Segal Graduate School of Business Final Projects

Receive updates for this collection

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No, item is not peer reviewed.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No, item is not peer reviewed.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No, item is not peer reviewed.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

Relationship Between Noninterest Income and Bank Valuation: Evidence from the U.S. Bank Holding Companies

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No, item is not peer reviewed.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

This paper investigates the impact of noninterest income on bank valuation using 625 U.S. Bank Holding Companies over the period 2003-2015. We use two measures of valuation: Tobin’s q and the market-to-book ratio. Using the whole sample, we find a positive relation between noninterest income and valuation. We then divide banks in our sample into three groups based on size, and the sample period into three sub-periods. We find that noninterest income is positively related to valuation (1) for large banks in each sub-period, (2) for medium-sized banks during and after the financial crisis of 2007-2009, and (3) for small banks after the financial crisis.

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

Mortgage Insurance and Real Estate Returns: A North American Perspective

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No, item is not peer reviewed.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

This article explains the link between mortgages insured by government agencies and the underlying house price, in both Canada and the United States of America (USA). Overall, American states with fewer insured mortgages relative to all mortgages originated experience a larger real estate price decline during an economic downturn despite a lower concentration of risky consumers in those areas. Canadian mortgage insurance data is virtually unavailable although over 50 percent of all residential mortgages are insured in Canada. Canadian insurance data, provided by the Canadian Mortgage and Housing Corporation (CMHC), is sparse and does not allow for as in-depth of an analysis of mortgage insurance in the Canadian market versus that of the USA. Proposed regulations will make mortgage insurance harder to obtain and may actually strengthen the Canadian real estate market. Unfortunately, the CMHC has refused to release valuable mortgage insurance data and a thorough analysis cannot be conducted.

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