nep-cfn New Economics Papers
on Corporate Finance
Issue of 2013‒06‒24
two papers chosen by
Zelia Serrasqueiro
University of the Beira Interior

  1. The governance-risk scoreboard By Rodolfo Apreda
  2. Empirical Testing of the Momentum Effect in Canadian Capital Markets By Kamalesh Gosalia; Rock Lefebvre

  1. By: Rodolfo Apreda
    Abstract: In this paper, we set forth a scoreboard for dealing with those risks that arise from the governance of any organization. Firstly, we introduce the subject of governance risks and, secondly, we move on to a cardinal index that not only measures up governance performance but also provides with a rate of governance risks. Next, we argue for protocol that builds up a staff unit to be held accountable for the management of such risks. Afterwards, the main components of the scoreboard are disclosed: on the one side, a governance-risk toolkit and, on the other side, policy-making guidelines, whose intertwining brings about a clinical approach to governance and the Governance-Risk staff unit report to the Board of Directors. Last of all, it is shown how to put the Scoreboard into practice.
    Keywords: corporate governance; governance risks; governance scoreboard; clinical approach; compliance; incremental cash-flow model; governance index.
    JEL: G30 G32 G34
    Date: 2013–06
  2. By: Kamalesh Gosalia (Certified General Accountants Association of Canada); Rock Lefebvre (Certified General Accountants Association of Canada)
    Abstract: The efficient markets hypothesis (EMH) postulates that market prices fully reflect all available information. The momentum effect, the acceleration of a security’s price or volume, is one of the anomalies of financial markets that challenge the validity of the EMH. Momentum in securities implies that their price is more likely to keep moving in the same direction than to change directions. This study empirically examines the presence of the momentum effect in Canadian capital markets using daily adjusted closing prices of 180 securities observed over a twenty-one year period. The results of the analysis indicate that the momentum effect is only short lived in Canadian capital markets. Correlation between prices progresses no further than two weeks of past prices allotting for only short-lived episodes of limited return predictability. These findings are consistent with studies undertaken in other international capital markets.
    Keywords: momentum effect, Canadian capital markets, the efficients market hypothesis, random walk theory, size effect, turn-of-the-year effect, the weekend effect, value effect, momentum strategy
    JEL: G11 G14 G15 G10
    Date: 2013–06

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