Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African Stocks

We implement a recursive out-of-sample method to examine anomalies-based ex-ante predictability in the cross-section of stock returns. We obtain a series of simulated out-of-sample returns, consistent with investors using only prior information when choosing predictor variables. We find that, by commonly used performance criteria, real-time trading strategies based on size, value and momentum effects would not consistently outperform a passive index of South African stocks - despite consistent in-sample excess returns. Our results suggest that the empirical relationship between the anomalous factors and cross-sectional average returns is unstable.anomalies; real-time predictability; long/short portfolios; emerging markets; South Africa

Knight Shift and Nuclear Spin Relaxation Rate in a Charge-Ordered State of the One-Dimensional Extended Hubbard Model at Quarter Filling

We investigate Knight shift and nuclear spin relaxation rate in a charge ordered state of the one-dimensional extended Hubbard model with a quarter filled band by using RPA around the mean-field solution. It is shown that both quantities show splitting below the critical temperature of the charge order, as is experimentally observed. The relationship between the mount of the splitting in the both quantities and the charge disproportionation rate is discussed.Comment: 7 pages, 6 figures, submitted to J. Phys. Soc. Jp

A Na I Absorption Map of the Small-Scale Structure in the Interstellar Gas Toward M15

Using the DensePak fiber optic array on the KPNO WIYN telescope, we have obtained high S/N echelle spectra of the Na I D wavelength region toward the central 27" x 43" of the globular cluster M15 at a spatial resolution of 4". The spectra exhibit significant interstellar Na I absorption at LSR velocities of +3 km/s (LISM component) and +68 km/s (IVC component). Both components vary appreciably in strength on these scales. The derived Na I column densities differ by a factor of 4 across the LISM absorption map and by a factor of 16 across the IVC map. Assuming distances of 500 pc and 1500 pc for the LISM and IVC clouds, these maps show evidence of significant ISM structure down to the minimum scales of 2000 AU and 6000 AU probed in these absorbers. The smallest-scale N(Na I) variations observed in the M15 LISM and IVC maps are typically comparable to or higher than the values found at similar scales in previous studies of interstellar Na I structure toward binary stars. The physical implications of the small and larger-scale Na I features observed in the M15 maps are discussed in terms of variations in the H I column density as well as in the Na ionization equilibrium.Comment: 11 pages, 3 figures, accepted for publication in ApJ Letter

B-type supergiants in the SMC: Rotational velocities and implications for evolutionary models

High-resolution spectra for 24 SMC and Galactic B-type supergiants have been analysed to estimate the contributions of both macroturbulence and rotation to the broadening of their metal lines. Two different methodologies are considered, viz. goodness-of-fit comparisons between observed and theoretical line profiles and identifying zeros in the Fourier transforms of the observed profiles. The advantages and limitations of the two methods are briefly discussed with the latter techniques being adopted for estimated projected rotational velocities (\vsini) but the former being used to estimate macroturbulent velocities. Only one SMC supergiant, SK 191, shows a significant degree of rotational broadening (\vsini $\simeq$ 90 \kms). For the remaining targets, the distribution of projected rotational velocities are similar in both our Galactic and SMC samples with larger values being found at earlier spectral types. There is marginal evidence for the projected rotational velocities in the SMC being higher than those in the Galactic targets but any differences are only of the order of 5-10 \kms, whilst evolutionary models predict differences in this effective temperature range of typically 20 to 70 \kms. The combined sample is consistent with a linear variation of projected rotational velocity with effective temperature, which would imply rotational velocities for supergiants of 70 \kms at an effective temperature of 28 000 K (approximately B0 spectral type) decreasing to 32 \kms at 12 000 K (B8 spectral type). For all targets, the macroturbulent broadening would appear to be consistent with a Gaussian distribution (although other distributions cannot be discounted) with an $\frac{1}{e}$ half-width varying from approximately 20 \kms at B8 to 60 \kms at B0 spectral types.Comment: 4 figures, 8 pages, submitted to Astronomy and Astrophysic

Atmospheric parameters and rotational velocities for a sample of Galactic B-type supergiants

High resolution optical spectra of 57 Galactic B-type supergiant stars have been analyzed to determine their rotational and macroturbulent velocities. In addition, their atmospheric parameters (effective temperature, surface gravity and microturbulent velocity) and surface nitrogen abundances have been estimated using a non-LTE grid of model atmospheres. Comparisons of the projected rotational velocities have been made with the predictions of stellar evolutionary models and in general good agreement was found. However for a small number of targets, their observed rotational velocities were significantly larger than predicted, although their nitrogen abundances were consistent with the rest of the sample. We conclude that binarity may have played a role in generating their large rotational velocities. No correlation was found between nitrogen abundances and the current projected rotational velocities. However a correlation was found with the inferred projected rotational velocities of the main sequence precursors of our supergiant sample. This correlation is again in agreement with the predictions of single star evolutionary models that incorporate rotational mixing. The origin of the macroturbulent and microturbulent velocity fields is discussed and our results support previous theoretical studies that link the former to sub-photospheric convection and the latter to non-radial gravity mode oscillations. In addition, we have attempted to identify differential rotation in our most rapidly rotating targets.Comment: Submitted to MNRAS, 16 page

A non-LTE abundance analysis of the post-AGB star ROA 5701

An analysis of high-resolution Anglo-Australian Telescope (AAT)/ University College London Echelle Spectrograph (UCLES) optical spectra for the ultraviolet (UV)-bright star ROA 5701 in the globular cluster omega Cen (NGC 5139) is performed, using non-local thermodynamic equilibrium (non-LTE) model atmospheres to estimate stellar atmospheric parameters and chemical composition. Abundances are derived for C, N, O, Mg, Si and S, and compared with those found previously by Moehler et al. We find a general metal underabundance relative to young B-type stars, consistent with the average metallicity of the cluster. Our results indicate that ROA 5701 has not undergone a gas-dust separation scenario as previously suggested. However, its abundance pattern does imply that ROA 5701 has evolved off the AGB prior to the onset of the third dredge-up.Comment: 9 pages, 2 figures. Accepted for publication in MNRAS (Online Early

Iron abundances from optical Fe III absorption lines in B-type stellar spectra

The role of optical Fe III absorption lines in B-type stars as iron abundance diagnostics is considered. To date, ultraviolet Fe lines have been widely used in B-type stars, although line blending can severely hinder their diagnostic power. Using optical spectra, covering a wavelength range ~ 3560 - 9200 A, a sample of Galactic B-type main-sequence and supergiant stars of spectral types B0.5 to B7 are investigated. A comparison of the observed Fe III spectra of supergiants, and those predicted from the model atmosphere codes TLUSTY (plane-parallel, non-LTE), with spectra generated using SYNSPEC (LTE), and CMFGEN (spherical, non-LTE), reveal that non-LTE effects appear small. In addition, a sample of main-sequence and supergiant objects, observed with FEROS, reveal LTE abundance estimates consistent with the Galactic environment and previous optical studies. Based on the present study, we list a number of Fe III transitions which we recommend for estimating the iron abundance from early B-type stellar spectra.Comment: 3 figures and 8 tables. Table 3 is to be published online only (included here on last page). Accepted for publication in MNRA

The VLT-FLAMES survey of massive stars: rotation and nitrogen enrichment as the key to understanding massive star evolution

Rotation has become an important element in evolutionary models of massive stars, specifically via the prediction of rotational mixing. Here, we study a sample of stars, including rapid rotators, to constrain such models and use nitrogen enrichments as a probe of the mixing process. Chemical compositions (C, N, O, Mg and Si) have been estimated for 135 early B-type stars in the Large Magellanic Cloud with projected rotational velocities up to ~300km/s using a non-LTE TLUSTY model atmosphere grid. Evolutionary models, including rotational mixing, have been generated attempting to reproduce these observations by adjusting the overshooting and rotational mixing parameters and produce reasonable agreement with 60% of our core hydrogen burning sample. We find (excluding known binaries) a significant population of highly nitrogen enriched intrinsic slow rotators vsini less than 50km/s incompatible with our models ~20% of the sample). Furthermore, while we find fast rotators with enrichments in agreement with the models, the observation of evolved (log g less than 3.7dex) fast rotators that are relatively unenriched (a further ~20% of the sample) challenges the concept of rotational mixing. We also find that 70% of our blue supergiant sample cannot have evolved directly from the hydrogen burning main-sequence. We are left with a picture where invoking binarity and perhaps fossil magnetic fields are required to understand the surface properties of a population of massive main sequence stars.Comment: ApJL. 10 pages, 1 figure. Updated to match accepted versio

Detection of Voigt Spectral Line Profiles of Hydrogen Radio Recombination Lines toward Sagittarius B2(N)

We report the detection of Voigt spectral line profiles of radio recombination lines (RRLs) toward Sagittarius B2(N) with the 100-m Green Bank Telescope (GBT). At radio wavelengths, astronomical spectra are highly populated with RRLs, which serve as ideal probes of the physical conditions in molecular cloud complexes. An analysis of the Hn(alpha) lines presented herein shows that RRLs of higher principal quantum number (n>90) are generally divergent from their expected Gaussian profiles and, moreover, are well described by their respective Voigt profiles. This is in agreement with the theory that spectral lines experience pressure broadening as a result of electron collisions at lower radio frequencies. Given the inherent technical difficulties regarding the detection and profiling of true RRL wing spans and shapes, it is crucial that the observing instrumentation produce flat baselines as well as high sensitivity, high resolution data. The GBT has demonstrated its capabilities regarding all of these aspects, and we believe that future observations of RRL emission via the GBT will be crucial towards advancing our knowledge of the larger-scale extended structures of ionized gas in the interstellar medium (ISM)

Iron abundances of B-type post-Asymptotic Giant Branch stars in globular clusters: Barnard 29 in M 13 and ROA 5701 in omega Cen

High resolution optical and ultraviolet spectra of two B-type post-Asymptotic Giant Branch (post-AGB) stars in globular clusters, Barnard 29 in M 13 and ROA 5701 in omega Cen, have been analysed using model atmosphere techniques. The optical spectra have been obtained with FEROS on the ESO 2.2-m telescope and the 2d-Coud\'e spectrograph on the 2.7-m McDonald telescope, while the ultraviolet observations are from the GHRS on the HST. Abundances of light elements (C, N, O, Mg, Al and S) plus Fe have been determined from the optical spectra, while the ultraviolet data provide additional Fe abundance estimates from Fe III absorption lines in the 1875-1900 {\AA} wavelength region. A general metal underabundance relative to young B-type stars is found for both Barnard 29 and ROA 5701. These results are consistent with the metallicities of the respective clusters, as well as with previous studies of the objects. The derived abundance patterns suggest that the stars have not undergone a gas-dust separation, contrary to previous suggestions, although they may have evolved from the AGB before the onset of the third dredge-up. However, the Fe abundances derived from the HST spectra are lower than those expected from the metallicities of the respective clusters, by 0.5 dex for Barnard 29 and 0.8 dex for ROA 5701. A similar systematic underabundance is also found for other B-type stars in environments of known metallicity, such as the Magellanic Clouds. These results indicate that the Fe III ultraviolet lines may yield abundance values which are systematically too low by typically 0.6 dex and hence such estimates should be treated with caution.Comment: 15 pages, 3 figures. Accepted for publication in MNRA