Frank Coggins

• Université de Sherbrooke

We examine whether environmental performance is related to the probability of occurrence of corporate environmental events. We find that a firm’s aggregate environmental performance is negatively related to the probability of a negative environmental event. When we distinguish between environmental strengths and concerns, we find that strengths (co...

We examine whether extra-financial ratings are related to the probability of occurrence of adverse environmental, social and governance (ESG) events, and thus serve as an indicator of ESG-risk. We observe that a firm's global extra-financial performance is negatively related to its likelihood of dealing with adverse ESG-related events. However, for...

Using a conditional asset pricing model approach, this study investigates how the Canadian stock market reacts to changes in extra-financial ratings related to environmental social and governance (ESG) factors. Our results suggest that upgrades (downgrades) in CSR ratings lead to long-term negative (positive) abnormal returns (alpha). This result i...

This study investigates the informational content of extra-financial agency scoring by examining the relationship between firm beta and extra-financial performance score upgrades and downgrades. Specifically, we study the variations in the extra-financial score of 266 Canadian corporations between 2007 and 2012 with a conditional model. We find no...

This study investigates the informational content of extra-financial agency scoring by examining the relationship between firm beta and extra-financial performance score upgrades and downgrades. Specifically, we study the variations in the extra-financial score of 266 Canadian corporations between 2007 and 2012 with a conditional model. We find no...

This study investigates the correlation and interdependence between and within the U.S. and Canadian corporate bond markets. The empirical framework adopted allows credit spreads to depend on common systematic risk factors derived from structural models and incorporates dynamic conditional correlations (DCC) between spreads. Results show that there...

This study considers the effect of freezing defined benefit pension funds on shareholder risk and returns. The conditional models used in this study directly assess the effects of a pension fund freeze on returns and on systematic and residual risk. While pension fund freezes do not significantly affect performance or systematic risk, they do signi...

This study considers the effect of freezing defined benefit pension funds on shareholder risk and returns. The conditional models used in this study directly assess the effects of a pension fund freeze on returns and on systematic and residual risk. While pension fund freezes do not significantly affect performance or systematic risk, they do signi...

Using simulations controlling for the ability to time the equity, bond, and money markets, we compare daily and monthly performance measures. Our main results highlight the joint importance of the fictitious timer’s trading frequency and the data sampling frequency for estimation. Specifically, daily timing measures are superior to those estimated...

This study examines the performance of sixteen Value-at-Risk (VaR) models in the context of institutional portfolio management. We focus on multivariate versus univariate approaches of asset modeling, monthly versus shorter risk horizons, and filtered historical simulation (FHS) versus Monte Carlo simulation (MCS) techniques. Tests on VaR violation...

Based on Canadian historical returns from 1951 to 2011 and mean-variance frontier analysis, we document better stock market opportunities in the late versus early part of the mandates of the Canadian federal governments or the American presidents, as well as when Democratic versus Republican American presidents are in power. Better bond market oppo...

This paper provides a comprehensive study of the syndicate structure and its relationship to information asymmetry and loan spread by using principal component analysis on a large set of 40 structure-related variables. A total of six structure components are identified and related to syndicate quality, syndicate members’ heterogeneity or share conc...

This paper studies the impact of pension plan freeze announcements on firm beta and specific risk using an event study methodology based on the conditional approach. Results for a sample of 96 U.S. firms with an nnouncement date between 2003 and 2009 show that freezes decrease specific risk for a significant number of firms, indicating that the mar...

The Capital Asset Pricing Model (CAPM) is applied in regulatory cases to estimate the required rate of return, or cost of equity, for low-beta, value-style energy utilities, despite the model’s well documented mispricing of investments with similar characteristics. This paper examines CAPM-based estimates for a sample of American and Canadian energ...

This study examines 16 models of monthly Value-at-Risk (VaR) for three equity indices with an emphasis on the filtered historical simulation (FHS) technique. We investigate the importance of historical simulation versus a parametrized approach, the presence of filter versus a static modeling of the return distribution, the choice of GARCH versus Ri...

This study examines the performance of 16 value-at-risk (VaR) models in the context of institutional portfolio management. The paper focuses on multivariate versus univariate approaches of asset modelling, monthly versus shorter risk horizons, and filtered historical simulation (FHS) versus Monte Carlo simulation (MCS) techniques. Tests on VaR viol...

Abstract The empirical finance literature reveals that conditional models estimated with monthly data generally improve fund performance. Furthermore, it has been shown that using daily instead of monthly returns in an unconditional framework increases the proportion of abnormal performances relative to timing. In this article, we study conditional...

This paper investigates the relationship between federal election outcomes and expected returns and volatilities in the Canadian money, bond, equity and currency markets from 1951 to 2006. There is little evidence that investment opportunities are different in minority versus majority parliaments and only money market returns differ in Conservative...

Cette étude compare quatorze modèles de Valeur à risque (ci-après VAR) mensuelle des marchés boursiers canadiens et américains dans l’optique d’un gestionnaire de portefeuille institutionnel. Notre analyse se concentre sur l’importance de quatre caractéristiques des modèles VAR par simulations historiques avec filtre, une des approches les plus pro...

The empirical results in recent finance literature reveal that conditional performance measures generally improve our perception of fund managers. Furthermore, it has been shown that using daily data in an unconditional framework increases the proportion of abnormal performances relative to timing. This paper compares daily conditional and uncondit...

Thèse (Ph. D.)--Université Laval, 2004. Bibliogr.: f. 180-186.