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Full-Text Articles in Business
Do Tax-Exempt Yields Adjust Slowly To Substantial Changes In Taxable Yields?, Donna Dudney, John Geppert
Do Tax-Exempt Yields Adjust Slowly To Substantial Changes In Taxable Yields?, Donna Dudney, John Geppert
Department of Finance: Faculty Publications
This paper examines the profitability of two futures trading strategies: a municipal bond futures contract strategy and a spread strategy consisting of a municipal bond futures contract and a Treasury bond futures contract. Both strategies are designed to exploit a slow municipal yield adjustment following changes in Treasury yields. We find economically significant profits to both strategies. Average holding period returns per trade for both strategies tend to increase with the magnitude of the Treasury yield change. Profit distributions associated with various Treasury yield change thresholds tend to be positively skewed, and median profits are significantly lower than average profits. …
Securitization Of Catastrophe Mortality Risks, Yijia Lin, Samuel H. Cox
Securitization Of Catastrophe Mortality Risks, Yijia Lin, Samuel H. Cox
Department of Finance: Faculty Publications
Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortality-linked securities provide an alternative risk management tool for insurers. As a step toward un¬derstanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump processes. Our model nicely explains opposite market outcomes of two existing pure mortality securities.
Ex–Dividend Day Price And Volume: The Case Of 2003 Dividend Tax Cut, Yi Zhang, Kathleen A. Farrell, Todd A. Brown
Ex–Dividend Day Price And Volume: The Case Of 2003 Dividend Tax Cut, Yi Zhang, Kathleen A. Farrell, Todd A. Brown
Department of Finance: Faculty Publications
We examine the impact of the 2003 dividend tax cut, which removes the differential taxation between dividends and capital gains for individual investors, on the ex–dividend day price and trading volume. We find the ex–dividend day price and volume are affected by taxes, risk, and transaction costs. The ex–dividend day price drop ratio (excess return) increases (decreases) and dividend clienteles weaken after the tax cut. Ex–dividend day abnormal volume among high dividend yield stocks decreases after the tax cut consistent with a diminished motivation for tax–induced trading. Our results suggest that individual investors have a measurable effect on the ex–dividend …
How Do Firms Adjust Director Compensation?, Kathleen A. Farrell, Geoffrey C. Friesen, Philip L. Hersch
How Do Firms Adjust Director Compensation?, Kathleen A. Farrell, Geoffrey C. Friesen, Philip L. Hersch
Department of Finance: Faculty Publications
This paper examines outside director compensation for a sample of 237 Fortune 500 firms over the 1998-2004 period. We document a trend towards fixed-value equity compensation and away from cash only and fixed-number equity compensation. Adjustments to director compensation are consistent with firms targeting a market level of compensation, and firms that deviate from their market wage symmetrically adjust compensation back toward the market level. We also document the relation between changes in compensation and changes in equity values, and find that upward adjustments begin sooner than downward adjustments. When equity values rise, we find virtually no immediate offset to …