion stage helps explain momentum profits. We are able to enhance momentum profits by longing winner stocks with higher growth (and shorting loser stocks with larger drop) in call options implied volatility. Our empirical strategy generates a risk-adjusted alpha of 1.8% per month for a hedged winner-minus-loser portfolio over the 1996–2011 period, during which the simple momentum strategy fails to perform. The results are stronger and clearer if we use call options compared with put options, which are consistent with managers’ tendency to reveal good news and hide bad news. Our results are robust to transaction costs, choice of options’ moneyness, elimination of implied volatility persistence, and choice of options’ time-to-maturity. Finally, our results are not driven by existing stock-level characteristics, such as size, trading volume, and analyst coverage. JEL Classification: G10, G11, G12, G13 Keywords: Momentum, Implied Volatility PBC School of Finance, Tsinghua University. Email: chenzh@pbcsf.tsinghua.edu.cn...
Words: 22536 - Pages: 91
...eport Nokia Group YoY EURm 2012 2011 change Net sales 30 176 38 659 – 22% Cost of sales – 21 786 – 27 300 – 20% Gross profit 8 390 11 359 – 26% Research and development expenses – 4 782 – 5 584 – 14% Selling and marketing expenses – 3 205 – 3 769 – 15% Administrative and general expenses – 959 – 1 085 – 12% Other operating income and expenses – 1 747 – 1 994 – 12% Operating loss – 2 303 – 1 073 Sales and Profit Entire Nokia Group Nokia did not have a good sales performance in 2012. According to its 2012 financial report, the net sales of Nokia in 2012 was only 30176 EURm, 22% less than the net sales in 2011. The gross profit in 2012 was only 8390 EURm, 26% less than the gross profit in 2011. The decreased net sales and gross profit was believed to be negatively affected by the increasing momentum of competing smartphone platforms relative to Nokia’s Symbian smartphones in all regions. During the first half of 2012, net sales and profitability were adversely affected by its lack of affordable full touch devices which continued to be a growing part of the market. RESULTS BY SEGMENTS Smart Devices Smart Devices results summary YoY EURm 2012 2011 Change Net sales (EURm) 5 446 10 820 – 50% Smart Devices volume (millions units)...
Words: 848 - Pages: 4
...profitable company in the 2004/5 financial year, recording net profit after tax of $52.3 million from total revenues of $292.7 million. The six months ending 31 December 2005 showed no slowing in the financial momentum for the company with profit after tax reaching $38 million and revenues of $219.8 million. Trading in ABC Learning shares was suspended in August 2008 after the company failed to release its earnings for the 2007-08 financial year. Despite selling off assets, the company fell into receivership in November 2008 after increasing debt servicing obligations and its auditors were unable to sign off on its accounts. The federal government injected $22 million into the company to keep its childcare centers open until the end of 2008. The company was subsequently delisted. Creditors voted to wind up the company in June 2010. ‘Lessons to be learnt from ABC Learning's collapse’ Colin Kruger January 2, 2009 Dr Philip Ross, the head of the school of accounting at the University of Western Sydney, describes it as a "failure of regulatory and accounting processes" and says that despite changes to Corporations Law and accounting standards, ABC Learning's situation is not that different to the One.Tel and HIH collapses. "All three sought rapid expansion of market share which carried significant risks clearly not reflected in [their] financial statements," he says. He notes that ABC Learning's profits increased rapidly through acquisitions, which should have raised...
Words: 543 - Pages: 3
...energy frontiers How a revitalized BP is driving efficiency, momentum and growth Meeting the energy demands of today and tomorrow Oil Natural gas Wind Solar Biofuels Efficiency BP Annual Review 2009 Reconciliation of profit for the year to replacement cost profit The Annual Review for the year ended 31 December 2009 includes the summary financial statement (on pages 1-7 and 10-33), which comprises summaries of the Directors’ Report and the Directors’ Remuneration Report and a summary of the information in the consolidated financial statements. The summary financial statement complies with the information requirements under the Companies (Summary Financial Statement) Regulations 2008. It does not contain sufficient information to allow as full an understanding of the results and the state of affairs of BP and of its policies and arrangements concerning directors’ remuneration as BP Annual Report and Accounts 2009. Shareholders may obtain a copy of BP Annual Report and Accounts 2009 online or on request, free of charge (see page 33). Outside the summarized financial statements (see pages 24-28), references within BP Annual Review 2009 to ‘profits’, ‘result’ and ‘return on average capital employed’ are to those measures on a replacement cost basis unless otherwise indicated. The table below reconciles profit for the year to replacement cost profit. For the year ended 31 December 2009 2008 $ million 2007 Profit before interest and taxation Finance costs and net finance...
Words: 19682 - Pages: 79
...Article: Johnston, E. 2012, ‘BoQ pushes ahead with capital raising’, Sydney Morning Herald, 28 March, viewed 1 April 2012, Summary The article, ‘BoQ pushes ahead with capital raising’ (Johnston 2012) in the SMH Business News enlightens responders of the Bank of Queensland (BoQ) recent decision to proceed with a ‘$450 million capital raising’ plan (Johnston 2012). Moreover, earlier in the same week the bank had warned investors of a possible first half-year, $91 million loss (Johnston 2012). Application of concepts The recent decision by the BoQ to rise capital funding relates to the economic component of the PEST model. The significant performance fluctuations between last year’s profits as compared to this year’s potential loss, which is approximated to be $91m, can be explained to be consequential of the highly unstable economic environment (Johnston 2012). Factors such as post GFC strains including significant drops in consumer confidence and credit shortages are still prominent in many different sectors of the market (Reuters. 2011). For BoQ in particular, it was it’s adverse exposure to the ‘property market bust in the tourism hot spots’ that unfavourably affected its profitability (Johnston 2012). However, fortunately for the bank institutional investors were able to raise $284 million and pick 92% of the banks entitlements (Johnston 2012). This strong support can be seen as a direct result of the bank’s diverse CSR operations. The bank’s diversification into programs...
Words: 671 - Pages: 3
...Stock Price Reaction to News and No-News: Drift and Reversal After Headlines Wesley S. Chan∗ M.I.T. First Draft: 8/28/2000 This Draft: 5/11/2001 Abstract I examine returns to a subset of stocks after public news about them is released. I compare them to other stocks with similar monthly returns, but no identifiable public news. There is a major difference between return patterns for the two sets. I find evidence of post-news drift, which supports the idea that investors underreact to information. This is strongest after bad news. I also find some evidence of reversal after extreme price movements that are unaccompanied by public news. The patterns are seen even after excluding earnings announcements, controlling for potential risk exposure, and other adjustments. They appear, however, to apply mainly to smaller stocks. I also find evidence that trading frictions, such as short-sale constraints, may play a role in the post-bad-news drift pattern. ∗ I wish to thank Kent Daniel, Ken French, Li Jin, S. P. Kothari, Jon Lewellen, Andrew Lo, Sendhil Mullainathan, Dimitri Vayanos, and Geoffrey Verter for many stimulating discussions, and the members of the MIT PhD Finance seminar for their helpful comments. Please address all correspondence to me at wschan@mit.edu. 1 1 INTRODUCTION 1 2 Introduction There is a large amount of evidence that stock prices are predictable. In the last decade, various studies have shown that stock returns exhibit reversal...
Words: 20577 - Pages: 83
...Review of Article The short of it: Investor sentiment and anomalies Robert F. Stambaugh, Jianfeng Yu, Yu Yua Objectives: The authors studied the role of investor sentiment in explaining equity market anomalies in cross-sectional stock returns. They studied the impact of sentiment on anomalies exploited in U.S. equity long–short strategies, examining both the long and short strategies. The authors contemplated that sentiment may partly explain the returns to equity pricing anomalies. The authors of the study probed the presence of sentiment effects by combining two prominent concepts: 1. Investor sentiment contains a market-wide component with the potential to influence prices on many securities in the same direction at the same time. 2. Impediments to short selling play a significant role in limiting the ability of rational traders to exploit overpricing. Literature: The authors cited the following works: * The 2006 study "Investor Sentiment and the Cross-Section of Stock Returns" found that market-wide sentiment exerted stronger impacts on stocks that are difficult to value and hard to arbitrage. * The 2011 study "Investor Sentiment and the Mean-Variance Relation" found that the correlation between the market's expected return and its conditional volatility is positive during low-sentiment periods and nearly flat during high-sentiment periods -- the market is less rational during high-sentiment periods, due to higher participation by "noise" traders in such...
Words: 1908 - Pages: 8
...Executive Summary Jim Collins, already established as one of the most influential management consultants, further established his credibility with the wildly popular Good to Great: Why Some Companies Make the Leap...and Others Don’t, originally published in 2001. The book went on to be one of the bestsellers in the genre, and it is now widely regarded as a modern classic of management theory. Collins takes up a daunting challenge in the book: identifying and evaluating the factors and variables that allow a small fraction of companies to make the transition from merely good to truly great. ‘Great,’ an admittedly subjective term, is operationally defined according to a number of metrics, including, specifically, financial performance that exceeded the market average by several orders of magnitude over a sustained period of time. Using these criteria, Collins and his research team exhaustively catalogued the business literature, identifying a handful of companies that fulfilled their predetermined criteria for greatness. Then, the defining characteristics that differentiated these ‘great’ firms from their competitors were quantified and analyzed. The resulting data are presented in Good to Great in compelling detail. Over the course of 9 chapters, Collins addresses a number of management, personnel, and operational practices, behaviors, and attitudes that are both conducive and antithetical to the good-to-great transition. One overarching theme that links together virtually all...
Words: 2117 - Pages: 9
...outperformed the market, but the visionary companies demonstrated extraordinary long-term results. The tandems most frequently referenced in the book are GE/Westinghouse, HP/Texas Instruments, Motorola/Zenith, P&G/Colgate, Merck/Pfizer, and Wal-Mart/Ames. These comparisons dispelled commonly held myths regarding the nature of exceptional companies. Myth Reality 1 It takes a great idea to start a great company Visionary companies did not demonstrate early success 2 Visionary companies require great and charismatic visionary leaders Leaders of visionary companies were focused on building great institutions as opposed to building their individual reputations 3 The most successful companies exist first and foremost to maximize profits Visionary companies are characterized by the pursuit of multiple priorities only one of which is making money. 4 Visionary companies share a common subset of “correct” core values Visionary companies are ruthless stewards of their actual values 5 The only constant is change As noted above, visionary...
Words: 6143 - Pages: 25
...specialist multi-disciplinary services specifically tailored to meet the needs of the client providing the most intelligent and cost efficient solutions for their customers’ non-mechanical implant maintenance and capital needs. Cape's approach to business is based on an understanding that today's industry leaders demand safer, more intelligent and resourceful answers to solving their challenges and those strong customer relationships are built on confidence and trust. Focus for the year ahead will be: Realising the very significant organic growth opportunities in our chosen markets Exploiting the strengthening bid scaffolding with further bolt-on acquisitions; and Building on the value of the Cape Australian brand Trading momentum has continued into the new year and expect: Continued organic revenue growth in 2012 supported by growth in order book Although anticipated that operating margin will reduce we expect strong cash generation with asset replacement ratio of broadly 100% Commitment Cape people are committed individuals, who approach everything from routine procedures to strategic challenges with intelligence and a positive attitude. They are dedicated to meeting the needs of their clients and delivering their assurance of safety, reliability and intelligence. By continually developing the...
Words: 2475 - Pages: 10
...Table of Contents 1. Executive Summary 4 2. Introduction 5 3. Current Company Situation 5 3.1. Past Performance Assessment 6 4. External Environment Analysis - PESTEL 6 4.1. Political 6 4.2. Economic 6 4.3. Socio-Cultural 7 4.4. Technology 7 4.5. Environment 8 4.6. Legal 8 5. Industry Analysis 9 5.1. Porter's Five Forces 9 5.2. Competitor Analysis 9 6. Internal Environment Analysis 10 6.1. Financial Performance 10 6.2. Value Chain 11 6.3. Key Success Factors 12 6.4. Core Competencies 14 6.5. SWOT Analysis 15 6.6. Objectives 16 6.7. Key Issues Identified 17 7. Development Strategies 17 7.1. Strategies base on SAVED 17 7.1.1. Strategy One: 17 Venture into tourism by providing two-way transport services to Johor Premium Outlets, Legoland and Hello Kitty Land from Singapore for families and schools 17 7.1.2. Strategy Two: 19 SMRT to provide transport services mainly for tourists to send them to their hotels from airport and partnership with budget hotels chains and hostels. 19 8. Selection of alternatives 21 8.1. Chosen Alternative 21 8.2. How is the chosen alternative superior to the rejected alternative? 21 8.3. Weakness of the chosen alternative and how to overcome 22 9. Implementation 22 10. Evaluation and Control 23 11. Conclusion 23 12. References 24 13. Appendix 27 13.1. Appendix 1: SMRT Operating Metrics 27 13.2. Appendix 2: Porter’s Five Forces 28 13.3. Appendix 3: SMRT List of subsidiaries companies 29 1. Executive Summary SMRT provides transportation to...
Words: 7463 - Pages: 30
...Executive Summary- Analysis and Conclusion BUS499- Business Policy & Strategic Solutions Executive Summary – Environmental Analysis The motorcycle industry is a consolidated industry. The U.S. and international heavyweight motorcycle markets are highly competitive. The major players, such as Yamaha, Suzuki, and Honda, generally have financial and marketing resources that are substantially greater than the non-major players. Competitions in the heavyweight motorcycle market are based on several factors; price, quality, reliability, styling, product features, customer preference, and warranties. Harley’s first segment is the motorcycle and related products business. It included designing, manufacturing, and selling primarily heavyweight touring and custom motorcycles and offering a broad range of related products that included motorcycle parts and accessories and riding apparel. The custom products charge a higher price because of its features, styling, and high resale value. Their target market is mainly in US. By the end of 1997, they have an approximate 48.3% share in the US market, 6.1% share in European, and 16.5% share in Asia/Pacific. New competitors have entered the marketplace because demand for the motorcycles has exceeded production. The demand is prospected to grow in the future, and the switching cost is low. A host of internal and external factors influence a firm's choice of direction and action and, ultimately, its organizational structure and internal...
Words: 903 - Pages: 4
...Report Date: March 24, 2016 Price as of 03/24/2016 Idexx Laboratories Inc. $75.59 Consolidated Issue Listed on NASDAQ Global Select Market: IDXX HOLD We project that IDEXX will perform in line with the market over the next 6 to 12 months. This projection is based on our analysis of three key factors that influence common stock performance: earnings strength, relative valuation, and recent price movement. Reiteration 3/24/16 Previous Rating Buy (9/27/14 - 10/03/14) 52-Week Price Range $61.96 - $82.03 NEUTRAL neutral very negative Annual Dividend Yield -- Relative Valuation very positive Earnings Strength very negative Market Capitalization $6.77 Billions EPS increased from $2.03 to an estimated $2.09 over the past 5 quarters indicating an improving growth rate. Analyst forecasts have recently been raised. Company recently reported better than expected results. Annual Dividend Rate -- NEGATIVE neutral very positive Operating Earnings Yield of 2.8% ranks above 39% of the companies covered by Ford. Industry Medical Supplies & Equip Price Movement very negative NEUTRAL neutral very positive 1-year price down 0.9%: POSITIVE 1-quarter up 3.6%: NEGATIVE 1-month up 4.9%: NEUTRAL IDEXX Laboratories develops, manufactures and distributes products and provides services for the veterinary, bioresearch, water, livestock, poultry and dairy markets. The company’s Companion Animal Group operating segment...
Words: 2578 - Pages: 11
