We examine whether risk, timing or mispricing hypotheses can explain the underperformance of private and public equity issuers, in Canada, where both categories share several common characteristics. Adding an investment risk factor to the TFPM reduces, but does not eliminate, the...

Using a large sample of European firms that mandatorily adopted IFRS, this paper assesses how firm-level governance, as proxied by board attributes, and country-level enforcement interplay in affecting financial reporting quality. Financial reporting quality is assumed to have three dimensions:...

Most of the analyses of small firms' decision to seek outside equity financing and the conditions thereof have concerned private firms. Knowledge of the risk and return of entrepreneurial ventures for outside investors is consequently limited. This paper attempts to fill this gap by examining...

We analyze the survival and success of a large sample of Canadian penny stock initial public offerings (IPOs), launched mostly by small and unprofitable firms from 1986 to 2003. The failure rate of these IPOs is lower than the one observed in the U.S. for larger IPOs, probably because of lax...

The0501n objective of the new Bankruptcy Act (Bill C-22) is to promote the use of financial reorganization in order to increase the chances of survival of businesses that are experiencing financial difficulties and, as a consequence, to save jobs. Data from a sample of 417 commercial...

We measure the long-run performance of 141 Canadian IPOs between 1986 and 2000, using continuously rebalanced and purged control portfolios (size and book-to-market ratios). Results remain relatively similar irrespective of whether we use an event-time approach (buy-and-hold abnormal returns and...

We estimate a generalized option pricing formula that has a functional shape similar to the usual Black-Scholes formula by a feedforward neural network model. This functional shape is obtained when the option pricing function is homogeneous of degree one with respect to the underlying asset...

Prior work on option pricing falls mostly in two categories: it either relies on strong distributional or economical assumptions, or it tries to mimic the Black-Scholes formula through statistical models, trained to fit today's market price based on information available today. The work...

This paper formulates a model of utility for a continuous time frame-work that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules...

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even when the underlying asset price has constant volatility. The early exercise feature considerably complicates the valuation of American contracts. The strategy taken in this...