Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the least downside risk by 6.55% per annum. Downsi...

In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on Jegadeesh and Titman approach.The...

Recently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain t...

The momentum map is essentially due to Lie, [5], pp. 300–343. The modern notion is due to Kostant [3], Souriau [9], and Kirillov [2]. The setting for the moment mapping is a smooth symplectic manifold (M,ω) or even a Poisson manifold (M,P ) with the Poisson bracket on functions {f, g} = P (df, dg) (where P = ω : T M → TM is the Poisson tensor). To each function f there is the associated Hamilto...

We suggest a method of constructing gauge invariant quark and gluon distributions that describe an abstract QCD observable and apply this method to analyze angular momentum of a hadron. In addition to the known quark and gluon polarized structure functions, we obtain gauge invariant distributions for quark and gluon orbital angular momenta, and consider some basic properties of these distributi...