Using a Bayesian model for bankruptcy prediction : a comparative approach

The purpose of this study is to examine the impact of the choice of cut-off points, sampling procedures, and the business cycle on the accuracy of bankruptcy prediction models. Misclassification can result in erroneous predictions leading to prohibitive costs to firms, investors and the economy. To test the impact of the choice of cut-off points and sampling procedures, three bankruptcy prediction models are assessed- Bayesian, Hazard and Mixed Logit. A salient feature of the study is that the analysis includes both parametric and nonparametric bankruptcy prediction models. A sample of firms from Lynn M. LoPucki Bankruptcy Research Database in the U. S. was used to evaluate the relative performance of the three models. The choice of a cut-off point and sampling procedures were found to affect the rankings of the various models. In general, the results indicate that the empirical cut-off point estimated from the training sample resulted in the lowest misclassification costs for all three models. Although the Hazard and Mixed Logit models resulted in lower costs of misclassification in the randomly selected samples, the Mixed Logit model did not perform as well across varying business-cycles. In general, the Hazard model has the highest predictive power. However, the higher predictive power of the Bayesian model, when the ratio of the cost of Type I errors to the cost of Type II errors is high, is relatively consistent across all sampling methods. Such an advantage of the Bayesian model may make it more attractive in the current economic environment. This study extends recent research comparing the performance of bankruptcy prediction models by identifying under what conditions a model performs better. It also allays a range of user groups, including auditors, shareholders, employees, suppliers, rating agencies, and creditors' concerns with respect to assessing failure risk.

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.

Liquidity, institutional ownership and regulation fair disclosure

There is a body of academic literature addressing two issues of importance for leveling the playing field for all classes of investors: 1) the impact of institutional investors on liquidity; and 2) the impact of Regulation Fair Disclosure on institutional investors and liquidity. Our study addresses both issues with the purpose of attaining a better understanding and explanation of this relationship. We classify institutional ownership according to Bushee's (1998, 2001) methodology; transient institutions, dedicated institutions and quasi-indexers. Our results indicate that while transient institutions and quasi-indexers have a positive impact on liquidity, dedicated institutional ownership is negatively associated with liquidity. This result is consistent with prior theoretical studies. We also find that the effectiveness ofthe Regulation Fair Disclosure in improving liquidity is limited to firms with higher transient institutional ownership, whereas quasi-indexed institutions have not been significantly affected by the regulations. In fact, the liquidity of firms is lower for firms with higher dedicated institutional holdings, which is evidence of the "chilling effect".

Accountants' ethical sensitivity

O'Fallon and Butterfield (2005) in a review of the business ethics literature concluded that "ethical awareness" also called ethical sensitivity has received the least attention of the four steps in Rest's (1986) ethical decision making model. Available measures for ethical sensitivity are limited to specific contexts and suffer from several limitations. I extend the previous literature by creating a new measure for ethical sensitivity (AESS) that encompasses relevant dimensions for the accounting profession and is not specific to a particular setting. I also introduce a new individual differences variable to the accounting ethics literature. Specifically, I investigate the relationship between anti-intellectualism and ethical awareness. My findings support AESS as a measure of ethical sensitivity.

The information content of Canadian implied volatility indexes

For predicting future volatility, empirical studies find mixed results regarding two issues: (1) whether model free implied volatility has more information content than Black-Scholes model-based implied volatility; (2) whether implied volatility outperforms historical volatilities. In this thesis, we address these two issues using the Canadian financial data. First, we examine the information content and forecasting power between VIXC - a model free implied volatility, and MVX - a model-based implied volatility. The GARCH in-sample test indicates that VIXC subsumes all information that is reflected in MVX. The out-of-sample examination indicates that VIXC is superior to MVX for predicting the next 1-, 5-, 10-, and 22-trading days' realized volatility. Second, we investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices. We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts. We conclude that VIXC cannot incorporate all information contained in historical index prices for predicting future volatility.

The effect of governance mechanism and structure on fees and performance of Mutual Funds in Canada

Taking advantage of the unique Canadian setting, this study empirically analyzes the impact of presence of the board of directors, as an internal governance mechanism, on fees and performance of mutual funds. Further, the impact of the board structure on fees and performance of corporate class funds is analyzed. We find that corporate class funds, which have a separate board of directors for the fund, charge higher fees; however, they also provide superior performance than trust funds. Furthermore, we find that for corporate class funds, smaller board, with higher percentage of independent directors, and with the fund CEO acting as the chairman of the board is likely to charge lower fees. Also, more independent boards are strongly associated with superior fee-adjusted performance.

Unveiling the Influence of Consumer Wine Appreciation Dimension on Purchasing Behavior

Consumption values and different usage situations have received extensive interest from scholars; however, there is a lack of understanding regarding how these two constructs interact when it comes to the purchase decisions of consumers. This study examines the relationship between consumption values, consumption situations, and consumers’ purchasing decisions in terms of their willingness to pay and the purchase quantity. First of all, my model proposes that all four consumption values and different situations have a positive effect on consumers’ willingness to pay as well as the quantity they purchase. It also proposes that varying usage situations moderate the effect of consumption values on consumers’ purchasing decisions. In my conceptual model, I have also integrated the epistemic and conditional values where there is a gap in the existing literature. Prior literature has isolated the consumption values when studying how they affect consumer behavior and has not examined how consumption situations moderate the relationship between consumption values and purchasing decisions. Also, the existing literature has mostly focused on how consumption values affect purchase intentions, brand loyalty, or satisfaction, whereas my study focuses on purchasing decisions. For my study, the participants were randomly chosen from the general wine consumer population and the age range was between 20 and 75, which included 83 male respondents and 119 female respondents. The data received from my respondents support my hypotheses for the model. In my final chapter, I discuss the theoretical and managerial implications as well as suggestions for future research.

Information Asymmetry and Accounting Conservatism under IFRS Adoption

LaFond and Watts (2008) provide evidence that information asymmetry might be a determinant of accounting conservatism. One implication of their paper is that regulators trying to reduce information asymmetry by lowering the level of accounting conservatism might be wrong. However, there is a trend in moving away from conservative accounting. The typical example is IFRS adoption. Therefore, this paper studies information asymmetry and accounting conservatism under IFRS adoption. The results show that the level of accounting conservatism decreases after mandatory IFRS adoption, but the adoption of IFRS is likely to weaken the relationship between information asymmetry and accounting conservatism. Moreover, this paper investigates how the change of accounting conservatism under IFRS is related to the change in information environment. The finding shows that accounting conservatism increases information environment, supporting the idea that, by providing comparatively credible information, conservative accounting is beneficial to the information environment.

History and Theorizing: The Case of Winemaking in the Ontario Wine Industry

Despite the fact that theorization has been established as an important social mechanism in a variety of contexts, little research has explicated how this process works. I argue that theorization entails strategic constructions of history, or rhetorical history, in order to persuade audiences of legitimacy. I examine the role that history plays in actors’ theorizations of the Ontario wine industry as world class. By conducting a rhetorical analysis of the newsletters and websites of Ontario wineries, I find that various themes of history are routinely employed to re-theorize the industry as one that produces world class wines. In general, the findings suggest that the narratives of Ontario wineries tap into global repertoires of fine wine to portray the continuity of current practices with those of Old World winemaking. In addition, wineries sometimes tap into local histories to convey a sense of uniqueness, but they also obscure the history of poor winemaking in the region.

CEO Compensation, Compensation Risk, and Corporate Governance: Evidence from Technology Firms

Literature suggests that CEOs of technology firms earn higher pay than CEOs of non-technology firms. I investigate whether compensation risk explains the difference in compensation between technology firms and non-technology firms. Controlling for firm size and performance, I find that CEOs in technology firms have higher pay, but also have much higher compensation risk compared to non-technology firms. Compensation risk explains the major part of the difference in CEO pay. My study is consistent with the labor market economics view that CEOs earn competitive risk-adjusted total compensation.

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.

Office of the University President Sous fonds: Dr. James A. Gibson

Dr. James A. Gibson was born in Ottawa on January 29, 1912 to John W. and Belle Gibson. At an early age the family moved to Victoria, B.C. where John W. Gibson was a director of the Elementary Agricultural Education Branch, Department of Education. Gibson received his early education in Victoria, receiving a B.A. (honours) at UBC in 1931. In 1931 he was awarded the Rhodes scholarship and received his B.A., M.A., B.Litt and D. Phil at New College, Oxford. This was to be the beginning of a long and dedicated relationship with the Rhodes Scholar Association. Upon his return to Canada, Dr. Gibson lectured in Economics and Government at the University of British Columbia. In 1938 he was married to Caroline Stein in Philadelphia, and the same year joined the staff of the Department of External Affairs as a Foreign Service officer. Within twenty minutes of his arrival he was seconded to the Office of the Prime Minister and Secretary of State for External Affairs, W. L. Mackenzie King in charge of War Records and Liaison Officer. This was a critical time in the history of Canada, and Dr. Gibson experienced firsthand several milestones, including the Royal Visit of King George VI and Queen Elizabeth in 1939. Dr. Gibson was present at the formation of the United Nations in San Francisco in 1945, being part of the Prime Minister’s professional staff as well as attending conferences in Washington, Quebec and London as an advisor to the Canadian delegation. Gibson contributed many articles to the publication bout de papier about his experiences during these years. After his resignation in 1947, Gibson joined the staff of the fledgling Carleton College, as a lecturer. In 1949 he was appointed a professor and in 1951 became Dean of Arts and Sciences. Dr. Gibson acted as President from 1955 to 1956 upon the sudden death of Dr. MacOdrum. In 1963 Dr. Gibson accepted the invitation of the Brock University Founders’ Committee, chaired by Arthur Schmon, to become the founding president. Dr. Gibson guided the new University from a converted refrigeration plant, to an ever expanding University campus on the brow of the Niagara Escarpment. Dr. Gibson remained firmly “attached” to Brock University. Even after official retirement, in 1974, he retained the title President Emeritus. Gibson’s final official contribution was an unpublished ten year history of the University. In retirement Gibson remained active in scholarly pursuits. He was a visiting scholar at the Center of Canadian Studies, University of Edinburgh; continued his ongoing research activities focusing on W. L. Mackenzie King, the Office of the Governor General of Canada, and political prisoners transported to Van Dieman’s Land. He remained active in the Canadian Association of Rhodes Scholars, becoming editor from 1975 to 1994 and was appointed Editor Emeritus and Director for Life in 1995 in honour of his dedicated and outstanding service. In 1993 he was awarded one of Canada’s highest achievements, the Order of Canada. Gibson retained close ties with Brock University and many of its faculty. He maintained an office in the Politics Department where he became a vital part of the department. In 1996 Brock University honoured Gibson by naming the University Library in his honour. James A. Gibson Library staff was instrumental in celebrating the 90th birthday of Gibson in 2002, with a widely attended party in the Pond Inlet where many former students, including Silver Badgers. The attendees also included former and current colleagues from Brock University, Canadian Rhodes Scholars Association, family and friends. Gibson was later to remark that the highlight of this event was the gift of his original academic robe which he had personally designed in 1964. In 2003 Dr. Gibson moved to Ottawa to be near some of his children and the city of his birth and early career. In that year “two visits to Brock ensued: the first, to attend a special celebration of the James A. Gibson Library; his late to attend the 74th Convocation on Saturday, October 18, 2003. A week later, in Ottawa, he went for a long walk, returned to his residence, Rideau Gardens, went into the lounge area, took off his coat and folded it up, put it on the back of his chair, sat down, folded his hands in his lap, closed his eyes, and died”. With sources from: Carleton University The Charlatan, Gibson CV, and Memorial Service Programme

Beyond the Veil: A Case Study of Context, Culture, Curriculum, and Constructivism at Dubai Women's College

This case study of curriculum at Dubai Women's College (DWC) examines perceptions of international educators who designed and implemented curriculum for female Emirati higher-educational students in the UAE, and sheds light on the complex social, cultural, and religious factors affecting educational practice. Participants were faculty and supervisors, mainly foreign nationals, while students at DWC are exclusively Emirati. Theories prominent in this study are: constructivist learning theory, trans formative curriculum theory, and sociological theory. Change and empowerment theory figure prominently in this study. Findings reveal this unique group of educators understand curriculum theory as a "contextualized" construct and argue that theory and practice must be viewed through an international lens of religious, cultural, and social contexts. As well, the study explores how mandated "standards" in education-in the form of the International English Language Testing System (IEL TS) and integrated, constructivist curriculum, as taught in the Higher Diploma Year 1 program-function as dual curricular emphases in this context. The study found that tensions among these dual emphases existed and were mediated through specific strategies, including the use of authentic texts to mirror the IEL TS examination during in-class activities, and the relevance of curricular tasks.

Keyword Competition and Determinants of Ad Position in Sponsored Search Advertising

Given the significant growth of the Internet in recent years, marketers have been striving for new techniques and strategies to prosper in the online world. Statistically, search engines have been the most dominant channels of Internet marketing in recent years. However, the mechanics of advertising in such a market place has created a challenging environment for marketers to position their ads among their competitors. This study uses a unique cross-sectional dataset of the top 500 Internet retailers in North America and hierarchical multiple regression analysis to empirically investigate the effect of keyword competition on the relationship between ad position and its determinants in the sponsored search market. To this end, the study utilizes the literature in consumer search behavior, keyword auction mechanism design, and search advertising performance as the theoretical foundation. This study is the first of its kind to examine the sponsored search market characteristics in a cross-sectional setting where the level of keyword competition is explicitly captured in terms of the number of Internet retailers competing for similar keywords. Internet retailing provides an appropriate setting for this study given the high-stake battle for market share and intense competition for keywords in the sponsored search market place. The findings of this study indicate that bid values and ad relevancy metrics as well as their interaction affect the position of ads on the search engine result pages (SERPs). These results confirm some of the findings from previous studies that examined sponsored search advertising performance at a keyword level. Furthermore, the study finds that the position of ads for web-only retailers is dependent on bid values and ad relevancy metrics, whereas, multi-channel retailers are more reliant on their bid values. This difference between web-only and multi-channel retailers is also observed in the moderating effect of keyword competition on the relationships between ad position and its key determinants. Specifically, this study finds that keyword competition has significant moderating effects only for multi-channel retailers.

Burgoyne Centre for Entrepreneurship fonds

An Entrepreneurship Centre was established at Brock University in 1988 as a joint venture between the University and the City of St. Catharines. In Januaray 1989, a generous donation was made to the Centre by the Burgoyne family, proprietors of the St. Catharines Standard. The Centre subsequently became known as the Burgoyne Centre for Entrepreneurship (BCE). The Centre’s mission was to “promote excellence in research, education and training for entrepreneur development and new venture creation”. To achieve this objective, it was necessary for the BCE to become a community focal point and serve as a link between academic, private and government sectors in the Niagara Region that were involved in entrepreneurial activities. This was primarily done with the provision of educational programs offered through cooperating organizations. Funding for the Centre came from multiple sources, including fees for services and contract research, endowments and grants, as well as Brock University. An Advisory Council, composed of local prominent businesspeople and chaired by Henry Burgoyne, assisted the Centre with promotion and fundraising. The partnerships established by the BCE with other community bodies such as the Lincoln County Board of Education and the Niagara Region Development Corporation resulted in important collaborative community initiatives such as the Niagara Enterprise Agency and the New Enterprise Store. Such collaborations increased the Centre’s profile without duplicating or competing with services offered by existing agencies. The BCE was also instrumental in establishing an entrepreneurship curriculum for secondary school students, and collaborated with the Faculty of Education at Brock University to offer an Ontario Secondary School Entrepreneurship Specialist Teaching Certificate Program to teachers. As the BCE became more prolific in the community, and the iniatives it fostered in the community began to thrive, the Centre’s leadership required the authority to make instantaneous decisions. This was at odds with the hierarchical structure of the University, to which the BCE was accountable. Ultimately, this situation led to the demise of the Centre. The university focused its efforts on academic research and undergraduate courses, while the community partners took responsibility for any joint programs.