• Accountants' ethical sensitivity

      Triki, Anis; Faculty of Business Programs (2012-04-03)
      O'Fallon and Butterfield (2005) in a review of the business ethics literature concluded that "ethical awareness" also called ethical sensitivity has received the least attention of the four steps in Rest's (1986) ethical decision making model. Available measures for ethical sensitivity are limited to specific contexts and suffer from several limitations. I extend the previous literature by creating a new measure for ethical sensitivity (AESS) that encompasses relevant dimensions for the accounting profession and is not specific to a particular setting. I also introduce a new individual differences variable to the accounting ethics literature. Specifically, I investigate the relationship between anti-intellectualism and ethical awareness. My findings support AESS as a measure of ethical sensitivity.
    • Accounting for Human Rights Violations Risk: Conflict Minerals Mandatory Disclosures under the Dodd Frank Act

      Chen, Yijia; Faculty of Business Programs
      This paper examines the equity market response to firms’ disclosure of human rights violation risk with regard to conflict mineral usage as required by Section 1502 of the Dodd-Frank Act (the Act). This paper assesses the aggregate equity market response to regulatory events leading to the passage of the Act, the equity market reaction to voluntary early disclosures and mandatory disclosures of conflict mineral information in Form SD, as well as the determinants of the equity market response. Using a sample of 4,399 US registrants from January 1, 2008 to September 30, 2014, we document a significant negative stock market reaction to the passage of the Act and to conflict minerals disclosures on Form SD. The equity market reaction is more negative and limited to companies that source their minerals from conflict zones, companies with human rights violations, and companies with ambiguous disclosures. Taken together, the results of this study provide an economic justification for companies with poor conflict minerals practices to improve in order to avoid high costs that will arise if firms are forced to disclose human rights abuses. This paper also provides preliminary evidence that Form SD is successful in reducing the governance gap that exposes investors to unnecessary sanction, litigation and reputation risk from firms’ activities in conflict minerals usage.
    • Alleviating Negative Spillover of a Brand-Harm Crisis: Sensegiving vs. Sensehiding in a Competitor’s Denial Response Strategy

      YU, Fang; Faculty of Business Programs
      A brand-harm crisis not only affects the scandalized brand, but may also influence competing brands. Thus, marketers of competing brands need to develop response strategies for reducing negative spillover effects. This research takes a competitor’s perspective and introduces two types of response strategies used to convey a sense of denial: sensegiving and sensehiding. It also investigates how the effects of response strategies are contingent upon brand relatedness and individual thinking styles. The results from three experimental studies show that using a sensegiving strategy reduces negative spillover effects more than using a sensehiding strategy. Additionally, the studies suggest that the observed difference in the effects of response strategy tends to be greater when the level of brand relatedness is high than when it is low. However, individual thinking styles (holistic vs. analytic) seem to have little impact on consumers’ responses to the two denial strategies. This research contributes to the brand-harm crisis literature and provides novel insights into a competitor’s response to potential negative spillover effects.
    • Anticipated Guilt and Ethical Consumption: The Moderating Role of Consumers’ Socially Responsible Consumption Behaviour

      Spence, Sabrina; Faculty of Business Programs
      Recent research in the marketing literature has indicated that, while consumers’ interests in ethical products are growing, demand for such products still remains weak. Previous research has indicated that anticipated guilt can have a positive effect on ethical consumption. Thus, the objective of the current study is to investigate the moderating role of consumers’ socially responsible consumption behaviour (SRCB) on the relationship between anticipated guilt and ethical consumption. Specifically, the current study hypothesizes that, when viewing a guilt ad, high (vs. low) SRCB individuals will generate higher, ethical purchase intentions, willingness to pay an ethical premium, and attitudes toward an ethical brand. The findings from the two experimental studies indicate that, when viewing a guilt ad for an ethical product, high SRCB individuals are willing to pay a higher ethical premium and generate more favourable brand attitudes than low SRCB individuals. However, when viewing a non-guilt ad, high SRCB individuals did not differ from low SRCB individuals in their willingness to pay an ethical premium or brand attitudes. Further, consumers’ socially conscious self-identity was explored as a mediator of these effects. By understanding the moderating role that SRCB plays in the relationship between anticipated guilt and ethical consumption, this paper intends to assist marketers in understanding for which consumers a guilt appeal is an appropriate strategy in marketing ethical products.
    • The Application of the Genetic Algorithm in Promoting Stock Trading Performances

      Wang, Yanqi; Faculty of Business Programs
      This thesis joins the debate on utilizing the Genetic Algorithm (GA) to discover profitable trading strategies by providing an out-of-sample test of GA-based trading strategies on the CSI 300 index. Our results suggest that, with trading costs taken into consideration, GA-based trading rules consistently beat the buy-and-hold strategy in daily trading of CSI 300 index. Besides, we open up the black box of the evolution process of the GA by testing the statistical significance of the GA-based profitable trading strategies through the Fama-MacBeth regressions. In addition, this study connects the literature on the regime switching with studies on the GA-based trading strategies to construct one regime-switching Genetic Algorithm (RSGA) model and makes a comparison between the GA-based and the RSGA-based trading strategies. The empirical results show that trading strategies generated from the RSGA model consistently outperform those obtained from the GA model.
    • Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

      Cao, Xu; Faculty of Business Programs
      This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.
    • Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?

      Cao, Xu; Faculty of Business Programs
      This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative and significant pricing effect of idiosyncratic skewness, consistent with the finding of Boyer et al. (2010). We also report that neither idiosyncratic volatility nor idiosyncratic kurtosis are consistently priced. We run robustness tests using different model specifications and period sub-samples. Our results are robust to the different factors and characteristics usually included in the Fama-MacBeth pricing tests. We also split first our sample using endogenously determined structural breaks. Second, we divide our sample into three equal sub-periods. The results are consistent with our main findings suggesting that expected returns of individual stocks are explained by idiosyncratic skewness. Both idiosyncratic volatility and idiosyncratic kurtosis are irrelevant to asset prices at the individual stock level. As an alternative method, we run Fama-MacBeth tests at the portfolio level. We find that idiosyncratic skewness is not significantly related to returns on idiosyncratic skewness-sorted portfolios. However, it is significant when tested against idiosyncratic kurtosis sorted portfolios.
    • ASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADA

      Singh, Anterpreet; Faculty of Business Programs (Brock University, 2014-07-23)
      Emerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.
    • Canadian investors and the discount on closed-end funds

      Wang, Yue; Faculty of Business Programs (St. Catharines, Ont. : Brock University, Dept. of Management, 2010., 2010-03-09)
      Small investors' sentiment has been proposed by behaviouralists to explain the existence and behavior of discount on closed-end funds (CEFD). The empirical tests of this sentiment hypothesis so far provide equivocal results. Besides, most of out-of-sample tests outside U.S. are not robust in the sense that they fail to well control other firm characteristics and risk factors that may explain stock return and to provide a formal cross-sectional test of the link between CEFD and stock return. This thesis explores the role of CEFD in asset pricing and further validates CEFD as a sentiment proxy in Canadian context and augments the extant studies by examining the redemption feature inherent in Canadian closed-end funds and by enhancing the robustness of the empirical tests. Our empirical results document differential behaviors in discounts between redeemable funds and non-redeemable funds. However, we don't find supportive evidence of CEFD as a priced factor. Specifically, the stocks with different exposures to CEFD fail to provide significantly different average return. Nor does CEFD provide significant incremental explanatory power, after controlling other well-known firm characteristics and risk factors, in cross-sectional as well as time-series variation of stock return. This evidence, together with the findings from our direct test of CEFD as a sentiment index, suggests that CEFD, even the discount on traditional non-redeemable closed-end funds, is unlikely to be driven by elusive sentiment in Canada.
    • The carbon disclosure project, an evolution in international environmental corporate governance : motivations and determinants of market response to voluntary disclosures

      Wegener, Matt; Faculty of Business Programs (Brock University, 2010-10-27)
      This paper examines the factors associated with Canadian firms voluntarily disclosing climate change information through the Carbon Disclosure Project. Five hypotheses are presented to explain the factors influencing management's decision to disclose this information. These hypotheses include a response to shareholder activism, domestic institutional investor shareholder activism, signalling, litigation risk, and low cost publicity. Both binary logistic regressions as well as a cross-sectional analysis of the equity market's response to the environmental disclosures being made were used to test these hypotheses. Support was found for shareholder activism, low cost publicity, and litigation risk. However, the equity market's response was not found to be statistically significant.
    • CEO Compensation, Compensation Risk, and Corporate Governance: Evidence from Technology Firms

      Yu, Zhimin (Jimmy); Faculty of Business Programs (Brock University, 2012-05-17)
      Literature suggests that CEOs of technology firms earn higher pay than CEOs of non-technology firms. I investigate whether compensation risk explains the difference in compensation between technology firms and non-technology firms. Controlling for firm size and performance, I find that CEOs in technology firms have higher pay, but also have much higher compensation risk compared to non-technology firms. Compensation risk explains the major part of the difference in CEO pay. My study is consistent with the labor market economics view that CEOs earn competitive risk-adjusted total compensation.
    • COMPARING ASSET PRICING MODELS USING QUANTILE REGRESSIONS FOR DISTANCE-BASED METRICS

      Wang, Ziwen; Faculty of Business Programs
      This thesis compares the performance of ten well-known asset-pricing models for cross-sectional returns of various portfolios from January 1967 to December 2016. We rely on the distance-based metrics as the primary performance measure and use quantile regressions to compare models at a wide range of quantiles of the asset return distribution. The model performance is examined from both statistical and economic perspectives. We find that the Fama and French (2018) six-factor model reliably outperforms other competing models in pricing the selected portfolios. In particular, both the momentum factor and the value factor are necessary in asset-pricing models to explain the return variations in different quantiles. We also find that the performance of Barilla and Shanken (2018) six-factor model exhibits strong explanatory power in medium to high quantiles, despite some existing findings that their model performs poorly in OLS regressions. Overall, we show that the distance-based metrics coupled with quantile regressions provide a consistent and robust model-comparison methodology that largely enhances the existing OLS-based statistical measures.
    • Corporate Inversions and Long-Run Performance

      Warraich, Hamza; Faculty of Business Programs
      This paper investigates the short-term and long-term stock performance of firms that undergo corporate inversions. The results show that the market response to the initial inversion announcement differs based on the type of inversion. Merger & Acquisition (M&A) and restructuring inversions are perceived positively by the market, but naked inversions do not generate a price response. Furthermore, acquirers in inversion-related M&A transactions generate a price premium that is in excess of what is typically generated by acquirers in non-inversion M&A. In the long-run, firms that invert through naked and M&A inversions do not generate significant excess returns above the S&P 500. In contrast, restructured inverted firms generate significant excess returns of 214.53%. Collectively, however, the results suggest that corporate inversion alone is not an indicator of future stock returns.
    • Corporate Social Responsibility, Corporate Governance, And Managerial Risk-Taking

      Pyo, Minyoung; Faculty of Business Programs (Brock University, 2014-05-15)
      This dissertation investigates the association between corporate social responsibility (CSR) and managerial risk-taking, as well as the differences in governance structure that affect this association. Using a sample of US public firms from 1995 to 2009, we find that firms with strong CSR records engage in higher risk-taking. Furthermore, we find that this relationship is robust when accounting for differences in governance structure and correcting for endogeneity via simultaneous equations modeling. Additional testing indicates that performance in the employee relations dimension of CSR in particular increases with risk-taking, while high firm visibility dampens the association between CSR and the accounting-based measures of risk-taking. Prior literature establishes that high managerial risk-tolerance is necessary for the undertaking of risky yet value-enhancing investment decisions. Thus, the main findings suggest that CSR, rather than being a waste of scarce corporate resources, is instead an important aspect of shareholder value creation. They contribute to the debate on CSR by documenting that corporate risk-taking is one mechanism among others through which CSR maps into higher firm value.
    • Determinants of bankruptcy protection duration for Canadian firms

      Xing, Dan; Faculty of Business Programs (Brock University, 2011-05-17)
      The present thesis examines the determinants of the bankruptcy protection duration for Canadian firms. Using a sample of Canadian firms that filed for bankruptcy protection between the calendar years 1992 and 2009, we fmd that the firm age, the industry adjusted operating margin, the default spread, the industrial production growth rate or the interest rate are influential factors on determining the length of the protection period. Older firms tend to stay longer under protection from creditors. As older firms have more complicated structures and issues to settle, the risk of exiting soon the protection (the hazard rate) is small. We also find that firms that perform better than their benchmark as measured by the industry they belong to, tend to leave quickly the bankruptcy protection state. We conclude that the fate of relatively successful companies is determined faster. Moreover, we report that it takes less time to achieve a final solution to firms under bankrupt~y when the default spread is low or when the appetite for risk is high. Conversely, during periods of high default spreads and flight for quality, it takes longer time to resolve the bankruptcy issue. This last finding may suggest that troubled firms should place themselves under protection when spreads are low. However, this ignores the endogeneity issue: high default spread may cause and incidentally reflect higher bankruptcy rates in the economy. Indeed, we find that bankruptcy protection is longer during economic downturns. We explain this relation by the natural increase in default rate among firms (and individuals) during economically troubled times. Default spreads are usually larger during these harsh periods as investors become more risk averse since their wealth shrinks. Using a Log-logistic hazard model, we also fmd that firms that file under the Companies' Creditors Arrangement Act (CCAA) protection spend longer time restructuring than firms that filed under the Bankruptcy and Insolvency Act (BIA). As BIA is more statutory and less flexible, solutions can be reached faster by court orders.
    • Do pervasive economic factors explain momentum?

      Chen, Lemeng; Faculty of Business Programs
      This thesis investigates the relationship between the profitability of momentum strategies and macroeconomic variables associated with the business cycles. We hypothesize that momentum is a risk factor that correlates with economic dynamics, which drive stock prices. We apply the two-state Markov regime switching model of Hamilton (1989) to capture the dynamic behavior of the time series of momentum return across different regimes. We include both univariate and multivariate regressions to examine the explanatory power of independent variables during different states. Moreover, we explore whether economic dynamics and investor sentiment are the only sources of the pricing effect of momentum. We adjust the momentum returns for selected macroeconomic variables, risk factors and proxy for investor sentiment. We define the residuals from the model as “pure momentum” and test the pricing capability of pure momentum in a standard asset pricing model. Using a sample of monthly data of US market covering the period between August 1962 and December 2014, we document that macroeconomic factors, risk factors and investor sentiment are unable to fully explain the momentum profits. Using a sample of monthly return on portfolios constructed by double-sorting stocks on size and book-to-market equity ratio, which include NYSE, AMEX, and NASDAQ stocks, we show that the pricing capability of momentum cannot be entirely explained by macroeconomic variables, risk factors and investor sentiment.
    • Does e-Government Always Fit? Moderating Role of Technology-Job Fit on Employee Acceptance of e-Government Technology.

      Belkhiria, Fares; Belkhiria; Faculty of Business Programs
      E-government technologies have widely been praised by academics, policy makers and the public. However, despite that many governments heavily invest in these technologies, they still struggle to implement them into their organisations because of employees not accepting them. In my study, I argue that this is due to the lack of “fit” of these technologies with the structure, processes, and practices of the employees. Against this backdrop, my study draws from organisational job fit, task-technology fit and technology acceptance literatures to examine the “Technology-Job fit” construct and explore its moderating role on how employees of government organisations perceive and adopt e-government technologies. I test my model on a sample of 347 employees of different government organisations in a developing country (Thailand). I find that employees’ judgements and satisfaction regarding a technology are significantly moderated by their perception of fit of the technology with their job. My study presents several contributions to research, policymaking, and practice of e-government and technology acceptance.
    • Does zero lower bound policy affect managerial risk-taking and executive compensation?

      Cai, Yue; Faculty of Business Programs
      This study empirically examined whether the zero lower bound policy of 2008 promotes managerial risk-taking using samples of U.S. publicly traded firms. Based on the evidence documented in previous research, this policy can lead to a change in firms’ managerial risk-taking and in turn result in a difference in executive compensation. By conducting empirical research, it was found that managerial risk taking increases significantly after the zero lower bound policy. In addition, firms’ total executive compensation also increased significantly after the zero lower bound policy. Further analysis showed that the increase in executive compensation was caused by the partial mediation of managerial risk-taking. Moreover, robustness checks showed that the relation between zero lower bound policy and managerial risk-taking is less significant for S&P 500 firms. In addition, corporate governance moderates the relation between managerial risk-taking and executive compensation.
    • DONATION DECISIONS: THE ROLES OF FINANCIAL AND EMOTIONAL INFORMATION

      Agyemang, Isaac; Faculty of Business Programs
      This paper investigates the impact of personal affinity toward a charity and information regarding financial management of potential recipient charitable organizations on decisions to donate. Using an experiment, the study examines how personal donation decisions differ from corporate donation decisions made by managers and how the emotional intelligence of donors affects donation decisions. The results indicate that threshold and financial information on charities assembled by the Better Business Bureau, a charity rating agency, made a significant impact on corporate donation decisions. The study also shows that emotional intelligence plays an important role that aids both individual donors and managers to regulate their donation decisions.
    • Drivers and Barriers of Mobile Commerce: The Role of Consumers’ Personal Innovativeness

      Anwar, Ali; Faculty of Business Programs
      Mobile commerce (m-commerce) has experienced rapid growth in recent years, gaining importance in both academia and industry. However, extant literature has paid little attention to how m-commerce value is shaped, particularly in emerging economies. This study develops a framework of m-commerce value by studying its determinants. These comprise of the benefit: ubiquity (time convenience and accessibility), and barriers to m-commerce: perceived risk (financial risk /performance risk), and perceived cost. Moreover, this research investigates the moderating role of personal innovativeness on the relationship between the drivers/barriers and value. The findings of the empirical survey-based study in emerging m-commerce economies reveal a positive impact of ubiquity on value, while risk and cost have a negative influence. Furthermore, innovativeness was found to moderate the relationships between the determinants and value, apart from that between cost and value. The results further show that value positively affects actual usage and is enhanced by consumer innovativeness.