While the vast majority of the literature reports momentum profitability to be overwhelming in the U.S. market and widespread in other countries, this paper finds that the pure momentum strategy in general does not yield excess profitability in the Chinese stock markets. We find instead strong mean reversion. A pure contrarian investment strategy produces positive excess returns and in general ...

In this paper we prove a recent conjecture [Robnik M and Salasnich L 1997 J. Phys. A: Math. Gen. 3

Momentum strategies exhibit rare but dramatic losses (crashes), which we show are a result of the leverage dynamics of stocks in the momentum portfolio. When the economy is in a hidden turbulent state associated with a depressed and volatile stock market, the short-side of the momentum portfolio becomes highly levered, and behaves like a call option on the market index portfolio, making momentu...

M q ðxÞ 1⁄4 x T q ðxÞ x T q ðxÞ: (5) Since Jþi is a leading-twist operator, it is clear that such a simple partonic interpretation should exist. However, Ji, Xiong, and Yuan misleadingly interpret Jþi as the transverse angular momentum operator. Indeed, in light-front quantization, the role of time is taken by xþ, so that Jþi is the light-front transverse boost operator. In terms of the more co...

a classical theory is developed which calculates the momentum transfer rate constant between an ion and a non-polar molecule. the model takes into consideration the effect of diffraction outside the capture limit on the rate constants. the theory is used to calculate momentum transfer rate constant for cl- with trans-dichloroethylene and para-difluorobenzene. theoretical results are compared to...