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.

The carbon disclosure project, an evolution in international environmental corporate governance : motivations and determinants of market response to voluntary disclosures

This paper examines the factors associated with Canadian firms voluntarily disclosing climate change information through the Carbon Disclosure Project. Five hypotheses are presented to explain the factors influencing management's decision to disclose this information. These hypotheses include a response to shareholder activism, domestic institutional investor shareholder activism, signalling, litigation risk, and low cost publicity. Both binary logistic regressions as well as a cross-sectional analysis of the equity market's response to the environmental disclosures being made were used to test these hypotheses. Support was found for shareholder activism, low cost publicity, and litigation risk. However, the equity market's response was not found to be statistically significant.

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.

Market reactions to changes in the Nasdaq-100 Index membership

We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.

The form and function of aggressive subtypes: Relations with the goodness of fit between adolescent temperament and parent personality

The current research investigated whether the interaction between adolescent temperament and parent personality, consistent with the goodness of fit perspective, differentially predicted overt (e.g., kicking, punching, insulting) and relational (e.g., gossiping, rumour spreading, ostracising) forms of reactive (e.g., provoked, a response to goal blocking, unplanned and emotional) and proactive (e.g., unprovoked, goal-directed, deliberate and relatively unemotional) aggression. Mothers, fathers and their adolescent child (N = 448, age 10-17) from southern Ontario, Canada filled out questionnaires on adolescent temperament (i.e., frustration, fear, and effortful control) and aggression. Parents reported on their own personality traits (i.e., agreeableness, conscientiousness, and emotional stability). The form and function of aggression not encompassed by the subtype under investigation were controlled in each regression analysis. Consistent with the hypothesis, results indicated that a poor fit between adolescent temperament vulnerabilities and lower parent personality traits, including agreeableness, conscientiousness and emotional stability, was predictive of greater levels of differentiated aggression. For instance, lower father conscientiousness strengthened the relation between higher frustration and reactive overt aggression. Unexpectedly in some cases, temperament risk factors were more strongly associated with aggression subtypes when personality scores were at higher levels, particularly agreeableness and conscientiousness, traits normally considered to be at the optimal end of the dimension. For example, higher father agreeableness strengthened the relation between higher frustration and reactive relational aggression. At the main effects level, low fearfulness was significantly associated with only the overt subtypes of aggression, and unexpectedly, higher frustration and lower effortful control were related to both proactive and reactive subtypes of aggression. A temperamentally vulnerable adolescent was also at greater risk of displaying aggressive behaviour when the father lacked emotional stability, but not the mother. These results are broadly consistent with the prediction that temperament risk factors are more strongly associated with aggression subtypes when an adolescent predisposition does not fit well with parent personality traits. Mechanisms pertaining to stress in the family environment and the fostering of self-regulation abilities are discussed with respect to why a poor fit between temperament and parent personality is predictive of adolescent differentiated aggression.

ASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADA

Emerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.

Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Macroeconomic News and LOB in Foreign Exchange ECN Market

We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.

Fit For Action: A Comparative Case Study of the Implementation of an Adaptive Fitness and Conditioning Program for Moderate Functioning Teens and Transition Age Youth with ASD

The purpose of my research was to develop and refine pedagogic approaches, and establish fitness baselines to adapt fitness and conditioning programs for Moderate-functioning ASD individuals. I conducted a seven-week study with two teens and two trainers. The trainers implemented individualized fitness and conditioning programs that I developed. I conducted pre and post fitness baselines for each teen, a pre and post study interview with the trainers, and recorded semi-structured observations during each session. I used multi-level, within-case and across case analyses, working inductively and deductively. My findings indicated that fundamental movement concepts can be used to establish fitness baselines and develop individualized fitness programs. I tracked and evaluated progressions and improvements using conventional measurements applied to unconventional movements. This process contributed to understanding and making relevant modifications to activities as effective pedagogic strategies for my trainers. Further research should investigate fitness and conditioning programs with lower functioning ASD individuals.