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An Empirical Examination Of Jump Risk In U.S. Equity And Bond Markets, Lee M. Durham, Geoffrey C. Friesen
An Empirical Examination Of Jump Risk In U.S. Equity And Bond Markets, Lee M. Durham, Geoffrey C. Friesen
Department of Finance: Faculty Publications
ABSTRACT
Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous component and a discrete (jump) component. We analyze a data set that consists of high-frequency tick-by-tick data for all stocks in the S&P 100 Index, as well as similar futures contract data on three U.S. equity indexes and three U.S. Treasury securities during the period 1999–2005. We find that discrete jumps contribute between 15% and 25% of total asset risk for all equity index …
On The Lack Of Participating Policy Usage By Stock Insurance Companies, Geoffrey C. Friesen
On The Lack Of Participating Policy Usage By Stock Insurance Companies, Geoffrey C. Friesen
Department of Finance: Faculty Publications
Stock insurers can reduce or eliminate agency conflicts between policyholders and stockholders by issuing participating insurance. Despite this benefit, most stock companies don’t offer participating contracts. This study explains why. We study an equilibrium with both stock and mutual insurers in which stockholders set premiums to provide a fair expected return on their investment, and with a policyholder who chooses the insurance contract that maximizes her expected utility. We demonstrate that stockholders cannot profitably offer fully participating contracts, but can profitably offer partially participating insurance. However, when the policyholder participation fraction is high, the fair-return premium is so large that …
Changes In Ceo Compensation Structure And The Impact On Firm Performance Following Ceo Turnover, David W. Blackwell, Donna M. Dudney, Kathleen A. Farrell
Changes In Ceo Compensation Structure And The Impact On Firm Performance Following Ceo Turnover, David W. Blackwell, Donna M. Dudney, Kathleen A. Farrell
Department of Finance: Faculty Publications
We document changes in compensation structure following CEO turnover and relate them to future performance. Compared to outgoing CEOs, incoming CEOs derive a significantly greater percentage of their compensation from option grants and new stock grants. The voluntary turnover sample shows similar changes in compensation structure while the forced turnover sample results suggest that new stock grants drive the significant increase in incentive compensation following turnover. Post-turnover performance is positively associated with new stock grants as a percentage of total compensation in the full sample and when analyzing forced and voluntary turnovers separately. We find limited evidence that future operating …