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Francois-Eric Racicot Tackles Measurement Errors in Financial Return Models

Francois-Eric Racicot Professor Francois-Eric Racicot doesn’t mince words about the need to pay close attention to measurement errors in financial return models. “This is an extremely important subject, because when you measure your data badly, all your conclusions are biased,” says Racicot, an expert in financial econometrics, or the application of mathematics and statistical methods to financial data.

Racicot has shown how this problem affects the management of hedge funds – aggressively managed portfolios that are often associated with a high degree of leverage and borrow to achieve the aim of high targeted returns. But, he adds, measurement errors also plague financial return models used in a great many other areas of finance and economics, such as corporate finance.

So Racicot isn’t at all surprised to hear that as researchers like him investigate new ways to identify and track the effect of measurement errors, portfolio managers, bank managers, and managers of financial and economic risk are taking a keen interest in the results.

“The methods I am proposing improve the estimation of two variables,” explains Racicot, who has taught finance for more than ten years. “The first of them helps you select the assets; the second tells you the risk of fluctuation. In the world of portfolio management, it has a practical benefit in helping you select the assets to put into your portfolio.”

Racicot has published several graduate-level texts in quantitative finance and financial econometrics and is a member of the editorial board of several highly-regarded journals. He contributes to the CGA-Canada Accounting and Governance Research Centre at the Telfer School. He is also a research associate at the Corporate Reporting Chair at l'Université du Québec à Montréal (UQAM).

Racicot says he has recently demonstrated that his methods are also pertinent to the measurement of accounting errors, “and scientifically, the results have been even better than the ones on hedge funds.”

Telfer Researchers Will Help Advance Care Through Contributions to Nursing Research Centre

Doug Angus Professors Samia Chreim and Doug Angus will contribute to the new Nursing Best Practice Research Centre (NBPRC) established in late 2012 to advance research, foster collaboration and facilitate knowledge transfer linked to best nursing practices. The NBPRC was elevated to full research centre following six very successful years as a research unit; it was founded in January 2006 by the University and the Registered Nurses’ Association of Ontario with funding from the Ontario Ministry of Health and Long-Term Care.

Samia Chreim Professor Chreim will contribute her expertise in health management, one of her main research areas. In 2009 she was awarded a Social Sciences and Humanities Research Council grant to study the change and identity dynamics of inter-professional and inter-organizational collaboration in healthcare.

Professor Angus will contribute health care management, health policy and health economics perspectives. He noted that his research and teaching collaborations with School of Nursing colleagues like Professors Barbara Davies (Co-Director of the Centre), Nancy Edwards and Ian Graham over the years made it natural that he become a member of the NBPRC.

Professor Angus noted, “I envision my future involvement to encompass collaboration on major research grant proposals – especially to Canadian Institutes of Health Research, covering such areas as knowledge transfer related to clinical practice – research, and continued guest lectures to students involved in the School of Nursing and the Centre.”

Read more on this page and in the University of Ottawa Gazette [This link is no longer available].

Professor Umar Ruhi and M.Sc. Student Awarded Mitacs Funding to Study Mashup Technologies

Umar Ruhi Professor Umar Ruhi of the Telfer School and Sabbir Ahmed, a graduate student in the M.Sc. E-Business Technologies Program have been awarded Mitacs Accelerate funding which they will use to study BI (business intelligence) mashups.

BI mashups help knowledge workers – i.e., analysts, developers, and project managers – respond better to unpredictable events which create a need for just-in-time data management. These tools are a new kind of web based applications providing self-service and real-time BI. They unify disparate data and services to respond more effectively to analytical needs at the level of the individual and the business. In addition, they complement traditional BI tools, which often have a poor utilisation rate. Many industry experts believe that BI mashups can help reverse that trend in part because they encourage the engagement of end-users.

The researchers will review the current landscape of BI and market-vendor interactions. They will also formulate a utility framework that can help organizations understand the business process requirements that can be satisfied through the use of BI mashups.

Professor Ruhi and Mr. Ahmed have been awarded $15,000 for their research investigation from the Mitacs Accelerate Program. The program provides applied research internship opportunities to graduate student researchers. Mitacs is providing one-half of the funding towards Mr. Ahmed’s internship, with the balance being contributed from the project’s industry partner IBM Canada Ltd.

To learn more, visit the IBM Centre for Business Analytics and Performance online.

Study Examines the Performance of New Businesses Owned by Recent Immigrants

A joint study by the Telfer School and Industry Canada found that young immigrant-owned exporter firms outperformed young firms owned by non-immigrants, suggesting that immigrants do indeed have resources (for example, access to international networks) to give themselves a competitive advantage over non-immigrant owners that export.

But not all immigrant business owners can avail themselves of such advantages, and in fact, the second finding of the study was that firms founded by immigrants who did not export underperformed, on average, all other firm categories. That outcome appeared to be tied to immigrant entrepreneurs’ sense of being left to compete in a new setting while lacking networks and track records.

These findings might encourage policymakers to consider yet more effective ways to stimulate international trade among SMEs—and immigrant-owned enterprises in particular, the researchers say.

Francois Neville (a recent Telfer M.Sc. graduate now a doctoral student at Georgia State University), Professors Barbara Orser and Allan Riding of the Telfer School, and Owen Jung, a researcher at Industry Canada, drew on a large sample of Canadian business owners whose firms began trading between 2000 and 2004 and used taxation data to track 2004 to 2008 performance. The results were published online on December 29 in the Journal of Business Venturing. A related article in Small Business Quarterly, published by Industry Canada, can be viewed here [This link is no longer available].

Barbara Orser Examines SME Access to Public Procurement

Barbara Orser Governments increasingly are looking to employ procurement as a vehicle for economic development by stimulating growth of SMEs, but there have been few published studies of the policy impacts. Professor Barbara Orser set out to change that with her research examining the application and success rates of small businesses registered on the U.S. Central Contractor Registration (CCR) database. Her paper, “Federal SME procurement outcomes: Implications for public policy,” was presented to academic and corporate audiences last month.

“Some governments, as dominant purchasers of goods and services, use procurement as a policy vehicle to facilitate the development of SMEs into federal value chains,” says Dr. Orser, Deloitte Professor in the Management of Growth Enterprises. “But there are challenges around lack of transparency of contracting awards and excessively complicated tender bidding and reporting processes. There’s also the perception that the public sector is more difficult to deliver work to than the private sector due to a lack of responsiveness and unrealistic timescales.”

Her study seeks to learn from the American experience. The U.S. federal government has publically committed to directing at least five per cent of its spending to women- and minority-owned SMEs and the Obama Administration expanded this policy direction in recent years. Using a large-scale, online survey, Dr. Orser’s research estimates bid and success frequencies and supplier perceptions of the challenges associated with U.S. federal procurement. Dr. Orser concludes that, overall, there remains a lack of clarity about targeted procurement certification criteria and lack of feedback to assist in understanding the procurement process.

The paper was presented at the International Small Business and Entrepreneurship Conference (ISBE) in Dublin last November. Key themes from the study were also presented to a closed-door roundtable of chief procurement officers of international enterprises with supplier diversity initiatives at the WEConnect Canada Annual Conference (Toronto) on November 12th.

  1. Allan Riding Joins OECD Study Mission on Russian SME Policy
  2. Sandra Schillo to Contribute to Knowledge Mobilization in the Biofuels Research Community
  3. Samia Chreim Delves Into Leadership Dynamics on Interdisciplinary Health Teams
  4. M.Sc. Students Vicki Sabourin and Javier Fiallos Present Highlights of their Health Systems Internships

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