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Post-Investment Migration of Canadian Venture Capital-Backed New Technology-Based Firms
Carpentier, Cécile; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2014
Numerous innovative Canadian new technology-based firms migrate abroad when local venture capitalists exit. This article aims to determine how common this type of exit is, and to understand the motivations behind and the consequences of these migrations. We use a mixed-methodology approach,...
Persistent link: https://www.econbiz.de/10011183699
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The Valuation Effect of Listing Requirements: An Analysis of Venture Capital-Backed IPOs
Carpentier, Cécile; Cumming, Douglas; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2010
This paper examines the impact of securities regulation and exchange listing standards on the valuation of venture …
Persistent link: https://www.econbiz.de/10008487262
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The Value of Capital Market Regulation: IPOs versus Reverse Mergers
Carpentier, Cécile; Cumming, Douglas; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2009
We analyze the economic consequences of disclosure and regulation within a context of significant information asymmetry … and lenient regulation. In Canada, firms can enter the stock market at a pre-revenue stage by fulfilling each of the … self-selection, we find that the choice of the listing method and regulation strictness significantly influence the value …
Persistent link: https://www.econbiz.de/10005100646
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10008855592
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Risk, Timing and Overoptimism in Private Placements and Public Offerings
Carpentier, Cécile; L'Her, Jean-François; Smith, Stephan - Centre Interuniversitaire de Recherche en Analyse des … - 2007
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...
Persistent link: https://www.econbiz.de/10005100594
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Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...
Persistent link: https://www.econbiz.de/10005100629
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10005100677
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005100885
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005
In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...
Persistent link: https://www.econbiz.de/10005100963
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Business Angels' Perspectives on Exit by Ipo
Carpentier, Cécile; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2014
regulation is also perceived as a major impediment to exiting onto the stock market. Both reasons explain why IPOs are not …
Persistent link: https://www.econbiz.de/10011183678