Stephen Sapp
Associate Professor of Finance
Richard Ivey School of Business
University of Western Ontario
1151 Richmond Street
London, ON N6A 3K7
Canada
Phone: (519) 661-3006
email : ssapp@ivey.uwo.ca
Below are links to some of my working papers and pre-publication drafts of published papers. If you would like the most recent versions of papers, please contact me. I would greatly appreciate any comments you may have on these papers.
I do work in a couple of different areas, so I have tried to group these together by topic.
The most recent versions of many of these papers are also available on the SSRN network -
Published:
International Finance concentrating on Exchange Rates:
Price Leadership in the Spot Foreign Exchange Market ( Published in Journal of Financial and Quantitative Analysis, September 2002)
Are all central bank interventions created equal? An empirical investigation (Published in Journal of Banking and Finance, 2004)
Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your p's and q's (joint with Mike McCracken, Federal Reserve. Published in the Journal of Money Credit and Banking 2005)
Safe Haven Trading and Y2K: an empirical investigation of the Y2K effect in the foreign exchange market (joint with Aditya Kaul, University of Alberta. Published in the Journal of International Money and Finance 2006)
Temporal Patterns in Foreign Exchange Returns and Options (joint work with Maxime Charlebois, University of Western Ontario. Published in the Journal of Money, Credit and Banking 2007)
Order Submission: the choice between limit and market orders (joint with Ingrid Lo, Bank of Canada. Forthcoming in the Journal of International Money and Finance)
Empirical Asset Pricing:
Interest Rate Sensitivity of Equities Across Industries (joint with Steve Foerster, Ivey School of Business Canadian Investment Review, April 2003)
How Financial Firms Differ From Non-Financial Firms: A Global Perspective (joint with Steve Foerster, Ivey School of Business. Published in the Journal of International Financial Markets, Institutions and Money 2005)
The Dividend Discount Model in the Long-Run: A Clinical Study (joint with Steve Foerster, Ivey School of Business. Published in the Journal of Applied Finance 2005)
The Changing Role of Dividends: A Firm-Level Study From the Nineteenth to the Twenty-First Century (joint with Stephen Foerster, Ivey School of Business. Published in the Canadian Journal of Economics 2006)
Behavioural Economics/Finance (working paper versions):
Exploring the Behavior of Economic Agents: the role of relative preferences (joint with Michelle Alexopoulos, University of Toronto. Published in the Economics Bulletin 2006)
Working Papers:
Empirical Corporate Finance:
The Influence of Owner Identity on Strategic Risk-Taking (joint with Vanessa Strike, Ivey School of Business)
Stock Market Reaction to Foreign Direct Investment: The Impact of Foreign Country Risk Factors and Entry Mode (joint with Anthony Goertzen, University of Victoria)
Market Segmentation and Sources of Differences in CEO Compensation between Neighbors (joint with Colette Southam, Ivey School of Business)
Corporate Governance and Executive Compensation in Canada
The Impact of Corporate Governance on Executive Compensation
Empirical Asset Pricing
Dividends and Stock Valuation: A
Study From the Nineteenth to the Twenty-First Century (joint with Steve
Foerster, Ivey School of Business)
Market Microstructure of the Foreign Exchange Market:
Price Aggressiveness and Quantity: how are they determined in a limit order market? (joint with Ingrid Lo, Bank of Canada)
What factors determine the best price and quantity in limit order markets? (joint with Ingrid Lo, Bank of Canada)
Trading Activity and Foreign Exchange Market Quality (joint with Aditya Kaul, University of Alberta)
Links to some other sites that may be of interest:
Bank for International Settlements
Links to all of the world's central banks
Federal Reserve Board of Governors
FRB of Chicago: Direct access to a wide variety of current and historical US data
FRB of New York: various US Data Sources , US Market conditions, and Global Market Conditions