Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.

Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.

Canadian investors and the discount on closed-end funds

Small investors' sentiment has been proposed by behaviouralists to explain the existence and behavior of discount on closed-end funds (CEFD). The empirical tests of this sentiment hypothesis so far provide equivocal results. Besides, most of out-of-sample tests outside U.S. are not robust in the sense that they fail to well control other firm characteristics and risk factors that may explain stock return and to provide a formal cross-sectional test of the link between CEFD and stock return. This thesis explores the role of CEFD in asset pricing and further validates CEFD as a sentiment proxy in Canadian context and augments the extant studies by examining the redemption feature inherent in Canadian closed-end funds and by enhancing the robustness of the empirical tests. Our empirical results document differential behaviors in discounts between redeemable funds and non-redeemable funds. However, we don't find supportive evidence of CEFD as a priced factor. Specifically, the stocks with different exposures to CEFD fail to provide significantly different average return. Nor does CEFD provide significant incremental explanatory power, after controlling other well-known firm characteristics and risk factors, in cross-sectional as well as time-series variation of stock return. This evidence, together with the findings from our direct test of CEFD as a sentiment index, suggests that CEFD, even the discount on traditional non-redeemable closed-end funds, is unlikely to be driven by elusive sentiment in Canada.

Is Brand Equity an Asset or a Liability in Brand Harm Crisis? Buffering and Amplifying Effects and Contingent Conditions

Brand harm crisis often result in negative consumer responses. This thesis addresses the buffering and amplifying theoretical perspectives of brand equity effects. We theorize that brand equity may interplay with the nature of brand-harm crisis in shaping consumer reactions. Results from focus group studies provide interesting insights into the amplifying and buffering effects. Moreover, research findings from two experiment studies show that brand equity amplifies consumer negative responses in a performance-related crisis but only when the crisis is extremely severe. When the crisis becomes less severe, the amplifying effect diminishes from outset. However, in a value-related crisis, the amplifying effect of brand equity is pervasive regardless of the level of crisis severity. The current thesis adds to the extant literature by demonstrating that brand equity can have very complex effects on consumer responses, which are contingent on the severity and domain of a crisis. Theoretical and managerial implications are discussed.

List of Prices Totalling 7 Pounds 55 Pence

List of prices totaling 7 pounds, 55 pence [no indication what this list refers to] Sept. 15, 1848.

List of Names and Prices Signed by Albert W. Sampson

List of names and prices signed by Albert W. Sampson, n.d.

List of prices paid to Dr. Richard King from Dilly Coleman

List of prices paid to Dr. Richard King from Dilly Coleman in regard to items such as flour and a live hog which were sold to Dr. King by Mr. Coleman and medical treatment and medicines for Dilly and his family provided by Dr. King. Samuel Woodruff’s name appears on the outside of this list, n.d.

List of prices paid to Dilly Coleman by Doctor Richard .S. King for the board and feeding of a horse

List (2 pages, handwritten) of prices paid to Dilly Coleman by Doctor Richard .S. King for the board and feeding of a horse. There is a handwritten note on the inner page regarding instructions for feeding the horse, Sept. 1850.

Schedule of prices for Brown and McDonell, contractors, for sections 1, 2 and 3 of the Port Dalhousie Thorold Railway

Schedule of prices for Brown and McDonell, contractors, for sections 1, 2 and 3 of the Port Dalhousie Thorold Railway (1 page, handwritten), Sept. 24, 1856.

Prices of John Brown’s contracts for Port Dalhousie and Thorold Railway from Geneva Street to Thorold Station

Prices of John Brown’s contracts for Port Dalhousie and Thorold Railway from Geneva Street to Thorold Station (1 page, handwritten), n.d.

Note from the Port Dalhousie and Thorold Railway to Mrs. E. Parnell with prices for digging a well, moving a hog pen and repairing a fence

Note from the Port Dalhousie and Thorold Railway to Mrs. E. Parnell with prices for digging a well, moving a hog pen and repairing a fence, n.d.

Letter regarding prices for the excavation to S.D. Woodruff from Dexter Deverardo

Letter regarding prices for the excavation to S.D. Woodruff from Dexter Deverardo, Feb. 22, 1856.

Estimate of dredging prices

Estimate of dredging prices, July 14, 1854.

List of prices for items such as furniture, curtains, pictures, carpets and glassware

List of prices (2 pages, handwritten) for items such as furniture, curtains, pictures, carpets and glassware. This is embossed with the Welland Canal stamp, Dec. 1855.