The Halloween effect in european sectors

Bouman e Jacobsen (2002) documentaram a existência de um forte padrão sazonal na rentabilidade das acções, também conhecido como efeito Halloween. Estes autores demonstraram que num conjunto de mercados de capitais, os retornos durante os meses de Novembro a Abril tinham sido largamente superiores aos registados durante os meses de Maio a Outubro. Seguindo de perto a metodologia proposta por Bouman e Jacobsen (2002), pretendemos estudar a existência do efeito Halloween na Europa desde Outubro de 1992 até Outubro de 2010 e fornecer algumas possíveis explicações para a existência da anomalia. Concluiu-se que o efeito Halloween é economicamente e estatisticamente significante, constituindo portanto uma oportunidade passível de ser explorada. Considerámos várias possíveis soluções para a anomalia, mas nenhuma delas foi capaz de justificar por completo o efeito. Sugerimos, que a possível explicação poderá estar relacionada com os retornos médios negativos durante o período de Maio a Outubro, em vez de estar relacionada com a performance superior durante os meses de Novembro a Abril.Bouman and Jacobsen (2002) documented the existence of a strong seasonal effect in stock market returns, also known as the Halloween effect. They presented sample evidence that in a number of countries, returns have been unusually larger during the months of November to April than those during the months of May to October. Following closely the methodology used by Bouman and Jacobsen (2002), we propose to examine the existence of the Halloween effect in Europe from October 1992 to October 2010 and to provide some insight on the possible explanations for the anomaly. We concluded that the Halloween effect is economically and statistically significant, constituting therefore an exploitable opportunity. We have considered several possible explanations for the anomaly, but none was able to completely justify the seasonal effect. We suggest, that a possible explanation for the anomaly may be related with the negative average returns during the May–October period, rather than with a superior performance during the November–April period

The Halloween effect in European sectors

We present economically and statistically empirical evidence that the Halloween effect is significant. A trading strategy based on this anomaly works persistently and outperforms the buy and hold strategy in 8 out of 10 indices in our sample. We present evidence that the Halloween strategy works two out of every three calendar years and if an investor followed it “blindly”, it would yield an annual average excess of return of approximately 2.4%, compared to the buy and hold strategy and further ensure a significant reduction in risk in all indices (around 7.5% on an annual basis). We have considered several possible explanations for the anomaly, however, none was able to fully justify the seasonal effect. We suggest that a possible explanation may be related to negative average returns during the May–October period, rather than superior performance during the November–April period.info:eu-repo/semantics/acceptedVersio

An immersed boundary level-set based approach for fluid-shell interaction with impact.

Fluid-shell interaction modeling is a challenging problem with application to\ud several engineering elds. In this research we develop a partitioned algorithm for large\ud displacements \ud uid-shell coupling with impact. The structure is modeled in a total La-\ud grangian description, using a novel shell nite element formulation to deal with geometric\ud nonlinear dynamics of thin or thick shells. This formulation is based on the principle of\ud minimum potential energy considering positions and generalized unconstrained vectors as\ud nodal parameters, instead of displacements and rotations. As a consequence, the formu-\ud lation eliminates the need for large rotation approximations and presents constant mass\ud matrix, allowing the use of Newmark time integrator for the nonlinear problem. The\ud Newton-Raphson method is employed to solve the resulting nonlinear system and contact\ud between structures is modeled by enforcing non-penetration conditions based on a signed\ud distance function. The \ud ow is assumed to be compressible and the \ud uid dynamics solver is\ud explicit with time integration based on characteristics. The \ud uid governing equations are\ud written in the Eulerian description generating a xed mesh method. The coupled prob-\ud lem is solved by using an embedded boundary technique where the \ud uid-shell interface\ud is tracked inside the unstructured \ud uid mesh by level sets of a signed distance to bound-\ud ary function. The versatility and e ciency of the proposed approach is demonstrated by\ud selected three- dimensional examples.CNPqFundação Araucari