Segal Graduate School of Business Final Projects

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WOMEN ON BOARD AND FIRM PERFORMANCE

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

This paper analyzes whether having a woman on the Board of Directors can affect a North American firm’s performance. We compare firms with and without female directors on the board and assess their performance. Our two contradicting results—namely, that the presence of women on board negatively affects a firm’s performance and that firms with women on board outperformed ones without women on board—show that further research is needed to verify the true nature of this relationship.

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

WHAT INFLUENCES ANALYSTS’ FORECAST ACCURACY: THE FIRM’S ENVIRONMENT OR THE ANALYST’S CHARACTERISTICS

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

The objective of this paper is to quantify to what extent the absolute forecast error (hence, forecast error) of an analyst is dependent on the analysts’ ability and to what extent it is dependent on the firm’s environment. We analyze this question using the entire I/B/E/S file during the period from January 1992 to January 2019. Our results indicate that the magnitude of forecast errors is by far more determined by the firm’s environment proxied by the firm’s average forecast error in the past than analyst ability. Furthermore, all of the firm characteristics we control for are significant in explaining forecast errors. The firm size, annual return on equity, and the number of analysts have a negative correlation with forecast error, the financial leverage, and book-to-market ratio have a positive correlation with forecast error. For analyst characteristics, only the analyst’s overall tenure is statistically significant and has a negative relation with forecast error.

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

VACANCY TAX AND HOUSING PRICE – DIFFERENCE IN DIFFERENCE MODEL IN REAL ESTATE MARKET

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

With the purpose of addressing housing affordability in British Columbia, provincial government announced the Vacancy and Speculation Act in February 2016. Previous research on property tax and real estate has found that property tax was expected to curtail housing price in British Columbia. In this article, we study the effect of vacancy tax on residential housing price. We conducted a five-year difference-in-difference analysis of the impact of vacancy tax particularly on Census Metropolitan Area with regard to different property types and neighborhoods. Unexpectedly, we cannot detect that vacancy tax trigger consequential price change in the composite real estate market taking three major property types into consideration. However, we detect that this policy does have a negative impact on condo price of approximate 2.3% in expensive area neighborhoods. Our research examines the effectiveness of the vacancy tax applying a quantitative approach.

Document type: 
Graduating extended essay / Research project
File(s): 
Supervisor(s): 
Andrey Pavlov, Ph.D.
Department: 
Beedie School of Business-Segal Graduate School

ALTERNATIVE APPROACHES TO THE LEAST SQUARE METHOD IN AMERICAN OPTION PRICING

Author: 
Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

This paper introduces alternative methods to least square method (LSM) implemented by Longstaff-Schwartz in 2001 to enhance the pricing of American options with Monte Carlo Simulation. The goal is to provide evidence that alternative methods provide more precise pricing compared to least square method.

The alternative methods include various machine learning (ML) algorithms classified as regression models: artificial neural networks (ANN), decision trees, support vector machines (SVM), stochastic gradient descent (SGD), isotonic regression, and Gaussian Process Regression (GPR).

As a part of the calibration process, real market data used for the Merton jump diffusion model and CIR model. Finally, the paper compares errors with each ML algorithms to arrive to the most appropriate algorithm.

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

TRADING STRATEGY AND SELLING GENERAL AND ADMINISTRATIVE EXPENSE

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

This paper studies the relationship between selling, general and administrative expense(SG&A) of North American public companies and their stock performance. We introduce a measure of corporate governance based on the ratio of SG&A cost over total revenue and find a casual negative relationship between SG&A ratio and stock return. Additionally, we create a long-short trading strategy based on the SG&A ratio.

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

THE PERFORMANCE OF SOCIALLY RESPONSIBLE INVESTMENT FUNDS

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

Socially Responsible Investment (SRI) has been a growingly important topic in the investment community over the past two decades. However, studies have come up with mixed results as to whether this is a viable investment approach for all, or investors need to forego their return aspirations if they want exposure to “social dividends”. Our study is modeled from one of the most prominent work done in the field by Meir Statman who published his paper “Socially Responsible Mutual Funds” in 2000, exploring the performance of SRI mutual funds and measuring them by four attributes. We extend his approach to a set of actively managed SRI funds in the last decade (Q3 2010 – Q3 2019) and change the frequency of data into quarterly from monthly, adding two more benchmarks to get a new perspective on diversification. Our findings conclude that SRI investments, in fact, add value when the investment approach is passive and well- diversified.

Document type: 
Graduating extended essay / Research project
File(s): 
Supervisor(s): 
Victor Song
Department: 
Beedie School of Business-Segal Graduate School

THE UNEMPLOYMENT-OUTPUT TRADEOFF IN CHINA: EMPIRCAL TEST FOR THE APPLICABILITY OF OKUN’S LAW

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

Okun’s law is a macroeconomic relationship that describes the relationship between output and unemployment. Initial empirical estimates for US data indicate that a two to three percent GDP growth rate above the natural or average GDP growth rate causes unemployment to decrease by one percentage point and vice versa. China is undoubtedly the most dynamic economy in the world today, but high growth along with high unemployment exists in China for a long time. Noticing this strange phenomenon, the authors attempt to conduct empirical research to reveal the relationship between China’s economic growth and unemployment rate. And we draw a conclusion that Okun’s law fails in China. Under the condition of China’s dual economy, Okun's law need to broaden the basic assumptions. Only combining with the special situation, can they better explain the economic situation in China.

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

THE RELATIONSHIP BETWEEN MACRO FACTORS AND DELINQUENCY RATE ON COMMERCIAL REAL ESTATE LOANS

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

This study investigates the effect of changing macroeconomic variables on the delinquency rate on commercial real estate loans between Quarter 1, 1991 and Quarter 3, 2019. We use the Vasicek one-factor Gaussian copula model to examine the delinquency rate on commercial real estate loans. We find four macroeconomic variables, unemployment rate, 10Y and 2Y yield spread, Home Price Index growth rate and average nonfinancial firms’ debt to equity ratio, to be best fit in the model. We further perform sensitivity analysis and conduct stress tests to identify how value variation of macroeconomic factors influence the predicted delinquency rate and conclude that financial institutions should always keep enough capital to prevent liquidity issues in crisis.

Document type: 
Graduating extended essay / Research project
File(s): 
Supervisor(s): 
Deniz Anginer
Department: 
Beedie School of Business-Segal Graduate School

THE RELATIONSHIP BETWEEN ESG & SOCIALLY RESPONSIBLE INVESTING AND ALPHA GENERATION IN THE LONG-RUN

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

The number of ethical investments have increased dramatically over the past few years due to the rising demands from investors. But do these investments really generate alpha over the long run? This paper seeks to examine the relationship between long-term alpha and investment vehicles with either an ESG or an SRI mandate. The analysis is broken down by both geography and by different time periods. In terms of geography, investments with either an ESG or SRI mandate are separately analyzed for both U.S. and Canada; and in terms of times periods, this paper examines historical monthly returns from both a longer time frame (12/31/2009 – 12/31/2018) and a medium time frame (12/31/2014 – 12/31/2018). The returns of the different investments are then benchmarked against the overall market index from the country where these investments are located. The alpha of these investments is calculated by using both the Capital Asset Pricing Model (CAPM) and a modified Carhart Multifactor Model.

Our analysis indicates that there is no relationship between alpha and the socially responsible or ESG funds. The majority of time, these funds actually underperform the market. We present our findings that the ethical investments are less superior to a passive market index in this paper.

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

THE RELATION BETWEEN FINANCIAL FRAUD AND GOVERNMENT SUBSIDY OF CHINESE LISTED COMPANINES

Peer reviewed: 
No, item is not peer reviewed.
Date created: 
2019-12
Abstract: 

Nowadays, financial fraud of the public firms draws serious attention in developing countries. We focus on the relation between financial fraud and government subsidy of Chinese public firms, as in China government subsidy is an important factor for companies’ performance.

We provide four hypotheses concerning the relation between the magnitude of the subsidy depending on different firm characteristics. We find that we cannot reject the null, and for the most part, government subsidies are affected not only by fraud, but also on the degree to which the executives and firms are related to the government.

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