1,725,638 research outputs found
TSX E-review, April 2018
No full textA monthly digest of trading activity and corporate information for companies listed on the Toronto Stock Exchange
TSX E-review, March 2018
No full textA monthly digest of trading activity and corporate information for companies listed on the Toronto Stock Exchange
Bay Street : Toronto Stock Exchange : Base metals record sales
No full textImage of the trading floor of the Toronto Stock Exchange taken from the second floor
Cherokee Resources Limited: The Toronto Stock Exchange Review
No full textA copy of the Cherokee Resources Limited Toronto Stock Exchange Review. The front features a color reproduction of a Grandmaison portrait, but the portrait is not named or mentioned in the report
Style anomalies on the Toronto Stock Exchange : a univariate, multivariate, style timing and portfolio sorting analysis
No full textIncludes bibliographical references.A growing body of empirical evidence has found inconsistencies in the Capital Asset-pricing Model (CAPM) of Sharpe (1964), Lintner (1965), and Black (1972) and Ross's (1976) Arbitrage Pricing Theory (APT). Numerous attempts to explore the validity of these theories of modern finance have led to the identification of various firm specific attributes that explain the cross-sectional variation of returns. These attributes have appropriately been termed 'style anomalies '.This thesis investigates the existence and exploitability of style anomalies for the shares comprising the Toronto Stock Exchange (TSX) for the period 31 January 1989 to 31 July 2005. The investigation is divided into four areas of research. First, a methodology similar to Fama and Macbeth (1973) is used to explore the cross-sectional relationships between some 904 firm-specific attributes and the unadjusted and risk adjusted monthly returns of equities constituting the S&P TSX Composite Index. A myriad of uncorrelated style anomalies are found to persist before and after controlling for systematic risk, and are categorized as either size, growth, momentum, value, liquidity and bankruptcy (risk) effects. The most significant attributes from each respective style group include: Price, eighteen month change in net tangible asset value, price change over twelve months, twelve month change in price to net tangible asset value, three month change in the absolute volume ratio and interest cover before tax. Multivariate testing confirms the ability of anomalies to explain excess returns. In and out sample cross sectional tests show inconsistent anomaly persistence, raising the question of whether they are perhaps perennial in nature. Second, the predictability of style payoffs is examined through the analysis of autocorrelation and six style timing models. Strong positive autocorrelation at lower orders for the majority of style payoffs suggests that the ability to time payoffs is possible. The six month moving average timing model shows the best forecasting skill, followed by twelve month and eighteen month moving average models. Third, the presence of firm specific attributes among three classified sectors namely: Basic materials, Cyclicals and Non-Cyclicals are compared. Risk, value and liquidity based anomalies dominate the Basic Materials shares. Liquidity effects stand out within the Cyclicals group, and the Non-Cyclicals sectors exhibit value and size effects. The ability to exploit all style-based anomalies after accounting for transaction costs is evaluated using a portfolio sorting methodology. The tests illustrate that increased exposure to the anomalies has delivered substantially higher returns with lower volatility than a buy and hold approach using an equally weighted all share benchmark. These abnormal returns are confirmed after adjusting for systematic risk. Further testing shows that the attributes, rather than loading on those attributes, are better at explaining share returns. Finally, the seasonal nature of Canadian equity returns is investigated. A six month strategy of "Selling in June and going away till December" provides the most optimal returns. The calendar month tests find January, February and December to be the strongest months of the year. Attribute payoffs seem to show vague seasonal tendencies
Comparison of New York Stock Exchange and Toronto Stock Exchange
No full textThe bachelor thesis named Comparison of New York Stock Exchange and Toronto Stock Exchange compares both exchanges from three points of view. The first chapter Trading System dissertates about trading system itself. It explains how the trading on exchange works and when the trades can be closed among the investors. The second chapter named Trading Activity in which author analyses market capitalization, number of trades and number of traded shares and two indices from each exchange. The last chapter compares regulation on both exchanges. All chapters contain graphs, images and tables for better understanding
Evaluation of the pairs-trading strategy on the Toronto Stock Exchange : 2001-2010
Full text link1 online resource (30 p.) : col. ill.Includes abstract.Includes bibliographical references (p. 29-30).This paper focuses on evaluating the return characteristics of pairs-trading strategy on the Toronto Stock Exchange. Through analysis of trading results, we found a significant evidence to indicate that pairs trading strategy is consistent in achieving profitability on Toronto Stock Exchange. Moreover, profitability has a decreasing trend during the sample period of 2001 to 2010 and it is largely distorted by the global financial crisis from 2007-2009
Testing Weak Form Efficiency on the Toronto Stock Exchange.
Full text linkWe believe that in order to test for weak form efficiency in the market a vast pool of individual stocks must be analyzed rather than a stock market index. In this paper, we use a model-based bootstrap to generate a series of simulated trials and apply a modified chart pattern recognition algorithm to all stocks listed on the Toronto Stock Exchange (TSX). We compare the number of patterns detected in the original price series with the number of patterns found in the simulated series. By simulating the price path we eliminate specific time dependencies present in real data, making price changes purely random. Patterns, if consistently identified, carry information which adds value to the investment process, however, this informativeness does not guarantee profitability. We draw conclusions on the relative efficiency of some sectors of the economy. Although, we fail to reject the null hypothesis of weak form efficiency on the TSX, some sectors of the Canadian economy appear to be less efficient than others. In addition, we find negative dependency of pattern frequencies on the two moments of return distributions, variance and kurtosis.Market efficiency, weak form market efficiency, Canada, Toronto Stock Exchange
The Transition to Competitive Pricing on the Toronto Stock Exchange
No full textOn April 1, 1983 commission rates on transactions of all sizes became negotiable on the Toronto Stock Exchange (TSE). Under the new competitive pricing arrangement, brokerage firms establish their own rate structures and compete in the marketplace on the basis of price, content and quality of service. This study examines the first two years of transition to negotiated rates. The speed and magnitude of rate reductions, and their distribution across investor categories, indicate the nature and power of the brokerage cartel that is currently being dismantled in Canada.
Agency costs of multiple directorships: Toronto Stock Exchange - 2007-2008
Full text linkThis paper is a treatment of the agency costs to shareholders potentially caused by multiple directorships in firms listed on the Toronto Stock Exchange. The sample set is comprised of the compulsory annual reports as extracted from the OSIRIS database service by Bureau van Dijk Electronic Publishing. The data is limited to partial annual reports for 2007 and 2008 in order to capture the collapse in the financial sector in the United States. A score of workload is assigned to over 14,000 reported director positions. The position data is then tallied and cross-referenced to produce information on board workload within a firm and the total workload those directors face. The governance score, the difference between those workloads, is intended to capture director workload external to the board. This is compared to a definition of agency cost using a log regression. Weakness in the initial results created a desire to apply another analytical tool -- a comparison of averages using EViews. There appear to be effects of under-connected and over-connected boards of directors but the definition of agency cost seems to be insufficient. --P. ii.The original print copy of this thesis may be available here: http://wizard.unbc.ca/record=b166461
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