Innovation and Competition in Canadian Equity Markets

Innovations in communications and information technology and the related globalization of financial markets have created the potential for important changes to the structure of Canadian equity markets. Established marketplaces can now compete more effectively on an inter-regional and international basis. At the same time, reduced costs have lowered the barriers to entry faced by new competitors known as alternative trading systems (ATSs). In response to this heightened competition, established Canadian stock exchanges have taken measures to improve market quality. While regulators see innovation as positive for the development of Canadian markets, there is some concern that market liquidity may be fragmented in the short run. The Canadian Securities Administrators have proposed a framework that attempts to address this issue and that would allow ATSs to compete with traditional exchanges for the first time. The authors provide an overview of the Canadian equity market and its structure, focusing on these recent developments.

The Effects of Economic News on Bond Market Liquidity

The authors contrast the impact of two sources of information flow on the volatility of prices, trading activity, and liquidity in the brokered interdealer market for Government of Canada bonds. Liquidity varies with the amount of asymmetric information in the market, and order flow plays a central role in the processing of information. The authors find a two-stage adjustment process in the period before and after a scheduled 8:30 a.m. macroeconomic news announcement that is similar to the adjustment process documented by Fleming and Remolona (1999) for the U.S. Treasury market. They contrast these dynamics with the adjustment that occurs around a Government of Canada bond auction. Results are somewhat inconsistent with the patterns observed around macroeconomic news events, but are explained by theory.Financial markets; Market structure and pricing; Debt management

An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds

The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size. Liquidity measures are analyzed relative to each other and across securities, and intraday patterns are identified. The authors' results show that trading activity is positively correlated with price volatility, and that signed order flow is significant in explaining contemporaneous high-frequency price movements. They find evidence that trading activity is positively related to liquidity measures in some markets, which suggests that indicators such as trade frequency and trading volume, despite certain drawbacks, can be seen as useful proxies for liquidity. The authors also document Canadian participants' prevalent use of an order expansion protocol, whereby order size can be negotiated upward once a trade has been initiated; although Boni and Leach (2002) identify this practice as consistent with a market where there is relatively strong concern regarding information asymmetry, the authors observe no consistent link between the frequency of its use and observations of trading activity, market liquidity, or price volatility.Financial markets; Market structure and pricing

The home and school environments, physical activity levels, and adiposity indices of school-age children

The home and school environments as well as physical activity may be linked to the development of childhood obesity. We evaluated the home and school environments (HSEs), physical activity levels (PAL), television viewing (TVV) and their associations with adiposity indices of school-age children. This cross-sectional study included children aged 6-12 years and their parents from Tamale, Ghana. HSEs and TVV were assessed using questionnaires. The physical activity questionnaire for children (PAQ-C) was used to assess children’s PALs. Weight, height and waist circumferences were measured using standard tools. About 45% of children lived within a walking distance to parks or outdoor recreation centres. Majority of the parents considered their neighbourhoods to be safe for children to engage in physical activity. Only 27% of the schools had a food and nutrition policy, and more than 70% had a field for outdoor activities. Children watched TV for an average of 1.7 hours/day. Mean physical activity scores was 2.51. The school-age children had mean (SD) BMI-for-age z-scores was -0.23(1.47). Time spent watching TV or playing video games was associated with children’s BMI-for-age z-scores (β=0.48, p=0.043), BMI (β=2.28 p=0.005), and % body fat (β=3.80, p=0.005). Child’s level of activity was negatively associated with waist circumference (β =-0.65, p<0.001). Lack of nutrition policy in schools was common. TVV hours predisposed children to excess weight whiles physical activity decreased the likelihood of being obese.

Synthesis and conformational analysis of perhydroazulenes

Ph.D.Herbert O. Hous

Media coverage and investor attention

In this thesis, I investigate the role of investor attention in financial markets by examining the media’s coverage of corporate earnings news. The first paper studies the potential impact of information in the financial press by identifying systematic differences between aggregate corporate earnings news coverage in the Financial Times, Wall Street Journal, and the New York Times, and measures of expected coverage based on contemporaneous earnings information flows as reported in JJBIEIS. I find that publication-specific estimates of “excess” aggregate positive or negative coverage exhibit strong serial correlation, consistent with media bias. Furthermore, unexplained negative (positive) weekly coverage predicts positive (negative) returns for small-stock indices and the equal-weighted NYSE, suggesting that the effects of predictability in financial news coverage are economically significant and may be related to informational inefficiency with respect to smaller firms. The second paper examines media coverage decisions to identify the determinants of investor attention with respect to events and firms. Using ex ante predicted probability of media coverage (PMC) with respect to earnings news as a measure of attention in this context, I study the returns experienced by low-attention stocks from 1984 and 2005. As in prior studies, I find high risk-adjusted returns for “neglected” stocks, which appears to be highly consistent with, e.g., Merton’ s (1987) investor recognition hypothesis, or an information risk setting (Easley et al. (2002)). However, in examining the event-specific determinants of media coverage, I find evidence of a significant “negativity bias” in attention: holding other factors constant, bad news is more likely to attract coverage than is good news regarding an otherwise-identical firm. Given recent evidence in the literature regarding stock-price underreaction to low-attention events, this suggests asymmetric investor attention as a potential explanation for an apparent neglected firm premium in the cross-section of stock returns. Consistent with this hypothesis, I find that the excess returns to low-PMC portfolios are attributable to drift in the stock prices of low-attention “good news” firms, while low-attention “bad news” firms appear to be efficiently priced.Business, Sauder School ofGraduat