Segal Graduate School of Business Final Projects

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A Functional Analysis and Recommendations for Information Systems to Support the Department of Chemistry at Simon Fraser University

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-02-27
Abstract: 

A functional analysis of the information systems used in support of the teaching program of the Department of Chemistry at Simon Fraser University was undertaken. The portfolio of applications was considered from the context of theoretical frameworks and models to facilitate better understanding of the current information technology environment of the department. Underlying management and operational processes supported by information sysems are parsed out for comparison to process solutions across the Faculty of Science. Recommendations and an implementation plan for modernization of business processes and the supporting information systems are presented.

Document type: 
Graduating extended essay / Research project
File(s): 
Senior supervisor: 
Reich, Blaize
Department: 
Beedie School of Business-Segal Graduate School

INTRODUCING 500 FOODS

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-02-27
Abstract: 

This paper explores a new idea-stage venture, 500 Foods. This venture plans to grow and directly market a wide variety of fresh produce using entirely different methods than those used by the greenhouse industry today, using shipping containers for the primary growing system. An overview of the agriculture industry is provided, followed by the development of a benchmark greenhouse model. The methods 500 Foods is proposing are introduced and compared to thisbenchmark. This is followed by an implementation plan, detailing the phases and financial metrics that 500 Foods may use on its way to reaching its objectives.

Document type: 
Graduating extended essay / Research project
File(s): 
Senior supervisor: 
Reich, Blaize
Department: 
Beedie School of Business-Segal Graduate School

ADVERTISING ON FACEBOOK: THE EFFECT ON FUND FLOWS OF FUND FAMILY

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-02-27
Abstract: 

Using data for the top 100 US mutual fund families for the period between Jan 2009 to Jun 2016, this paper studies the relationship between mutual fund families’ advertising on Facebook and their fund flow. In particular, I examine whether advertising via social media helps mutual funds to attract new fund flow. I also include the number of followers to proxy for visibility and past returns to control for performance. In line with previous research, I find that large part of the variation in the mutual fund flows remains unexplained. My findings suggest that the effect of higher attention drawn by social media advertising on the new fund flow (although positive) is weak.

Document type: 
Graduating extended essay / Research project
File(s): 
Senior supervisor: 
Atanasova, Christina
Department: 
Beedie School of Business-Segal Graduate School

PRIVATE EQUITY: ITS ROLE IN PORTFOLIO OPTIMIZATION

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-02-23
Abstract: 

Alternative investments have increasingly been used to complement a traditional portfolio of stocks and bonds. Among them, Private Equity is found to be able to provide diversification benefits and higher expected returns. This study uses the traditional mean-variance portfolio optimization process with several inputs: “equilibrium” returns for the traditional assets as a neutral starting point generated by the Black-Litterman model; and a range of expected returns of private equity fund types. We find that private equity funds in earlier stages are more suitable for investors seeking higher expected returns and with higher levels of risk appetite, while private equity in later stages are more suitable for investors with lower risk appetite, seeking for more modest levels of returns. In both cases, it is notable that the portfolio gains efficiency after the inclusion of private equity. The diversification benefits from low correlations are also observed.

Document type: 
Graduating extended essay / Research project
File(s): 
Senior supervisor: 
Klein, Peter
Department: 
Beedie School of Business-Segal Graduate School

INVESTING IN GLOBAL EXCHANGE-TRADED FUNDS: A RISK PARITY APPLICATION

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-02-23
Abstract: 

In this paper, I examine the use of Risk Parity for enhancing performance in the portfolioconstituted of Global Exchange-Traded Funds across nine asset classes. The study is supported bytwo sample periods. In the first sample period from September 2008 to October 2016, UnleveredRisk Parity strategy is compared with two benchmark strategies on risk-adjusted returns. In thesecond sample period, 2011- 2016, other two Levered Risk Parity portfolios that have differentconstruction principles are added into comparison to analyze the influence of leverage in RiskParity strategy. The results show that Risk Parity strategy do enhance the portfolio performancewith higher Sharpe ratio and lower annualized standard deviation, but I have also found that theperformance of trading strategy is sensitive to the selected sample periods. And the use ofleverage in Risk Parity strategy has increased cumulative returns and remained a comparably highSharpe ratio.

Document type: 
Graduating extended essay / Research project
Senior supervisor: 
Christina Atanasova
Department: 
Beedie School of Business-Segal Graduate School

IMPACT OF THE 2016 US PRESIDENTIAL ELECTION ON THE VOLATILITY OF THE US CAPITAL MARKETS

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-02-23
Abstract: 

This paper examines the impact of the 2016 US Presidential Election on the volatility of theUS capital markets. In addition to the election date, we analyze seven other events that are potentiallyinfluential to the direction of the election outcome, thus affecting the reaction of the US market. Ouraim is to confirm past findings that suggest escalating volatility fluctuations surrounding an electionperiod, and whether any related events would have any impacts on the stability of the capital markets.Our result suggests that the 2016 US Presidential Election can be considered a unique case inthat the reaction of the capital markets throughout the election period and any related news isrelatively calm, and showing little signs of turbulence. We found that a 31-days event windowsurrounding an election date is the optimal window that portrays the reaction of the capital marketstoward the election.

Document type: 
Graduating extended essay / Research project
File(s): 
Senior supervisor: 
Atanasova, Christina
Department: 
Beedie School of Business-Segal Graduate School

Home Bias, Abnormal Return and GDP Growth

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2016-10
Abstract: 

We build on the home bias phenomenon and hypothesize that company performance as measured by abnormal return is correlated with the GDP growth rate of the state in which its headquarter is located. We categorized all companies on CRSP database from Wharton Research Data Services (WRDS) by state and region. We find that the abnormal return of companies in a given state tends to correlate with next year GDP growth of that state, which is consistent with the home bias phenomenon in that states tend to be better off when the local firms generate positive alphas.

Document type: 
Graduating extended essay / Research project
Senior supervisor: 
Amir Rubin
Department: 
Beedie School of Business - Segal Graduate School

Market Reactions to Earnings Surprise and Revenue Surprise

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2016-10
Abstract: 

This study is based on Kama’s (2009) research on the difference between the market reactions to revenue surprise compared to earnings surprise. In addition, we analyse the effect of corporate governance on these results. We show that earnings surprise has a more significant effect on market reactions than revenue surprise. Furthermore, the market reacts more to earnings information when companies have good corporate governance as measured by analyst following. Interestingly, the market reacts stronger to revenue surprise than earnings surprise in high R&D intensity companies.

Document type: 
Graduating extended essay / Research project
Senior supervisor: 
Amir Rubin
Department: 
Beedie School of Business - Segal Graduate School

How Markets React to Different Types of Mergers

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2016-10
Abstract: 

This paper analyzes the merger data for the period of 1994-2011 for the US companies and identifies the characteristics driving M&A performance. We analyze two-day abnormal returns for M&A announcements by public acquiring firms to test whether the market reacts differently to the type of target firms, the fundamentals of the target, and the target firm’s industry. The key contribution of our study is that we examine whether the market has a preference for delisted firms acquired in the M&A activity. Although the number of ‘Delisted and Acquired’ firms is small during the period analyzed, we find that the market reaction to M&A of non-delisted public target firms is more negative than that of the delisted public target firms. More generally, we also find that acquisitions of private firms induce a positive reaction for the acquirer, in contrast with acquisitions of public firms. Further, the characteristics of the target and acquirer firms, such as firm performance, do not play a huge role in market reactions to a merger except for the delisted status of a firm.

Document type: 
Graduating extended essay / Research project
Senior supervisor: 
Alexander Vedrashko
Department: 
Beedie School of Business - Segal Graduate School

Post-Merger Performance of Acquiring Firms from Different Industries in the US

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2016-10
Abstract: 

In today’s International economic integration and globalization, mergers and acquisitions (M&A) are playing an increasingly important role all over the world in aspects of providing significant opportunities for significant growth, expanding core areas of interest, increasing shareholders value and gaining greater market shares. Our research study aimed to analyze the influence of mergers on the operating performance of the acquiring firms in different industries, by examining some pre-merger and post-merger financial ratios, with the sample of firms chosen as all mergers involving public companies in the US between 2008 and 2012. The results demonstrate that there are minor variations in terms of impact on operating performance following mergers, in different industries in the US. In particular, mergers seem to have had a slightly positive impact on firm profitability in the Financials Industry, Healthcare Industry, Technology Industry and Industrials sector. The Energy and Power Industry and Retail Industry saw a marginal negative impact on operating performance (in terms of profitability and returns on investment). For the Healthcare Industry and Industrials Industry, mergers had caused a decline related to returns on investment and assets.

Document type: 
Graduating extended essay / Research project
Senior supervisor: 
Christina Atanasova
Department: 
Beedie School of Business - Segal Graduate School