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...

Cette étude montre qu'il est possible, dans un cadre d'équilibre d'anticipations rationnelles bruité, d'établir une relation linéaire formelle entre le prix des titres, la moyenne (le consensus) et la dispersion des anticipations des agents. Les variations de la moyenne et de la dispersion...

This paper examines, in a Canadian context, the effect of short sales regulation on the risk-return relationship. Drawing from Jarrow's work (1980), we derive an equilibrium risk-return relationship that accounts for both heterogeneous expectations and short sales regulation. We conclude that...

We analyze the competition between two developed stock exchanges. Their development rests mainly on their capacity to attract securities and trades. The U.S. market is attracting a growing number of Canadian companies, and is capturing a growing portion of their traded value. This slide of...