A Re-examination of the Size and Value Effects in the UK: Evidence, Explanations and Implications for Style Rotation Strategies

There is a lot of evidence in the academic literature that stock returns are predictable especially when various fundamental variables are used as predictors. Firm - specific variables, such as market value, book - to - price, cash flow - to - price, earnings yield or earnings growth have been extensively used either directly in static asset pricing models, as instruments in a conditional pricing framework, or as important factors in the construction of investment strategies. Whether the relationship between firm-specific variables reflects compensation for risk or some sort of market inefficiency is not yet clear. This thesis examines the characteristics and performance of various investment strategies constructed using fundamental variables, and investigate whether the difference in returns between portfolios can be attributed to differences in sensitivity to market industry and macroeconomic risk factors. Furthermore, market overreaction to past growth and analysts’ earnings projections is examined as alternative explanation for existence of the value-growth premium. The second part of the thesis focuses on the short-term return variability of portfolio strategies constructed using market value and book-to-price variables. The volatility of the size and value premiums suggests that a consistent bet to a certain investment philosophy or style might not be the ideal investment choice. The thesis explores the feasibility of style rotation strategies after taking account different levels of forecasting skill and transaction costs and tests out-of-sample a model that utilises mainly macroeconomic factors to predict the next months’ size and value premium. Finally, the thesis analyse the volatility characteristics of style portfolios and proposes volatility specifications to predict future variances at different horizons

Search for AGN counterparts of unidentified Fermi-LAT sources with optical polarimetry: Demonstration of the technique

The third Fermi-LAT catalog (3FGL) presented the data of the first four years of observations from the Fermi Gamma-ray Space Telescope mission. There are 3034 sources, 1010 of which still remain unidentified. Identifying and classifying gamma-ray emitters is of high significance with regard to studying high-energy astrophysics. We demonstrate that optical polarimetry can be an advantageous and practical tool in the hunt for counterparts of the unidentified gamma-ray sources (UGSs). Using data from the RoboPol project, we validated that a significant fraction of active galactic nuclei (AGN) associated with 3FGL sources can be identified due to their high optical polarization exceeding that of the field stars. We performed an optical polarimetric survey within $3\sigma$ uncertainties of four unidentified 3FGL sources. We discovered a previously unknown extragalactic object within the positional uncertainty of 3FGL J0221.2+2518. We obtained its spectrum and measured a redshift of $z=0.0609\pm0.0004$. Using these measurements and archival data we demonstrate that this source is a candidate counterpart for 3FGL J0221.2+2518 and most probably is a composite object: a star-forming galaxy accompanied by AGN. We conclude that polarimetry can be a powerful asset in the search for AGN candidate counterparts for unidentified Fermi sources. Future extensive polarimetric surveys at high galactic latitudes (e.g., PASIPHAE) will allow the association of a significant fraction of currently unidentified gamma-ray sources.Comment: accepted to A&

RoboPol: Connection between optical polarization plane rotations and gamma-ray flares in blazars

We use results of our 3 year polarimetric monitoring program to investigate the previously suggested connection between rotations of the polarization plane in the optical emission of blazars and their gamma-ray flares in the GeV band. The homogeneous set of 40 rotation events in 24 sources detected by {\em RoboPol} is analysed together with the gamma-ray data provided by {\em Fermi}-LAT. We confirm that polarization plane rotations are indeed related to the closest gamma-ray flares in blazars and the time lags between these events are consistent with zero. Amplitudes of the rotations are anticorrelated with amplitudes of the gamma-ray flares. This is presumably caused by higher relativistic boosting (higher Doppler factors) in blazars that exhibit smaller amplitude polarization plane rotations. Moreover, the time scales of rotations and flares are marginally correlated.Comment: 12 pages, 16 figures, accepted to MNRA

RoboPol: First season rotations of optical polarization plane in blazars

We present first results on polarization swings in optical emission of blazars obtained by RoboPol, a monitoring program of an unbiased sample of gamma-ray bright blazars specially designed for effective detection of such events. A possible connection of polarization swing events with periods of high activity in gamma rays is investigated using the dataset obtained during the first season of operation. It was found that the brightest gamma-ray flares tend to be located closer in time to rotation events, which may be an indication of two separate mechanisms responsible for the rotations. Blazars with detected rotations have significantly larger amplitude and faster variations of polarization angle in optical than blazars without rotations. Our simulations show that the full set of observed rotations is not a likely outcome (probability $\le 1.5 \times 10^{-2}$) of a random walk of the polarization vector simulated by a multicell model. Furthermore, it is highly unlikely ($\sim 5 \times 10^{-5}$) that none of our rotations is physically connected with an increase in gamma-ray activity.Comment: 16 pages, 9 figure

Compact Symmetric Objects -- I Towards a Comprehensive Bona Fide Catalog

Compact Symmetric Objects (CSOs) are jetted Active Galactic Nuclei (AGN) with overall projected size <1 kpc. The classification was introduced to distinguish these objects from the majority of compact jetted-AGN in centimeter wavelength very long baseline interferometry observations, where the observed emission is relativistically boosted towards the observer. The original classification criteria for CSOs were: (i) evidence of emission on both sides of the center of activity, and (ii) overall size <1 kpc. However some relativistically boosted objects with jet axes close to the line of sight appear symmetric and have been mis-classified as CSOs, thereby undermining the CSO classification. This is because two essential CSO properties, pointed out in the original papers, have been neglected: (iii) low variability, and (iv) low apparent speeds along the jets. As a first step towards creating a comprehensive catalog of ``bona fide'' CSOs, we identify 79 bona fide CSOs, including 15 objects claimed as confirmed CSOs here for the first time, that match the CSO selection criteria. This sample of bona fide CSOs can be used for astrophysical studies of CSOs without contamination by mis-classified CSOs. We show that the fraction of CSOs in complete flux density limited AGN samples with S$_{\rm 5\,GHz}$ >700 mJy is between $(6.8\pm1.6)$% and $(8.5\pm1.8)$%.Comment: 28 pages, 9 figures, 3 tables, accepted for publicatio