Business Commons^™

Three Essays On The Financial Capital Markets, Diep Nguyen

Electronic Thesis and Dissertation Repository

This thesis is comprised of three integrated studies highlighting the financial capital markets and corporate finance decisions in response to market conditions.

The first study (Chapter 2) looks at the stock-like/bond-like behavior of Canadian income trusts, in particular how the sensitivities of income trusts’ returns to stock and bond market factors change over time, around different events, and depending on corporate strategy and firm characteristics. We find that income trusts are priced more like bonds compared to matched corporations before a surprise announcement that removes the tax advantage of income trusts (the Tax Fairness Plan announcement), while they become more …

Three Essays In Empirical Finance, Srikanth Ramani

Electronic Thesis and Dissertation Repository

This thesis includes three essays in mutual funds, empirical finance, and asset pricing.

The first essay explores the relation between mutual fund ownership and how it affects firms’ corporate social responsibility (CSR) engagements. The essay classifies mutual funds into CSR-friendly and CSR-unfriendly funds using a holdings-based, value-weighted mutual fund corporate social rating (MFCSR). The empirical results show that firms with higher CSR-friendly ownership are associated with increased future levels of CSR and the firms with higher CSR-unfriendly ownership are associated with decreased future levels of CSR. This result is robust after controlling for many observable firm characteristics and firm-specific unobservable …

Three Essays On Structural Models, Xinghua Zhou

Electronic Thesis and Dissertation Repository

My thesis includes three papers on contingent claims valuation of corporate securities using structural models of credit risk. Our study focuses on structural models and their applications in estimating damages in security class actions, option pricing and warrant pricing. Securities class actions typically involve some misrepresentation by a firm that overstates its true value. In securities class actions econometric models are used to assess damages to shareholders. However, studies on measuring damages for debt-holders are limited. My first paper uses a modified Merton framework to measure the impact of misrepresentation on the value of other components (e.g., debt, warrants) of …

Some Applications Of Higher-Order Hidden Markov Models In The Exotic Commodity Markets, Heng Xiong

Electronic Thesis and Dissertation Repository

The liberalisation of regional and global commodity markets over the last several decades resulted in certain commodity price behaviours that require new modelling and estimation approaches. Such new approaches have important implications to the valuation and utilisation of commodity derivatives. Derivatives are becoming increasingly crucial for market participants in hedging their exposure to volatile price swings and in managing risks associated with derivative trading. The modelling of commodity-based variables is an integral part of risk management and optimal-investment strategies for commodity-linked portfolios. The characteristics of commodity price evolution cannot be captured sufficiently by one-state driven models even with the inclusion …