Segal Graduate School of Business Final Projects

Receive updates for this collection

DETERMINANTS OF BANK PROFITABILITY: EVIDENCE FROM US

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-12
Abstract: 

This paper examines the variables that affect bank profitability. We construct a sample of US banks from 2003 to 2015, and use return on assets (ROA) and return on equity (ROE) to measure bank profitability. We find that banks with higher profitability are the banks that have: (1) a higher deposits to total asset ratio, (2) a higher diversification ratio, and (3) higher operational efficiency. We also find that better-capitalized banks tend to be more profitable only when we use ROA as the measure of profitability. Furthermore, loans have a positive impact on profitability before the financial crisis, but not during the crisis. Size has a positive impact on profitability when the bank is small.

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

LAGGED IDIOSYNCRATIC RISK AND ABNORMAL RETURN

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-12
Abstract: 

According to financial theory, idiosyncratic risk is eliminated within a diversified portfolio andtherefore should not be related to expected return. However, in the last decade financial economistshave started to debate and provide evidence that showed that either idiosyncratic risk is positivelyor negatively related to future abnormal return.Our paper follows these recent studies and examines the relationship between idiosyncraticvolatility and abnormal return in the following year. Hence, our measure of idiosyncratic volatilityis an annual measure, and we use it to predict the abnormal return in the following year. We dividecompanies into five tranches of idiosyncratic volatility level each year, and then analyse andcompare their abnormal return in the following year.Our result suggests that stock returns are negatively related to the one-year lagged idiosyncraticvolatilities. Most important, it seems that most of the explanatory power is derived from the highestidiosyncratic volatility level stocks as they yield the most negative abnormal returns in thefollowing year.

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

EFFECTS OF SHADOW BANKING ON HOUSE PRICES - EMPIRICAL STUDY BASED ON CANADIAN REAL ESTATE MARKET

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-12
Abstract: 

Canadian housing market, known for its robustness and stabilization, has continuedbooming for over 10 years even during the housing bubbles burst period. Especially in the past fewyears, real estate GDP has represented approximately half of Canada’s Economic growth, wheremost of the outsized contribution lies in the rising section of shadow banking system.In this paper, we introduce the current situation of shadow banking system, analyse thecorrelation between mortgage balances from shadow banks, chartered banks and Canadian housingprices by building up Vector Auto Regression model, Impulse Response Function, and VariationDecomposition. The empirical results show that the house prices respond to the mortgage balancefrom shadow banks to some extent, and chartered banks also play a role. However, the mortgageoutstanding in shadow banks do not respond to change in house prices in return. In the end, weoffer some corresponding policy suggestions based on the analysis.

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

Market Volatility around U.S. Presidential Election (1928-2016): The Role of Political Uncertainty

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-12
Abstract: 

This paper investigates the changes in market volatility around the United States presidential elections and inaugurations between the period of 1928 and 2016 during selected event windows: (-10, -1) vs. (+1, +10), (-20, -1) vs. (+1, +20), … (-90, -1) vs. (+1, +90), respectively. To isolate the corresponding impact of different types of political uncertainty, market volatility is examined under three partitions: magnitude of surprise in voting results, incumbency, and change in ruling party. The result indicates that the market volatility is more willing to settle down after an election with new president or a change in ruling party, mainly due to the comparatively higher volatility induced by such political events during the pre-election window. The results have implications for both individual and institutional investors who are exposed towards volatility risk.

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

THE PERFORMANCE OF SOCIALLY RESPONSIBLE MUTUAL FUNDS

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-12
Abstract: 

Socially responsible investing (SRI) is a growing practice in the investment management industry which seeks to incorporate environmental, social and corporate governance factors into the investment decision-making process. Arguments have been made for and against it, and previous research has sought to answer the question of whether funds of this type outperform their conventional counterparts.This study explores the performances of both types of funds on a before-fee basis and analyzes the impact fees have. We show that in the US from 1997-2017, SRI mutual funds after fees significantly underperform conventional funds after adjusting for market risk. Accounting for four risk factors, however, we find no significant difference in performance. Further, we find no significant difference in fees for the period. Analyzing the two 10-year subperiods of our test period, we find that SRI funds likely improve over the sample period and the performance of conventional funds likely deteriorates on a relative basis.

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

FUNDAMENTALS AFFECTING CANADIAN HOUSING MARKET

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-12
Abstract: 

This paper studies the underlying long-term relationship between economic factors and house prices growth in Canada. Fundamentals used include, monthly real interest rate, mortgage rate, rental vacancy rate, rents and integrated Cost of Housing Capital. Monthly data for a time range of 10 years was used for the fitted regression and standard multi-factor regression model. Analysis that was conducted in this paper serve the purpose of examining the dynamics and correlations between fundamental variables and future growth rate of real estate prices.On top of confirming results from previous studies on the strong responsiveness that house prices have to the movements of general economic conditions and the correlations with economic fundamentals, this paper goes further to compare these indicators with the objectives of finding out their predicting abilities. Results from the model specifically studies the correlation coefficients between growth rate of housing market with several economic fundamentals, such as the price to rent ratio, vacancy rate and the cost of housing capital.

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

MUTUAL FUND PERFORMANCE ANALYSIS PRE AND POST FINANCIAL CRISIS OF 2008

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-12
Abstract: 

Using a sample of 955 mutual funds, free of survivorship bias, we analyse the performance of diversified equity mutual funds in the United States of America that invest solely in stocks listed on the U.S. stock exchanges before and after the financial crisis of 2008. We categorize all mutual funds into their respective strategy including value, growth, and blend in order to see any relationship with respect to their strategic focus.We find that mutual funds were not able to provide a positive alpha, neither before nor after the financial crisis of 2008. These findings are consistent with other researchers such as Mark M. Carhart (1997) and Michael C. Jensen (1969).Moreover, by using Fama and French`s (1993) 3 - factor model plus an additional momentum factor, we can perceive a strong relationship between the factors size and momentum and the overall performance of mutual funds.

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

CAN FIRM GOVERNANCE EXPLAIN THE DIFFERENCES THAT EXIST BETWEEN SALES AND EPS FORECAST ERRORS?

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2017-12
Abstract: 

This study explores the differences that exist between sales and EPS forecast errors in a corporate governance’s perspective. We hypothesize that analysts have a harder time to forecast sales than EPS because firms have a greater ability to control EPS than sales figures. We also hypothesize the difference in absolute forecast error of sales and EPS is larger in weak governance firms, as these firms may tend more often to manipulate their earnings. We employ four variables as proxies of corporate governance: the number of analysts, market capitalization, institutional ownership percentage and years since IPO. We find that the better the corporate governance, the more accurate are analysts’ sales and EPS forecasts. Consistent with the idea that sales are much harder to manipulate, we find that firm with better governance has a smaller difference between the two measures of error. Overall, these results are new and may have important implications for better understanding the governance environment of firms.

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

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