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.

Margin requirements and volatility : evidence from Canadian stocks

Margin policy is used by regulators for the purpose of inhibiting exceSSIve volatility and stabilizing the stock market in the long run. The effect of this policy on the stock market is widely tested empirically. However, most prior studies are limited in the sense that they investigate the margin requirement for the overall stock market rather than for individual stocks, and the time periods examined are confined to the pre-1974 period as no change in the margin requirement occurred post-1974 in the U.S. This thesis intends to address the above limitations by providing a direct examination of the effect of margin requirement on return, volume, and volatility of individual companies and by using more recent data in the Canadian stock market. Using the methodologies of variance ratio test and event study with conditional volatility (EGARCH) model, we find no convincing evidence that change in margin requirement affects subsequent stock return volatility. We also find similar results for returns and trading volume. These empirical findings lead us to conclude that the use of margin policy by regulators fails to achieve the goal of inhibiting speculating activities and stabilizing volatility.

Profitable opportunities around macroeconomic announcements in the U.S. Treasury market

This thesis studies the impact of macroeconomic announcements on the U.S. Treasury market and investigates profitable opportunities around macroeconomic announcements using data from the eSpeed electronic trading platform. We investigate how macroeconomic announcements affect the return predictability of trade imbalance for the 2-year, 5-year, IO-year U.S. Treasury notes and 30-year U.S. Treasury bonds. The goal of this thesis is to develop a methodology to identify informed trades and estimate the trade imbalance based on informed trades. We use the daily order book slope as a proxy for dispersion of beliefs among investors. Regression results in this thesis indicate that, on announcement days with a high dispersion of beliefs, daily trade imbalance estimated by informed trades significantly predicts returns on the following day. In addition, we develop a trade-imbalance based trading strategy conditional on dispersion of beliefs, informed trades, and announcement days. The trading strategy yields significantly positive net returns for the 2-year T-notes.

A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

The Impact of a Corporate Name Change on Stock Price and Trading Volume of Canadian Companies

This thesis examines the impact of a corporate name change on stock price and trading volume of Canadian companies around the announcement date, the approval date, and the adoption date over the time period from 1997 to 2011. Name changes are classified into six categories: major and minor, structural and pure, diversified and focused, accompanied with a change in ticker symbol and without a change in ticker symbol, “Gold” name addition and deletion, and different reasons for name changes (e.g., merger and acquisition, change of structure, change of strategy, and better image). The thesis uses the standard event study methodology to perform abnormal return and trading volume analyses. In addition, regression analysis is employed to examine which type of a name change has the largest impact on cumulative abnormal returns. Sample stocks exhibit a significant positive abnormal return one-day prior to the approval day and one day after the adoption date. Around the approval date we observe significant abnormal returns for stocks with a structural name change. On the day after the adoption date we document abnormal returns for stocks with major, minor, structural, pure, focused, and ticker symbol name changes. If a merger or acquisition is the reason for a name change, companies tend to experience a significant positive abnormal return one-day before the approval date and on the adoption date. If a change of structure is the reason for a name change, companies exhibit a significant positive abnormal return on the approval date and a significant negative abnormal return on the adoption date. In case of a change of strategy as the reason for a name change, companies show a significant negative abnormal return around the approval date and a significant positive abnormal return around the adoption date.

An exploration of women elementary school teachers' perceptions of how their decision to return to teaching part-time from a maternity leave influences their professional and personal lives /

The purpose of this research was to explore women elementary teachers' perceptions of how their decision to return to teaching part-time from a maternity leave influences their professional and personal lives. The investigation focused on the decisions surrounding a mother's choice to reenter the teaching profession parttime in a field where each mother had previously been employed full-time. A collective case study was undertaken based on an in-depth interview with five mothers who had made the choice to return to the classroom part-time. The data collected in this study were analyzed and interpreted using qualitative methods. The following four major themes emerged from the interviews: decisionmaking process, challenges faced by mothers who teach part-time, the importance of support, and the enhancement of instructional practice from parenthood. Using these four themes, an analysis was conducted to examine the similarities and differences among the experiences of the participants. The mothers' reflections, my analysis, and the related literature were used at the conclusion of this report to compile implications for teaching practice, theory, and further research.

Letter from the Secretary of War, transmitting a return of the arms and military stores furnished to the respective states, under the provisions of the law of one thousand eight hundred and twelve.

At head of title: [107].

An Act to authorise the stock held by private parties in the Welland Canal to be purchased on behalf of the Province [Welland Canal Stock Bill], 1841

The bill is a proposal by the government to purchase Welland Canal stock held in private hands. The bill was read for the first time on Wednesday 4 August, 1841, and received second reading on 10th August, 1841. One hundred and fifty copies were printed of the bill. This example was addressed to Samuel Street at the Falls of Niagara, by William Hamilton Merritt, September 1841.

Stock market reactions to changes in the FTSE SmallCap and S&P/TSX SmallCap indices

Stocks added to (deleted from) the Russell 2000 and the S&P 600 indexes experience positive (negative) abnormal returns following the announcement. However, researchers disagree on whether these abnormal returns are permanent or temporary and offer competing explanations. I address this controversy by examining market reactions for firms that are added to or deleted from the FTSE Small Cap index (the main testing sample) and the S&P/TSX SmallCap index (the comparison sample). For the main testing sample, all stocks except pure additions, experience a permanent price change that is accompanied by a permanent change in liquidity. However, for the comparison sample, abnormal returns over the announcement period fully reverted within 30 days. In further examination of stock liquidity for the main testing sample, sample stocks experience permanent change in liquidity. Taken together, the observed results support the price pressure and liquidity hypotheses.

Niagara-Welland Power Company Limited fonds, 1833, 1852, 1904-1906, 1909, n.d.

The Welland Power and Supply Canal Company Limited, established in 1893 and incorporated in 1894 with a capital stock of $500,000. The aim of the company was to harness the natural water supply of the Niagara and Welland Rivers. In 1898 the Canadian Electrical News published a report by Henry Symons, QC outlining the main project of the company. This project involves the construction of a canal from the Welland River to the brow of the mountain at Thorold, a distance of 8 miles; the construction at Thorold of a power house, and from Thorold to Lake Ontario, a raceway by which to carry water into the lake. The estimate for the machinery to generate 100,000 horse power is £125,000; for transmission line to Toronto at a voltage of 10,000….The total estimate therefore amounts to £2,452,162, or roughly speaking, $12,000,000. Source: Canadian Electrical News, August 1898, p. 172. In 1899 the company officers petitioned the federal government desiring a name change to the Niagara-Welland Power Company Limited. Officers of the company were Harry Symons, President; Charles A. Hesson, Vice-President; and M.R. O’Loughlin, James B. Sheehan, James S. Haydon, Frederick K. Foster, directors; John S. Campbell, secretary-treasurer. The company’s head offices were located in St. Catharines, with a New York (City) office on Broad Street. In 1905 and 1909 the company petitioned the federal government for additional time to construct its works, which was granted. The company had until May 16, 1915 to complete construction. John S. Campbell (1860-1950) was a graduate of the University of Toronto and Osgoode Hall. During his university years John began his military career first in "K" Company, Queens Own rifles and then later as Commanding Officer of the 19th Lincoln Regiment, from 1906 to 1910. Upon his return to St. Catharines John Campbell served as secretary in the St. Catharines Garrison Club, a social club for military men begun in 1899. After being called to the Bar, he became a partner in the firm of Campbell and McCarron and was appointed to the bench in 1916, serving until retirement in 1934. Judge Campbell served as an alderman for several terms and was the mayor of St. Catharines in 1908 and 1909. He also served as the first chairman of the St. Catharines Public Utilities in 1914. John S. Campbell was married to Elizabeth Oille, daughter of Jerome B. and Charlotte (St. John) Oille. The family home "Cruachan" was located at 32 Church St.

Letter - American soldier's account of battles at Chippewa, Lundy's Lane and Fort Erie, 1814

Transcript (original grammar and spelling retained): My dear wife I take this time to inform you that I am well hoping that these few lines will Reach you and find you the same I shall in form you of all our Battles that we have had sence I left home we crossed in to Canada the 2 day of July and took fort Erie on the 3 day of July without loss of one man. We then marched down to Chipway eighteen miles below the Fort Erie we got there on the forth day and had our first battle on the 5 day our loss was not jistly known But the inemy loss was double to ours. The 6 day we started with the 2 Brigade to make a bridge a crost the crick two miles a bove the fort in Building the Bridge the inemy Brought up their Canon and playd upon us with their artiliery a bout two hours We drove them from the fort our loss was none the inemy loss was nineteen ciled dead on the ground we then marched to Queenston when we got thare our inemy had fledfrom the fort we then remained thair to Queenston ten days then we marched down to Fort George But that caurdly Chaney did not a rive with the fleet so we had to return back to Queenston thare was a bout six hundred militia formed on the heights of land thay fired up on us from their pickets and retreated to the mane body our flankers ciled and wounded and took about twenty before they got to the Maine body we then marched up the hill they gave us two firs but did not damage and then retreated from the field we stayed there one knight and then marched to Chipway and stayed there one night and the next day just as the sun set the first Brigade marched up in order to give them Battle a bout two miles from the Crick and began the Battle the 2 Brigade has to March up to the Niagara path and ingaged them we charged up on their artlery and took all their Canon Miller commanded the four companys that charged....the battles lasted three hours and forty minutes our loss was about 8 hundred cild and wounded our inemies loss was a bout fourteen hundred cild and wounded the next morning we Marched up in order to give them Battle a gin but thay was afraid to ingage us we then marched to Fort Erie and went to fortiffing and made a strong place the inemy folered us up and Began to cananade and held it fifty three days thay a tacked the fort the fifteenth of august thay atacked a bout one hiour be fore day Light we saw them and Blue up our maggerzean & two hundred of our inemy our loss wasa bout forty cild and wounded and our inemy loss was a bout one thousand on the 7 Day of September we atacked them and took their batteries and Broke all their canon and drove them from the field our loss was a Bout two hundred cild and wounded our inemy loss was a Bout 8 hundred cild and wounded...we crossed in to Canada with five thousand and came out with fifteen hundred we then Marched to Sackett’s harbor....am well and harty for the present....a bout comming home it uncarting for there is not any....given this winter as yet But I shall try to Come home if I Can But if I Cant I want you should take good car of the Phiddness[?] I have not Received any Money as yet But soon as I do receive some I send some home. I want you should write to me as soon as you receive this and and how Much Stock you wintor I Received your Letter with Great pleasure I feel uneasy a bout you I am a frade that you are sick or dead this is from your husband Chase Clough

Letter from the Secretary of War, transmitting a return of the arms and military stores furnished to the respective states, under the provisions of the law of one thousand eight hundred and twelve

At head of title: [107]. 15th Congress, 1st session, 1817-1818. House. February 20, 1818. Read, and ordered to lie upon the table.

Electrical Development Company of Ontario certificate of stock ownership, ca. 1910.

The Electrical Development Company of Ontario was created in 1903. It was one of three private power companies that had water power leases with the Niagara Parks Commission, but was the only one that was financed with Canadian capital. The company built the Toronto Power Generating Station at Niagara Falls beginning in 1906, and the power house was completed in 1913. During the construction, there was much debate about whether the utility should remain privately operated or become a public utility. In 1920, the company became part of the public utility.

O.S. Rixford Manufacturing Company corporate stock book, 1883-1898.

Around 1837, Luther Rixford founded a tool manufacturing business (originally known as the Luther Rixford Manufacturing Co.) in East Highgate, Vermont, that specialized in manufacturing scythes and other agricultural tools. A branch of this business was established in Upper Bedford, Quebec, around the late 1840's. Subsequent generations of the Rixford family took over the operations of both facilities, and in 1857 Oscar S. Rixford renamed the company the O.S. Rixford Manufacturing Co. The company was incorporated in 1883. Around 1920, the O.S. Rixford Manufacturing Company (of Canada) was acquired by Welland Vale Manufacturing, in St. Catharines, Ontario. The Rixford Company in Vermont continued operations until 1956, when decreasing demand for the tools they manufactured caused them to close their doors.

Additional Return for Ordnance Stores for the Use of Capt. Thos. Biddle’s Compy Corps of Artillery, June 24, 1814

Jacob Hindman (1789-1827) was an American military officer who was a captain of the Second U.S. Artillery during the War of 1812. He commanded troops at the battles at Fort George and Stony Creek in 1813, and in June of that year became the major of the Second Artillery. He remained in this position until May of 1814 when the regiment was merged with the Corps of Artillery. During the Niagara campaign in 1814, Hindman’s company commanders included Nathan Towson, Thomas Biddle, John Ritchie, and Alexander Williams. During the British attack on Fort Erie in August 1814, Hindman led an assault for which he later received a brevet promotion to lieutenant colonel for “gallant conduct in the defense of Fort Erie”. In 1815, he received an additional brevet for “meritorious services”. He is generally regarded as one of the most successful artillerists of the War of 1812. James Hall (1793-1868) served with the U.S. military as a second lieutenant in the Second Artillery during the War of 1812. He fought in the Battle of Lundy’s Lane and was General Brown’s messenger during the attack on Fort Erie. He left the military in 1818 and became a newspaper editor and author. His experiences during the War of 1812 provided material for two stories, The Bearer of Despatches and Empty Pockets. Much of his work sought to popularize the West and promote western authors.