Momentum Equity Strategies: Are Certain Firm-Specific Variables Crucial in Achieving Superior Performance in Short Term Holding Periods?

In this study we analyze the performance of variable-oriented momentum strategies, in order to detect alternatives which offer higher returns, compared to the simple price momentum strategies, for no significantly extra risk, in the very short run. Portfolios are constructed using twenty firm specific variables, of U.S. stocks traded in NYSE, NASDAQ and AMEX for a full six year period starting on March of 2002. We calculate a volatility- reward (VR) ratio for each observation, treated as a performance measure, and we apply Principal Component Analysis (PCA) on their series in order to detect the variables which contribute mostly in enhancing the performance of simple momentum strategies. Our findings suggest that short term investors could significantly benefit from momentum strategies if they take into account past firm specific information, which indirectly indicates a market underreaction to various announcements related to firms' EPS. In particular, top analysts' EPS estimate revisions followed by low P/E and high ROE contribute the most in producing momentum portfolios of superior performance, compared to a simple price momentum strategy. © EuroJournals Publishing, Inc. 2009

A data envelopment analysis and local partial least squares approach for identifying the optimal innovation policy direction

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Efficiency analysis and benchmarking of container ports operating in lower-middle-income countries: a DEA approach

AbstractContainer ports play a pivotal role in international trade, facilitating the movement of goods and fostering economic development. While much attention has been given to the efficiency of ports in high-income countries, container ports in lower-middle-income (LMI) countries have received less attention. This paper addresses this research gap by assessing container ports' operational efficiency across diverse LMI countries and determining ways for their efficiency enhancement and management optimization. The cross-sectional data for the year 2012 was collected for 53 container ports in LMI countries. This research utilizes data envelopment analysis, which offers the advantage of considering multiple inputs and outputs. The results show that the overall technical inefficiencies of LMI countries' container ports are mainly due to pure technical inefficiency rather than scale inefficiencies, and the most efficient ports have a combination of large and hub ports. They also reveal that larger ports (as measured by throughput) are not necessarily more efficient than ports with a small production scale. The results of this research can provide government authorities, port authorities, terminal operators, and investors with valuable insights into resource allocation, competitive advantage, and optimization of operating performance.</jats:p