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Selected Works

2003

Articles 1 - 5 of 5

Full-Text Articles in Finance and Financial Management

Developments And Issues In The Canadian Market For Asset-Backed Commercial Paper, John Kiff, Paula Toovy May 2003

Developments And Issues In The Canadian Market For Asset-Backed Commercial Paper, John Kiff, Paula Toovy

John Kiff

No abstract provided.

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Forward Premiums And Market Efficiency: Panel Unit-Root Evidence From The Term Structure Of Forward Premiums, Atreya Chakraborty Dec 2002

Forward Premiums And Market Efficiency: Panel Unit-Root Evidence From The Term Structure Of Forward Premiums, Atreya Chakraborty

Atreya Chakraborty

A plausible explanation for cointegration among spot currency rates determined in efficient markets is the existence of a stationary, time-varying currency risk premium. Such an interpretation is contingent upon stationarity of the forward premium. However, empirical evidence on the stochastic properties of the forward premium series has been inconclusive. We apply a panel unit-root test – the Johansen likelihood ratio (JLR) test – to forward exchange premiums by utilizing cross-sectional information from their term structure. In contrast to earlier studies, the JLR test provides decisive and temporally stable evidence in support of stationary forward premiums, and therefore foreign exchange market …

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Wealth Creation And Managerial Pay: Mva And Eva As Determinants Of Executive Compensation, Ali M. Fatemi, Anand S. Desai, Jeffrey P. Katz Dec 2002

Wealth Creation And Managerial Pay: Mva And Eva As Determinants Of Executive Compensation, Ali M. Fatemi, Anand S. Desai, Jeffrey P. Katz

Ali M Fatemi

Designing effective compensation contracts has become increasingly complex due to the globalization of the executive work force and the multitude of incentive schemes. We examine the relationships between managerial pay and firm performance among domestic and global firms using economic value added (EVA) and market value added (MVA) to assess wealth creation. Our work suggests that top managers in domestic- and globally focused firms are not only incented to increase EVA, but also rewarded for past additions to MVA. The results of our research suggest that managers of highly globalized firms tend to be paid at higher levels, reflecting the …

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Nearest-Neighbor Forecasts Of U.S. Interest Rates, Atreya Chakraborty Dec 2002

Nearest-Neighbor Forecasts Of U.S. Interest Rates, Atreya Chakraborty

Atreya Chakraborty

We employ a nonlinear, nonparametric method to model the stochastic behavior of changes in several short and long term U.S. interest rates. We apply a nonlinear autoregression to the series using the locally weighted regression (LWR) estimation method, a nearest-neighbor method, and evaluate the forecasting performance with a measure of root mean square error (RMSE). We compare the forecasting performance of the nonparametric fit to the performance of two benchmark linear models: an autoregressive model and a random-walkwith-drift model. The nonparametric model exhibits greater out-of-sample forecast accuracy that that of the linear predictors for most U.S. interest rate series. The …

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The Fasbs Concepts Statement On Cash Flows And Present Value, Stanley Martens, Thomas D. Berry Dec 2002

The Fasbs Concepts Statement On Cash Flows And Present Value, Stanley Martens, Thomas D. Berry

Thomas D Berry

In February 2000, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Concepts No. 7, Using Cash Flow Information and Present Value in Accounting Measurements.  In this document the FASB asserts without proof that a present value computation along its lines will provide a good estimate of the fair value of an asset or liability.  Using numerical examples provided by the FASB, we attempt to construct arguments in support of the FASB’s claim.  We find that such arguments require strong and not at all obvious assumptions about players in hypothetical markets.

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