Communication Paper, June 1966

National Conference on Social Welfare
Review in Industrial and Labor Relatiosn Review, April 1987

National Social Insurance Association of China, Taipei, Taiwan, Republic of China, 1977

Third Quarter

National Social Insurance Association of China, Taipei, Taiwan, Republic of China, 1976

Discusses the relationship between effectiveness of futures contract hedging and investment horizon length. Minimum variance hedge; Decomposition model; Decomposition methodology and estimation; Comparison to regression analysis.

Co-Authored with: Hersch, Philip L.

This paper examines the determinants of a firm adding a woman to its board of directors. Using panel data for a sample of large publicly held firms for the years 1990-1999, we find that the probability of adding a woman to a board in a given year is inversely related to the number of woman directors already on the board. Further the probability of adding a woman is substantially increased whenever a woman departs the board relative to the departure of a ma...

Contributing author

With Emil Meurer, Jr., December 1975

July 1976

Rebuttal paper, April 1977

Spring 1962

Co-authored with Lee Dunham

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 a...

Also Co-Authored by: Jares, Timothy E. and Larsen, James E.

This article presents an alternative system for selling real estate. It overcomes the well-known deficiencies of the percentage commission system. In our system, the agent purchases the property from the seller and simultaneously receives a put option. The put option gives the agent the right to put the property back to the original owner. It is shown that this system has many of the desirable properties of a dealer system, while av...

Co-Authored with: Gordon V. Karels and Christine A. McClatchey

An interesting issue little explored in the celebrity endorsement literature is whether or not the activities of a celebrity endorser affect company performance. We examine the impact of Tiger Woods’ tournament performance on the endorsing firm’s value subsequent to the contract signing. We do not find a relationship between Tiger’s tournament placement and the excess returns of Fortune Brands (parent of Titleist). This is like...

with Joseph Haley

No Summary Available

November 1979

April 1966

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...

Using a large data sample of 58,562 new municipal issues covering the period from 1984 to 2002, we examine whether the quality of advice provided by a financial advisor affects new issue interest costs. We find that higher quality financial advisors are associated with statistically significant decreases in new issue yields. The effect of advisor quality on yields is more pronounced for revenue, negotiated, and opaque bond issues than for general obligation and competitively sold issues. However...

Spring 1962

March 1963

April 1963

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 ...

Co-Authored with: Philip Hersch and Jeffry Netter

This paper estimates the determinants of the contributions made by top executives to their firm’s Political Action Committee (PAC). We find that executive’s personal PAC contributions (proxy for the interest of the firm) are positively related to their shareholdings, income and option holdings (proxies for the interests of the executive). Contributions are also higher for CEOs and board members. This is direct evidence that the structure of th...

Previous studies of factor price equalization have generated mixed results. It is argued that the success often results from the fact that labor-cost time-series are nonstationary and, hence, traditional OLS models are misspecified. In this paper, the cointegration approach is utilized to test for the existence of a long-run relationship between factor prices. It is shown that indices of labor cost per unit of manufacturing output for six major industrialized nations are indeed cointegrated. The...

With Kyung Lee and James Schmidt

December 1970

Co-Authored by: Jirasakuldech, Benjamas

The paper examines if a country's financial disclosure system affects the likelihood of speculative bubbles. We compare stock returns of eight countries that differ in the quality of their disclosure systems as ranked by Saudagaran and Biddle (1992). We examine the hypothesis that stock prices of firms in countries with a low level of financial disclosure are more prone to speculative bubbles. We employ the duration dependence model developed by McQueen...

January 1965

February 1965

July 1987, abridged versions of "Group Property and Liability Insurance as an Employee Benefit"

Published Proceedings
International Society of Certified Employee Benefit Specialists, 1986.

June 1985

Co-authored with Kathy Farrell and Phil Hersch

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 lev...

With James Schmidt, December 1984

Spring 1977

We examine whether the sensitivity of pay to performance is associated with the amount of insider trading that managers undertake. Because insider trading profits represent an alternative form of compensation, we expect that firms will consider the compensation component provided by insider trading when designing remuneration contracts. Employing a proxy for insider trading that captures the degree to which managers trade on private information, we find evidence that an increased (a decreased) l...

Authors: Ralph Wherry and Monroe Newman, June 1964.

With David Rosenbaum

With Richard DeFusco and George Tsetsekos

Examines the long-run diversification potential of 13 emerging capital markets. Use of cointegration tests; Lack of cointegration in the markets; Correlation between returns from each market and the investment horizon; Apparent independence of markets within the emerging regions; Effectiveness of diversification in the emerging countries.

With Joseph Haley

Co-Authored with: David A. Whidbee

This paper examines Wall Street Journal news stories about 79 firms that forced CEO turnover and a matched sample of firms that did not force CEO turnover. In the two years prior to turnover, firms in the forced-turnover sample were the subjects of 76% more news stories about poor firm performance despite being from the same industry, of similar size, and similar performance as a sample of matched firms. Overall, the evidence suggests that scrutiny of poor f...

The usual advice given to the public by financial planners and the popular press is that less debt is better and in particular owning your own house outright is a desirable goal. We show that this advice is often wrong because mortgage debt acts as an inflation hedge. Mortgage debt also has a valuable refinancing option in case interest rates fall and an abandonment option if the value of the property declines. Mortgage debt is often seen simply as necessary because of people's limited financial...

Co-authored with with Travis Sapp

We examine the timing ability of mutual fund investors using cash flow data at the individual fund level. Over 1991-2004 equity fund investor timing decisions reduce fund investor average returns by 1.56% annually. Underperformance due to poor timing is greater in load funds and funds with relatively large risk-adjusted returns. In particular, the magnitude of investor underperformance due to poor timing largely offsets the risk-adjusted alpha gains offered ...

Presidential Address, March 1978

With Thomas L. Heflin, June 1981

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...

Also Co-Authored by: Jirasakuldech, Benjamas

The P/E ratio is often used as a metric to compare individual stocks and the market as whole relative to historical valuations. We examine the factors that affect changes in the inverse of the P/E ratio (E/P) over time in the broad market (S&P500 Index). We use a limited number of variables that can be justified on theoretical grounds, and include variables that measure investor beliefs and changes in tax rates. We show that tax rates and inve...

Co-Authored with: Swapan Sen, Patrick Joyce, and Jody Toutant

This article examines the student performance in the principles of finance courses by students with different specializations. The discussions on general tools such as time value of money and capital budgeting techniques are likely to be similar for majors and non-majors. However, discussions on capital structure theories can be very brief for non-majors, whereas working capital finance may be covered in detail for non-finance busi...

With John Chesebrough

Authors: Irving Pfeffer and David R. Klock, June 1976

Co-authored with Paul Weller

This paper develops a formal model of analyst earnings forecasts that discriminates between rational behavior and that induced by cognitive biases. In the model, analysts are Bayesians who issue sequential forecasts that combine new information with the information contained in past forecasts. The model enables us to test for cognitive biases, and to quantify their magnitude. We estimate the model and find strong evidence that analysts are overconfident about the ...

Authors: Herbert S. Denenberg, Robert D. Eilers, G. Wright Hoffman, Chester A. Kline, Joseph J. Melone and H. Wayne Snider, June 1966.

December 1962

With William Torrence

We investigate whether issuers that choose to forgo a bond rating suffer an interest cost penalty greater than the cost of the rating. We use estimated ratings provided by Moody’s Investor Service to proxy for what the rating would have been if it had been purchased. We find that the primary factors associated with an issuer’s decision to purchase a rating are the rating expected by the issuer and the extent to which an issue is marketed locally. After controlling for self-selection bias, we fin...

April 1983

Author: Robert J. Myers, September 1965.

Another Look at the Antipoverty Effects of Social Insurance Programs

Published Proceedings
International Institute of Social Economics and Association of Social Economics, 1993

March 1970

Book written by A. Haeworth Robertson
Book Review, May 1993

With Michael McNamara and Gerald Hanner

With Kyung Lee

January 1964

Second Quarter, 1985

With Michael K. Pippenger

Examines long-run purchasing power parity (PPP) using a formulation of PPP in the presence of transaction costs. Support of the proposition that PPP holds as a long-run equilibrium condition.

Co-Authored with: David A. Whidbee

We find an increased likelihood of outside director turnover following forced CEO succession, especially among those directors that are closely aligned with the outgoing CEO, own little equity, and make poor replacement decisions. Directors that remain on the board, however, are more likely to acquire new directorships than those that remain on the board of a matched-sample firm. Overall, the results suggest that outside directors who are not aligned with th...

Author: Seymour Harris, March 1965.

Co-Authored with:Jares, Timothy E.; Lavin, Angeline M.

Panel unit root tests represent a significant advancement in addressing the low power of unit root tests by exploiting cross-sectional and time-series information. In this article we employ Monte Carlo techniques to quantify the power improvements due to cross-sectional information and assess test sensitivity to heterogeneous data. Pooling the data alleviates negative effects of slowly adjusting equilibrium relations as well as persistenc...

This study provides new evidence on the industrywide impact of strike by investigating how strikes have affected the values of struck and nonstruck airlines. Using stock market data for the years 1963-86, the authors show that most strikes adversely affected the value of struck airlines' stock, but enhanced the stock value of nonstruck carriers. The results also show that strikes before October 1978, which marked the end of strict regulation of the industry and of the employers' mutual aid pact,...

June 1971

Co-Authored with: David A. Whidbee

Our analysis suggests that boards focus on deviation from expected performance, rather than performance alone, in making the CEO turnover decision, especially when there is agreement (less dispersion) among analysts about the firm's earnings forecast or there are a large number of analysts following the firm. In addition, our results suggest that boards are more likely to appoint a CEO that will change firm policies and strategies (i.e., an outsider) when fo...

Co-Authored with: David A. Whidbee

This study investigates the impact of a forced CEO turnover on the committee structure of the Board of Directors. Using a sample of 66 firms experiencing forced CEO turnover between 1982 and 1992, we compare committee structures of firms that experience forced CEO turnover to a matched sample of firms that do not force CEO turnover. Our results suggest that there are only minor changes to the percentage of insiders, affiliated outside directors, and independ...

This study examines a sample of 12,562 dual-rated local government bond issues including 6,104 split-rated issues to determine which rating agency has the greatest impact on yields. Using a database of municipal bond issues from 1986 to 2002, we show that Moody’s rated significantly more issues than S&P, and that Moody’s ratings were more conservative. However, from 1993 to 1997, there was a reduction in ratings disagreements and in Moody’s market share. Beginning in 1995, Moody’s received n...

Chinese version, 1983, National Social Insurance Association of Republic of China, Taipei, Taiwan, Republic of China.

With James Schmidt and Michael McNamara

Rebuttal Paper, December 1964

With James R. Schmidt, December 1979

National Social Insurance Association of China, Taipei, Taiwan, Republic of China, 1979

With Richard Shepler, September 1973

We investigate the role of job-match heterogeneity in the CEO labor market. We document a high percentage of CEO turnovers in the early years of tenure as illustrated by the hazard that increases until the fifth year of CEO tenure and then decreases. Evidence suggests that a good match is more likely if the new CEO performs better than the previous CEO. The best matches tend to occur when inside (outside) CEOs follow previous CEOs who quit (are dismissed). Evidence consistent with match theory i...

Co-Authored by: Yook, Ken

No Summary Available

July 1996

With David Rosenbaum

With James Schmidt and Kyung Lee

June 1966