Thought leadership in action.
The academics we support publish in esteemed academic journals. The CSIRF is contributing to a very meaningful, ongoing documentation through a journal of its own.
The research we support is aimed at creatively assessing classic problems and questions while also forging new, innovative insights and solutions.
Fine examples of the calibre of research completed with the support of the Foundation include the following:
Full CSIRF 2019 Edition Journal – Volume 2
Research into the effects of low interest rates on Canadian loan markets receives grant
by Mohammad Rahaman
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The work of a Saint Mary’s University researcher into the effects of low interest rates on the syndicated loan market in North American has received a boost.
Mohammad Rahaman, Canada Research Chair in International Finance & Competitiveness and a professor with the Sobey School of Business, is receiving a $40,000 research grant from the Canadian Securities Institute Research Foundation.
THE ANSWER IS VIA SOCIAL MEDIA!
by MOHAMED AL GUINDY
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Social media, among other things, has become one of the primary sources to consume news, even corporate news. Since 2013, The Securities and Exchange Commission (SEC) allows companies to use social media as an official channel to communicate with the market and their audiences. This change provides a cost effective platform for small businesses to attract investors and lower their cost of acquiring equity capital.
Mohamed Al Guindy is an Assistant Professor of Finance at the Sprott School of Business at Carleton University. Dr. Al Guindy’s research focuses on the role of social media in financial markets – and more broadly, on how technology affects financial markets. Dr. Al Guindy completed his PhD in Finance and MBA at Queen’s University. An engineer by training, he completed his Bachelor’s degree in Electrical Engineering at the University of Toronto, and Master’s degree in Electrical Engineering at Queen’s university – with particular emphasis on Artificial Intelligence. Al Guindy’s research has been funded by the Canadian Foundation for Governance Research and the Canadian Securities Institute Research Foundation.
SHAREHOLDER ACTIVISM – THE INTERACTION BETWEEN HEDGE FUNDS AND OTHER INSTITUTIONAL INVESTORS
by ANDREW CARROTHERS
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There are few things more closely linked to the collective Canadian psyche than coffee, donuts and hockey. Activist hedge funds are becoming increasingly widespread in Canada as in the US markets. Target firms of activist hedge fund have high levels of institutional ownership – mutual funds, insurance companies and pension funds – and these assets are widely held by Canadians. The financial well-being of typical Canadians depends on the investing success of these institutions.
Dr. Andrew Carrothers is an Assistant Professor of Finance at the Faculty of Business, the University of Prince Edward Island (UPEI). He currently teaches in the areas of corporate, international, personal, and entrepreneurial finance. He holds a PhD in Finance from McMaster University. His primary research interest is corporate governance, with a particular focus on hedge fund activism and executive compensation.
ELECTION AND IPOS DON’T MIX
by ARTEM DURNEV
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Election periods are characterized by elevated uncertainty – affecting taxes, state and federal contracts and wages – thus changing firms’ competitive positions. Given such political uncertainty, fewer privately held businesses are willing to go public and conduct Initial Public Offerings (IPOs) during election years.
Artem Durnev is an Assistant Professor of Finance, University of Iowa Faculty Council Member, University of Iowa Faculty Senate Member, Henry B. Tippie Research Fellow, Ph.D. Director at the Henry B. Tippie College of Business, University of Iowa, and an Associate Editor of International Review of Finance. Before joining the University of Iowa, he was an Assistant Professor at the Desautels Faculty of Management at McGill University (Montreal, Canada) and the University of Miami, Florida. His research interests are primarily focused on corporate finance, political cycles, governance, corporate social responsibility, and financial markets development.
IMPACT OF ADOPTION OF INTERNATIONAL FINANCIAL REPORTING STANDARDS ON THE CANADIAN STOCK MARKETS
by SHAHID KHAN
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Canada adopted International Financial Reporting Standards (IFRS) in 2011. It has been argued that IFRS is a more principles-based set of accounting standards, which means they require accountants to take more responsibility for providing relevant accounting information. This research investigates the impact of IFRS adoption on the quality of earnings information released by firms listed on the Canadian stock exchanges
Dr. Shahid Khan is an Assistant Professor of Accounting at the Penn State University, Berks campus. He received his Ph.D. at the University of Calgary. His research interests are in the areas of the impact of International Financial Reporting Standards on the capital markets, accounting and international capital movement, information quality, and accounting standards. His research paper has been published in Accounting Perspectives.
fIRM FUNDAMENTAL VALUATION AND BEHAVIOURAL FINANCE
by MARK KAMSTRA
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Valuation metrics based on dividends, cash flows, and relative valuation ratios like price-to-earnings come and go in popularity, depending on how badly they failed recently. This is evidence of the recency effect, a behavioural bias whereby people put more weight on recent information, even if the newer information is no more relevant than older information. This research investigates whether behavioural biases affect market valuations and pricing in a predictable and time-varying way.
Mark Kamstra is a Professor of Finance with the Schulich School of Business at York University in Toronto Canada, holding the Canadian Securities Institute Research Foundation Term Professor of Finance Chair. Prior to joining the Schulich School in 2004, he was a financial economist and associate policy adviser at the Federal Reserve Bank of Atlanta from 2001 to 2004, and prior to this an assistant then associate professor at Simon Fraser University in Canada. A native of Ontario, Canada, Dr. Kamstra received his bachelor of arts degree in economics from Queen’s University at Kingston, his master’s degree in economics at the University of British Columbia, and his doctorate in
economics at the University of California in San Diego.
DIGGING INTO OIL PRICE UNCERTAINTY AND REAL ECONOMIC ACTIVITIES
by SANG BAUM KANG
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Traditionally, oil prices have been deemed as exogenous to developed economies because events such as geopolitical shocks or OPEC’s supply decisions determine the prices. However, recent empirical evidence has revealed that oil prices may be determined endogenously by supply and demand. This article examines how the uncertainty of oil pricing affects real economic activities and financial markets.
Sang Baum “Solomon” Kang is an assistant professor of finance at Stuart School of Business, Illinois Institute of Technology. He holds a B.S. in Applied Statistics from Yonsei University, an M.S. in Actuarial Science from the University of Wisconsin at Madison, an M.S. in Computational Finance from Carnegie Mellon University, and a Ph.D. in Finance from McGill University. Dr. Kang’s research focuses on energy finance, commodities, financial derivatives, and asset pricing. Specifically, he is interested in oil markets, electricity markets, real options, government policy risk in energy markets, Monte-Carlo simulation, financial risk management, and index options.
Behavioural FinANCE In Practice
by Lisa Kramer
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This research focuses on the overlap between human nature and financial decisions, including risk aversion, emotions, market seasonality and investments. It offers recommendations for organisations to plan strategies to use behavioural finance to their advantage.
Lisa Kramer is a Professor at the University of Toronto, affiliated with the Rotman School of Management, the UTM Department of Management, and the Department of Economics. She conducts interdisciplinary work in the field of behavioural finance, blending psychology and economics to study markets and financial decision making. She also has interests in neuroeconomics, investments, market seasonality, human decisions, mood, and emotions. Her research has appeared in economics, finance, business ethics, and psychology journals, including the American Economic Review. Her studies have been extensively profiled by the popular press, including The Wall Street Journal, US News and World Reports, The Washington Post, Bloomberg Business, Business Week, and Time. Her Ph.D. in finance is from the Sauder School of Business at the University of British Columbia. During the years 2008 to 2011 she was the Canadian Securities Institute Research Foundation Limited Term Professor.
Stale Performance Chasing In Mutual Funds
by Blake Phillips
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“Social” Issues and Reverse Break-Up Fees in M&A
by Aazam Virani
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Monetary policy and Shadow Bank Money Creation
by Kairong Xiao
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Do Shareholder Excess Control Rights Benefit Creditors?
by Ting Xu
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oIL AND eQUITY iNDEX RETURN pREDICTABILITY: tHE iMPORTANCE OF dISSECTING oIL pRICE cHANGES
by Haibo Jiang
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An oil price drop has been considered in the past to be good news as it lowers the cost of production in a significant number of sectors and allows consumers to boost their consumption. This article demonstrates the advantage of using the oil price decomposition instead of just the oil price change. It offers an explanation for the dramatic reduction in the predictive ability of oil price changes over the last ten years and emphasize the importance of dissecting oil price changes.
Dr. Haibo Jiang is a Visiting Assistant Professor in Finance at A.B. Freeman School of Business, Tulane University. He received his Ph.D. in Finance at University of British Columbia. His research interests are in asset pricing, macro finance, and energy and commodity markets. He studied how oil price fluctuations affect inflation, bond, and stock returns. In one of his research papers, he provides novel empirical evidence that the price of oil is a significant macro variable for explaining returns on Treasury bonds and inflation swaps, and theoretical analysis that oil supply and demand shocks have an opposite impact on bond yields and expected inflation.
Full CSIRF Anniversary Edition Journal – Volume 1
Precarious Politics & Return Volatility
by Art Durnev
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Dr. Art Durney is Assistant Professor of Finance at the Henry B. Tippie College of Business at the University of Iowa. He joined Iowa in 2011 after spending six years at the Desautels Faculty of Management at McGill University in Montreal, Canada. Art Durnev earned his Ph.D. in Finance from the University of Michigan Business School. He is a Canadian and Russian citizen.
Economic Conditions, Flight-to-Quality & Mutual Fund Flow
by Blake Phillips & Aditya Kaul
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Dr. Blake Phillips received a Bachelor of Science from the University of British Columbia in 1996, a Master of Forestry and Master of Business Administration from the University of Alberta in 2004 and a Ph.D. in Finance also from the University of Alberta in 2009. Prior to commencing his doctoral studies, Blake was a Director and Managing Partner of Spectrum Resource Group Inc., a forestry consulting firm headquartered in British Columbia. Blake is currently an Assistant Professor of Finance at the University of Waterloo, School of Accounting and Finance and a Regular Member of the Waterloo Research Institute in Insurance, Securities and Quantitative Finance. Blake’s research focuses on stock market efficiency, empirical asset pricing and mutual funds.
Aditya Kaul is currently an Associate Professor of Finance at the University of Alberta School of Business. He joined the University of Alberta in 1996 with a Ph.D. in Finance from the University of Rochester. His research interests are in the areas of market microstructure, international finance and asset pricing. His work has been published in the Journal of Finance, the Journal of Financial Economics and the Journal of Financial and Quantitative Analysis, and has been presented at major academic conferences in North America. He is also the recipient of several research awards.
A Typology of Phychological Biases Influencing Investment Decision Making
by Gokul Bhandari
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Dr. Gokul Bhandari is an Assistant Professor at the Odette School of Business, University of Windsor, Canada. He has Ph.D. (Management Science/Information Systems), MA (Economics), MBA, and Bachelor of Engineering degrees. He has published several peer-reviewed journal articles, conference proceedings, and book chapters in diverse fields, and has received many research grants. He was one of the first recipients of the CSIRF Scholarships in 2005 for his dissertation titled “Incorporating Cognitive Support in Investment Decision Support Systems.” His primary research interest is in the area of design and development of computerized tools to assist individual investors. His research has been published in The Journal of Behavioral Finance, Journal of Economic Psychology, Financial Services Review, and Decision Support Systems.
Credit Default Swaps – What are they?
by James R Thompson
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Dr. James R Thompson is an Assistant Professor of Finance at the University of Waterloo where he has taught Managerial Finance since 2009. Currently he is a visiting Assistant Professor of Finance at the Wharton School, University of Pennsylvania where he teaches corporate finance in the MBA program. His research is centered on the issue of counterparty risk, with particular focus on credit default swaps. He has published his work in the Quarterly Journal of Economics and has presented his research at many conferences, Universities and Central Banks/Government institutions including the Bank of England, the German Bundesbank, the Bank of Canada and the Federal Deposit Insurance Corporation. He holds a Ph.D. degree from Queen’s University.
The Costs of ETF Membership: Valuation Effect of ETFs on Underlying Firms
by Jin Wang
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Dr. Jin Wang is an Assistant Professor in Finance at Wilfrid Laurier University. He received his Ph.D. at Queen’s University. His research interests are in empirical corporate finance, corporate governance, and investment. His work spans several areas such as capital structure, payout policy, corporate cash holdings, credit ratings, and ETFs. He studied how a firm’s labor market affect its financial choice; investigated how a firm’s relationships with its customers/suppliers affect its shareholders’ income; examined why those firms that rely on principal customers/suppliers tend to hold more cash; investigated whether competition among rating agencies affects the quality of their ratings on corporate bonds; and examined how the rise of ETFs affect firm value of underlying stock issuers. Dr. Wang has presented his work at a variety of prestigious academic conferences around the world, such as Northern Financial Association and Financial Management Association annual meetings. His paper on how a firm’s relationships with employees affect its capital structure has been published in the Journal of Financial Economics. He mainly teaches corporate finance courses.
Seasonal Variation in Depression & in Markets
by Lisa Kramer
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Dr. Lisa Kramer is an Associate Professor of finance in the University of Toronto’s Rotman School of Management. She recently spent a sabbatical as a Visiting Scholar in the Psychology Department at Stanford University. Her Ph.D. in finance is from the Sauder School of Business at the University of British Columbia. During the years 2008 to 2011 she was the CSIRF Limited Term Professor.
ON INCENTIVES TO STAND OUT IN THE FAMILY: DEVIATION FROM A FAMILY PORTFOLIO & MUTUAL FUND PERFORMANCE
by Mikhail Simutin
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Dr. Mikhail Simutin is an Assistant Professor of Finance at the Rotman School of Management of the University of Toronto. He graduated with a Ph.D. degree in Finance from the University of British Columbia in 2010. His research interests include empirical asset pricing with a focus on mutual funds, performance evaluation, and risk measurement. His research has been published in the Journal of Financial Economics and in Financial Management.
Research in Mutual Funds
by Susan Christoffersen
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Dr. Susan Christoffersen joined the Rotman School of Management in 2010. Prior to joining, she was an Associate Professor at the Desautels Faculty of Management at McGill and has over twelve years of experience teaching courses on capital markets and corporate finance at the undergraduate and graduate level. In recognition of teaching excellence, she received the Desautels Faculty of Management Teaching Award for Graduate Teaching in 2006. Professor Christoffersen’s research focuses on mutual funds and more generally on the role of financial institutions in capital markets. Given the topical nature of her research, it has been published in top finance publications such as the Journal of Finance, Journal of Financial Economics, and the Review of Financial Studies and has been cited in well-known media outlets such as the New York Times, International Herald Tribune, Bloomberg News Service, CBS Marketwatch, and the Wall Street Journal. In recognition of her work, Susan has received several grants from SSHRC, IFM2, and FQRSC and numerous paper awards from various international agencies (Q-Group, Bank of Canada, BSI Gamma Foundation, INQUIRE, and the Swiss Finance Institute). In 2005, Susan was awarded the Limited Term Professorship by the CSIRF for her work on mutual fund trading and trading execution.
Contact Us
You may contact the Canadian Securities Institute Research Foundation at:
200 Wellington Street West, 15th Floor
Toronto, Ontario
M5V 3C7
Email the Executive Director of the Canadian Securities Institute Research Foundation, Heather-Anne Irwin: [email protected]
