• Idiosyncratic Momentum and Option Markets

      Guo, Songchan; Faculty of Business Programs
      This study examines whether the idiosyncratic momentum strategy can generate excess returns following the emergence of traded options. Portfolios are formed based on past residuals of the Fama-French three factor model in idiosyncratic momentum, while those are formed based on past total returns in traditional momentum. We find that the idiosyncratic momentum profits show attenuation since options started trading in 1996. Our results show that momentum returns for stocks with options in idiosyncratic momentum are positive and significant for three, six, and twelve months following the formation date, while those for stocks with options in traditional momentum are insignificant or even turn to negative. We also find strong evidence that the enhanced information efficiency led by allowing short selling has more impact on traditional momentum returns than on idiosyncratic momentum returns. Overall, our results show that the idiosyncratic momentum strategy demonstrates an even bigger challenge to the conventional asset pricing literature.
    • The Impact of a Corporate Name Change on Stock Price and Trading Volume of Canadian Companies

      Durrani, Farooq; Faculty of Business Programs (Brock University, 2013-07-26)
      This thesis examines the impact of a corporate name change on stock price and trading volume of Canadian companies around the announcement date, the approval date, and the adoption date over the time period from 1997 to 2011. Name changes are classified into six categories: major and minor, structural and pure, diversified and focused, accompanied with a change in ticker symbol and without a change in ticker symbol, “Gold” name addition and deletion, and different reasons for name changes (e.g., merger and acquisition, change of structure, change of strategy, and better image). The thesis uses the standard event study methodology to perform abnormal return and trading volume analyses. In addition, regression analysis is employed to examine which type of a name change has the largest impact on cumulative abnormal returns. Sample stocks exhibit a significant positive abnormal return one-day prior to the approval day and one day after the adoption date. Around the approval date we observe significant abnormal returns for stocks with a structural name change. On the day after the adoption date we document abnormal returns for stocks with major, minor, structural, pure, focused, and ticker symbol name changes. If a merger or acquisition is the reason for a name change, companies tend to experience a significant positive abnormal return one-day before the approval date and on the adoption date. If a change of structure is the reason for a name change, companies exhibit a significant positive abnormal return on the approval date and a significant negative abnormal return on the adoption date. In case of a change of strategy as the reason for a name change, companies show a significant negative abnormal return around the approval date and a significant positive abnormal return around the adoption date.
    • Impacts of Executive Compensation on Employee Wages

      Zhu, Baoqi; Faculty of Business Programs
      We study the impact of CEO equity-based compensation (EBC) on employee wages. Using pay-performance sensitivity (PPS) as a measure for CEO equity-based compensation, we find that CEOs with higher EBC tend to pay their employees lower wages. We also examine the impact of EBC on average employee wage in different industries and find that such an impact is more evident in non-technology firms than in technology firms. Finally, we find that CEOs with higher pay-performance sensitivities are more likely to depress employee wages when the business cycle shows downturn. While the literature of CEO compensation suggests that EBC can mitigate agency conflicts between managers and shareholders, we find that the high level of EBC can create another aspect of agency conflicts between managers and shareholders, contributing to income inequality even within corporations.
    • Impacts of Top Five Executives’ Compensation on Employee Wages

      Li, Qianqian; Faculty of Business Programs
      This paper studies the impacts of incentive compensation to the top five executives on employee wages. We employ pay-performance sensitivity (PPS) to measure executive incentive compensation. Using data for firms from Wharton Research Data Services over 1992 to 2017 period, we find that there exists a negative relation between executive incentive compensation and employee wages. In addition, we examine the impacts of executive incentive compensation on employee wages in different industries and find that the impacts are more severe in non-technology firms than in technology firms. Finally, we show that the executives with higher incentive compensation are more likely to suppress employee wages in financially distressed firms. Since the impacts of incentive compensation to top five executives on employee wages are similar to those to CEO, top executives appear to work together as a team, which supports executive compensation as team perspective. Furthermore, firm performance may not be promoted by granting high incentive compensation to executives.
    • Improving Performance of Open Access Clinics

      Xia, Tian; Faculty of Business Programs (Brock University, 2014-08-21)
      Open Access Scheduling has shown great promise in allowing health care practices to provide same-day access, and to match patients with their regular physicians. However, similarly to traditional clinics where appointments are pre-booked, open access clinics are also frustrated with long waits, long idle time and long overtime due to uncertainties such as patient no-shows, variable service time and variable daily demand. These aspects have not been studied previously in an open access setting. This study investigates different management options to improve clinical performance in terms of patient waiting time, doctor idle time and clinic overtime. Other factors studied with a simulation model include client load and placement of pre-booked slots. Results show that a proper panel size is critical to obtain good performance for open access clinics, and that good choices for management options depend on the client load.
    • The influence of derivatives usage on firm value

      Lu, Zhangwei; Faculty of Business Programs
      In contemporary business management, an increasing number of firms use derivative instruments to hedge financial risks, including interest rate, foreign exchange rate and commodity price risk. Such hedging activities add to firm value by alleviating market imperfections, the presence of which provides an incentive to hedge. However, derivative instruments can also be used for speculation as well as hedging, magnifying risk and potentially reducing firm value. An awareness of the effectiveness of derivatives usage during various economic periods or in various industries, is also of value and can ultimately result in better hedging and even speculation strategies. In this thesis, we investigate non-financial firms in seven developed countries from 2007 to 2016, and apply fixed effects regression analysis, propensity score matching and difference-in-difference models to examine the relationship between derivatives usage and firm value. The impact of different categories of derivatives usage on firm value is found to differ by country. In particular, although the use of interest derivatives is found to damage firm value worldwide, currency derivative usage appears to increase firm value except in the US and Germany, while the use of commodity derivatives is shown to add to firm value firm only in Germany and Australia.
    • Information Asymmetry and Accounting Conservatism under IFRS Adoption

      Lu, Xiaoting (Christy); Faculty of Business Programs (Brock University, 2012-05-17)
      LaFond and Watts (2008) provide evidence that information asymmetry might be a determinant of accounting conservatism. One implication of their paper is that regulators trying to reduce information asymmetry by lowering the level of accounting conservatism might be wrong. However, there is a trend in moving away from conservative accounting. The typical example is IFRS adoption. Therefore, this paper studies information asymmetry and accounting conservatism under IFRS adoption. The results show that the level of accounting conservatism decreases after mandatory IFRS adoption, but the adoption of IFRS is likely to weaken the relationship between information asymmetry and accounting conservatism. Moreover, this paper investigates how the change of accounting conservatism under IFRS is related to the change in information environment. The finding shows that accounting conservatism increases information environment, supporting the idea that, by providing comparatively credible information, conservative accounting is beneficial to the information environment.
    • The information content of Canadian implied volatility indexes

      Wang, Chunrong; Faculty of Business Programs (Brock University, 2012-04-03)
      For predicting future volatility, empirical studies find mixed results regarding two issues: (1) whether model free implied volatility has more information content than Black-Scholes model-based implied volatility; (2) whether implied volatility outperforms historical volatilities. In this thesis, we address these two issues using the Canadian financial data. First, we examine the information content and forecasting power between VIXC - a model free implied volatility, and MVX - a model-based implied volatility. The GARCH in-sample test indicates that VIXC subsumes all information that is reflected in MVX. The out-of-sample examination indicates that VIXC is superior to MVX for predicting the next 1-, 5-, 10-, and 22-trading days' realized volatility. Second, we investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices. We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts. We conclude that VIXC cannot incorporate all information contained in historical index prices for predicting future volatility.
    • The Informational Value of Corporate Credit Ratings

      Densmore, Mike; Faculty of Business Programs (Brock University, 2013-01-14)
      This thesis examines the quality of credit ratings issued by the three major credit rating agencies - Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default swaps (CDS) spreads do not react to changes in credit ratings. Hence credit ratings for all three agencies are not price informative. CDS prices are mostly determined by historical CDS prices while ratings are mostly determined by historical ratings. We find that credit ratings are marginally more sensitive to CDS than CDS are sensitive to ratings.

      Juma, Guliziba; Faculty of Business Programs
      The purpose of this thesis is to explore the relationship between a firm’s innovation and Chapter 11 bankruptcy outcome. Innovation is measured as R&D expenditure, the number of patents and the number of citations to capture both input and output of a firm’s innovative activity. We find no significant relationship between innovation and bankruptcy outcome when we relate recent innovation to bankruptcy outcome. However, the relationship between innovation and bankruptcy outcome becomes significant when we consider the entire accumulated innovation prior to the bankruptcy, indicating older patents matter more in bankruptcy. We demonstrate that firms investing more in R&D expenditure and generating a higher number of patents before bankruptcy are more likely to reorganize than be liquidated or acquired. On the other hand, bankrupt firms with highly cited patents are more likely to be acquired than reorganize. Similar to other studies, our empirical results show that larger, more levered and liquid firms are positively associated with successful reorganizations. Finally, firms that file for prepackaged Chapter 11 bankruptcy and receive debtor-in-possession (DIP) financing during bankruptcy are more likely to reorganize than liquidate or be acquired. Firms file for bankruptcy during the 2008 economic crisis are prone to liquidation. Industry factor only matters for firms in the manufacturing industry, where firms with more innovation are more likely to reorganize than liquidated.
    • Innovation and Stock Returns

      Shahid, Sonal; Faculty of Business Programs
      The main aim of this thesis is to determine the relevance of innovation for the average stock returns, thereby investigating if innovation is one the factors explaining the stock returns. Innovation has been identified as an important determinant of economic growth and has been incorporated in economic growth models. With respect to equity returns, one part of literature identifies innovation as source of increased risk given the uncertainty associated with its outcome while another part of literature finds high innovation to reduce technological risk of a firm. In this thesis, we find that there is a premium to high innovation particularly for small size stocks. The highest innovation stocks earn higher average returns than lowest innovation stocks and this effect is significant and prominent for small size stocks. This persists when innovation is accounted for along with other variables like book to market value, operating profitability and investment. Regressing innovation sorted portfolios against Fama-French 5 factors model generates positive significant alphas for high innovation portfolios, even when controlled for size. Based on this, an innovation factor is constructed that captures the difference between the average return on high and low innovation portfolios. This innovation factor is incorporated in the Fama-French 5 factors model as the sixth factor evaluating if the model better explains the average stock returns. The six factors model incorporating innovation factor is rejected based on the test statistic testing if the alphas produced by the model are jointly equal to zero. However, the six factors model produces lower values of test statistics and alpha based measures used for model comparison, implying an improvement over the existing model.
    • Institutionalizing People: Professional Identity Development of Postdoctoral Scientists

      Pyo, Sonya Sunyoung; Faculty of Business Programs
      Professional identity development has been traditionally studied from a cognitive and discursive perspective that has overlooked how emotional, fragile and unstable identification can potentially be. Building on recent theorizations on emotions and ethos, the institution’s highest ideals, that enrich our understanding of professional identity, I explore the interlevel mechanisms of ongoing management of professional identification in this qualitative study on postdoctoral scientists. Postdocs represent the “in-between” professional, having completed their education but not yet independent scientists, who are continuously revising, expanding and negotiating their identity. Results show that while ethos becomes deeply embedded in identity, it also becomes decoupled from experience. Postdocs manage ongoing identification by resolving this tension between ideals and experience, however, failure to resolve such tensions can lead to disillusionment and exit. This work contributes to the literature by centralizing professional identity around values and emotions and also theorizes on the role of significant others for professional identity and the synergy between the institutions of family and profession.
    • Is Brand Equity an Asset or a Liability in Brand Harm Crisis? Buffering and Amplifying Effects and Contingent Conditions

      Xu, Haiyue; Faculty of Business Programs
      Brand harm crisis often result in negative consumer responses. This thesis addresses the buffering and amplifying theoretical perspectives of brand equity effects. We theorize that brand equity may interplay with the nature of brand-harm crisis in shaping consumer reactions. Results from focus group studies provide interesting insights into the amplifying and buffering effects. Moreover, research findings from two experiment studies show that brand equity amplifies consumer negative responses in a performance-related crisis but only when the crisis is extremely severe. When the crisis becomes less severe, the amplifying effect diminishes from outset. However, in a value-related crisis, the amplifying effect of brand equity is pervasive regardless of the level of crisis severity. The current thesis adds to the extant literature by demonstrating that brand equity can have very complex effects on consumer responses, which are contingent on the severity and domain of a crisis. Theoretical and managerial implications are discussed.
    • Is Geographic Diversity Good for International Young Ventures? An Internal Social Capital Perspective

      Liu, Runqian; Faculty of Business Programs
      An increasing number of young ventures are internationalizing their business early in their life cycles and expanding their scope of international activities into dispersed geographic locations. Yet, the performance implication of geographic diversity strategy for international young ventures remains to be studied. This thesis aims to analyze the link between geographic diversity and international performance, as well as the mediating mechanism of internal social capital and contingent effects of organization structure. This study synthesizes the social capital and exchange perspective with the learning advantages of newness view. The hypotheses are tested with an empirical dataset collected in Zhejiang, China. The results indicate that young ventures going into diverse geographic regions accrue superior international market performance and international investment return, and the mediating mechanism of internal social capital is supported for two of the three dimensions. Furthermore, the indirect effects are moderated by the formality and role concentration within the venture. This study contributes to the theoretical development of the burgeoning field of international entrepreneurship.
    • Is more information always good? : investigating the impact of website interface features on e-retailer's sales performance

      Ashraf, Abdul R.; Faculty of Business Programs (Brock University, 2010-10-26)
      A number of frameworks have been suggested for online retailing, but still there exists little consensus among researchers and practitioners regarding the appropriate amount of information critical and essential to the improvement of customers' satisfaction and their purchase intention. Against this backdrop, this study contributes to the current practical and theoretical discussions and conversations about how information search and perceived risk theories can be applied to the management of online retailer website features. This paper examines the moderating role of website personalization in studying the relationship between information content provided on the top US retailers' websites, and customer satisfaction and purchase intention. The study also explores the role played by customer satisfaction and purchase intention in studying the relationship between information that is personalized to the needs of individual customers and online retailers' sales performance. Results indicate that the extent of information content features presented to online customers alone is not enough for companies looking to satisfy and motivate customers to purchase. However, information that is targeted to an individual customer influences customer satisfaction and purchase intention, and customer satisfaction in tum serves as a driver to the retailer's online sales performance.
    • Job Demands and Organizational Citizenship Behavior: The Roles of Organizational Commitment and Social Interaction

      Pooja, Abeeda; Faculty of Business Programs (Brock University, 2014-04-21)
      Drawing from the Job Demands-Resources (JD-R) model and research on social exchange relationships, this study investigates the impact of three job demands (work overload, interpersonal conflict, and dissatisfaction with the organization’s current situation) on employees’ organizational citizenship behavior (OCB), the hitherto unexplored mediating role of organizational commitment in the link between job demands and organizational citizenship behavior (OCB), as well as how this mediating effect might be moderated by social interaction. Using a multi-source, two-wave research design, surveys were administered to 707 employees and their supervisors in a Mexican-based organization. The hypotheses were tested with hierarchical regression analysis. The results indicate a direct negative relationship between interpersonal conflict and OCB, and a mediating effect of organizational commitment for interpersonal conflict and dissatisfaction with the organization’s current situation. Further, social interaction moderates the mediating effect of organizational commitment for each of the three job demands such that the mediating effect is weaker at higher levels of social interaction. The study suggests that organizations aiming to instill OCB among their employees should match the immediate work context surrounding their task execution with an internal environment that promotes informal relationship building.
    • Keyword Competition and Determinants of Ad Position in Sponsored Search Advertising

      Karimi, Armin; Faculty of Business Programs (Brock University, 2012-10-11)
      Given the significant growth of the Internet in recent years, marketers have been striving for new techniques and strategies to prosper in the online world. Statistically, search engines have been the most dominant channels of Internet marketing in recent years. However, the mechanics of advertising in such a market place has created a challenging environment for marketers to position their ads among their competitors. This study uses a unique cross-sectional dataset of the top 500 Internet retailers in North America and hierarchical multiple regression analysis to empirically investigate the effect of keyword competition on the relationship between ad position and its determinants in the sponsored search market. To this end, the study utilizes the literature in consumer search behavior, keyword auction mechanism design, and search advertising performance as the theoretical foundation. This study is the first of its kind to examine the sponsored search market characteristics in a cross-sectional setting where the level of keyword competition is explicitly captured in terms of the number of Internet retailers competing for similar keywords. Internet retailing provides an appropriate setting for this study given the high-stake battle for market share and intense competition for keywords in the sponsored search market place. The findings of this study indicate that bid values and ad relevancy metrics as well as their interaction affect the position of ads on the search engine result pages (SERPs). These results confirm some of the findings from previous studies that examined sponsored search advertising performance at a keyword level. Furthermore, the study finds that the position of ads for web-only retailers is dependent on bid values and ad relevancy metrics, whereas, multi-channel retailers are more reliant on their bid values. This difference between web-only and multi-channel retailers is also observed in the moderating effect of keyword competition on the relationships between ad position and its key determinants. Specifically, this study finds that keyword competition has significant moderating effects only for multi-channel retailers.
    • Keyword Segmentation, Campaign Organization, and Budget Allocation in Sponsored Search Advertising

      Visser, Derek; Faculty of Business Programs
      Sponsored search advertising, where search providers allow advertisers to participate in a real-time auction and compete for ad slots on search engine results pages (SERPs), is currently one of the most popular advertising channels by marketers. Some domains such as Amazon.com allocate in millions of dollars a month to their sponsored search campaigns. Considering the amount of money allocated to sponsored search as well as the dynamic nature of keyword advertising process, the campaign budget planning decision is a non-trivial task for advertisers. Budget constrained advertisers must consider a number of factors when deciding how to organize campaigns, how much budget to allocate to them, and which keywords to bid on. Specifically, they must decide how to spend budget across planning horizons, markets, campaigns, and ad groups. In this thesis, I develop a simulation model that integrates the issues of keyword segmentation, campaign organization, and budget allocation in order to characterize different budget allocation strategies and understand their implications on search advertising performance. Using the buying funnel model as the basis of keyword segmentation and campaign organization, I examine several budget allocation strategies (i.e., search Volume-based, Cost-based, and Clicks-based) and evaluate their performance implications for firms that may pursue different marketing objectives based on industry and or product/service offerings. I evaluate the simulation model using four fortune 500 companies as cases and their keyword advertising data obtained from Spyfu.com. The results and statistical analysis shows significant improvements in budget utilization using the above-mentioned allocation strategies over a Baseline strategy commonly used in practice. The study offers a unique insight into the budget allocation problem in sponsored search advertising by leveraging a theoretical framework for keyword segmentation, campaign management, and performance evaluation. It also provides insights for advertiser on operational issues such as keyword categorization and campaign organization and prioritization for improved performance. The proposed simulation model also contributes a valid experimental environment to test further decision scenarios, theoretical frameworks, and campaign allocation strategies in sponsored search advertising.
    • Learning Product Attributes from User-Generated Content for Dynamic Promotion Strategies

      Abduvaitova, Lola; Faculty of Business Programs
      One widely adopted product attribute classification in the literature is the “Search” versus “Experience” dichotomy. Because the costs involved in searching and experiencing products vary across consumers and over a product’s life time, it is important for marketers to understand consumers’ evaluation of these attributes in order to formulate scalable and dynamic promotion strategies. This thesis attempts to address this challenge by proposing a text analytics framework for understanding consumers’ evaluation of product attributes to support agile promotion strategies. In the past, researchers have attempted to classify entire product categories as search or experience via questionnaires or using quantitative approaches by analyzing review star ratings. This thesis uses objective consumer reviews and text mining techniques to extract product features that can define search or experience attributes. A hybrid of unsupervised and supervised learning techniques was used to generate labelled training data from eight different product categories of Amazon and train classification models to determine the likely position of a product within the search-experience product classification spectrum. Extensive experiments using best-case and worst-case scenario were used to improve the accuracy levels of decision-tree based classification models and demonstrate the scalability of the text analytics framework. The proposed approach also incorporated a mechanism to aggregate the scores that the model gives to each individual review in order to determine the likely position at a product level. It is also shown that a product’s position in the search-experience spectrum may change during its review cycle, indicating that marketers need to investigate reviews for any periods of interest to develop effective promotion strategies in a more agile fashion. From a theoretical view, the text mining approach significantly adds to the existing body of knowledge in the classification of product attributes for supporting promotions. In addition to detecting dominant signals for search and experience positions, marketers can uncover a great deal of contents to formulate more specific advertising messages.
    • Leveraging Mobile App Classification and User Context Information for Improving Recommendation Systems

      Mingshan, Han Jr; Faculty of Business Programs
      Mobile apps play a significant role in current online environments where there is an overwhelming supply of information. Although mobile apps are part of our daily routine, searching and finding mobile apps is becoming a nontrivial task due to the current volume, velocity and variety of information. Therefore, app recommender systems provide users’ desired apps based on their preferences. However, current recommender systems and their underlying techniques are limited in effectively leveraging app classification schemes and context information. In this thesis, I attempt to address this gap by proposing a text analytics framework for mobile app recommendation by leveraging an app classification scheme that incorporates the needs of users as well as the complexity of the user-item-context information in mobile app usage pattern. In this recommendation framework, I adopt and empirically test an app classification scheme based on textual information about mobile apps using data from Google Play store. In addition, I demonstrate how context information such as user social media status can be matched with app classification categories using tree-based and rule-based prediction algorithms. Methodology wise, my research attempts to show the feasibility of textual data analysis in profiling apps based on app descriptions and other structured attributes, as well as explore mechanisms for matching user preferences and context information with app usage categories. Practically, the proposed text analytics framework can allow app developers reach a wider usage base through better understanding of user motivation and context information.