Causality And Cointegration Of Currency-Adjusted Stock Indices: Evidence From Close-Of-Day Data

A recent line of research develops currency adjusted stock indices.  These indices incorporate the effects of both stock value changes and underlying currency value changes to measure wealth changes.  This paper extends the extant literature by examining time series properties of currency-adjusted indices.  This research examines daily data for eight existing stock indexes and their currency adjusted counterparts for the period 1993-2013.  The paper includes cointegration and Granger causality analyses.  Results show cointegration between each combination of series examined.  About half the pairwise index combinations display bidirectional Granger causality

Implications Of Changes In Tax Rates For Firm Debt Levels: Evidence From The 1986 Tax Reform Act

In a recent paper, Jalbert (2002) develops and tests valuations equations for firms that are subject to pass-through taxation and for firms that are subject to double taxation.  This work is extended by Jalbert and Dukes (2003) who examine the implications of a zero percent tax rate on dividend income.   In this paper, we extend this line of work by developing equations for the implied changes in firm capital structure around a change in tax regime.  The results show that firms change their capital structures in predictable ways when tax rates change.  These results are important for determining likely changes in firm policy around future tax regime changes.&nbsp

Dollar Index Adjusted Stock Indices

This paper presents stock indices that reflect changes in both stock value and underlying currency value.  An earlier study develops the first known currency adjusted stock index.  This paper extends the literature by utilizing a better measure of US dollar value to develop currency value adjusted indices.  We examine distributional properties of the indices and determine the portion of wealth change attributable to stock value change and currency value change.  The results show significant differences in return variance between original and dollar adjusted indexes.  The results further show that changes in the stock index level explain most wealth changes.  However, changes in currency value explain as much as 14.9 percent of wealth changes

International Evidence On Currency Adjusted Stock Indexes

Recent literature examines currency value adjusted indexes. The extant research examines U.S. stock indexes as adjusted for the value of the U.S. dollar and the value of gold. The literature examines only U.S. stock indexes. This paper extends the existing literature by examining currency adjusted stock indexes from eight countries. The analysis includes daily closing data from 1993-2016. The results show that currency adjusted indexes produce significantly different return distributions than original indexes. Further, currency value changes explain as much as 31 percent of total wealth changes, a result substantially higher than previously reported for U.S. currency adjusted indexes. The combined evidence indicates that currency value changes impact total wealth changes more for international indexes than for U.S. indexes. &nbsp

Intraday Index Volatility: Evidence From Currency Adjusted Stock Indices

A recent research stream develops currency adjusted stock indices.  The analysis in previous papers is limited to daily closing data.  This paper extends the existing body of literature by examining tick data.  We examine tick data from 2002 through 2013 for eight indices.  In general, results show the Dollar Index adjusted indices display significantly lower variation than the unadjusted indices.  Correlation between the Dollar Index and unadjusted stock indices is negative.  Both raw and Dollar index adjusted indices display departures from intra-tick symmetry.  The results also show that Dollar Index changes explain as much as fifteen percent of wealth changes

Does Degree Earned Matter? An Empirical Analysis Of CEOs From Large Firms

In this paper the educational backgrounds of the Highest Paid Chief Executive Officers (CEOs) in the United States are examined.  Specifically, the extent to which the specific degree earned affects the salary received and other variables are examined.  The data for the study is the Forbes 800 CEO compensation data.  The time period for this study is the thirteen years from 1987-1999.  The results indicate that the total compensation that individuals earn as the CEO of the firm depends upon the undergraduate and graduate degree that the individual earns. Those with differing degrees are found to have been with the firm for a differing number of years, earned their undergraduate and graduate degrees at different ages, started working for the firm at different ages, became the CEO at differing ages, and were with the firm for differing number of years prior to becoming the CEO

Optimal Tax Deferral Choices In The Presence Of Changing Tax Regimes

In this paper the attractiveness of tax-deferred and non-deferred investments in periods of changing tax regimes are examined.  Specifically the desirability of deferring taxes given one’s current tax rate, estimate of future tax rates, number of years until retirement, and the expected rate of return on investment is explored.  Under some combinations of tax rates and investment horizons, tax deferral is found to be undesirable while in others it is found to be desirable.  Using the formulas and tables developed here, an individual can identify the rate of return on investment at which he is indifferent between deferring and not deferring, rates at which tax deferral is preferred and rates at which tax deferral is inferior.  In addition, the sensitivity of the decision to the timing of future tax rate changes is explored.  This research provides investors a more comprehensive understanding of the factors that determine optimal tax deferral choices and will permit investors to make better tax deferral decisions

Advances In Teaching The Time Value Of Money

Students frequently experience difficulty in identifying the appropriate time value of money (TVM) technique to apply to a TVM problem.  This paper offers a modification of a recently published TVM technique developed by Jalbert (2002) in order to help students understand and solve TVM problems.  The modified technique developed here simplifies the previously developed technique by reducing the number of questions that students must examine to arrive at the appropriate TVM technique for a problem.  In addition, the technique developed here eliminates the need for students to learn annuity techniques altogether.  As such, the technique developed here specifically intends to meet the needs of students who experience difficulty in understanding annuities.  Modified visual aids are provided to assist students in selecting correct techniques.  By using these techniques, students will find it much easier to identify appropriate TVM techniques

Does Educational Background Affect CEO Compensation And Firm Performance?

This paper examines the educational background of Chief Executive Officers (CEOs) from large U.S. firms. Forbes CEO compensation lists and Compustat data covering 500 or more firms annually are utilized in the analysis for the period 1997-2006.  Universities are ranked based on the number of graduates placed in top CEO positions and of the total compensation their graduates earn as CEO.  Results show a select group of schools educate a large proportion of top CEOs.  Harvard dominates the CEO market at all educational levels.  Results show low correlation between university placement rankings and compensation rankings.  Regressions on CEO compensation provide additional insights into CEO compensation determinants. Regressions of CEO educational variables on firm performance measures identify links between CEO education and firm performance.  This is the first known paper to examine CEO gender as a determinant of compensation and firm performance.  The evidence here provides hiring and compensation committees valuable information on appropriate hiring, retention and compensation strategies.  It also provides government officials additional insights for designing appropriate regulations

Does School Matter? An Empirical Analysis Of CEO Education, Compensation, And Firm Performance

In this paper the educational background of the Chief Executive Officers (CEOs) of Large U.S. Firms are examined.  Specifically, the educational background of CEOs from large U.S. firms, as identified in the Forbes 800 Compensation List, are examined.  Information concerning the number of Chief Executive Officers that received their undergraduate and graduate degrees from 463 institutes of higher education are compiled.   We find that most CEOs have an undergraduate degree, while about half possess a graduate degree.  The results indicate that there are preferred educational backgrounds for selection as the CEO of a major corporation.  We also examine how the educational background of the CEO is related to the CEO’s total compensation.  The evidence indicates that those CEOs that do not have a degree earn significantly more than those CEO’s that do have a college degree.  We find little evidence that the school attended affects the compensation that the CEO receives.  Finally, we examine firm ROA and Tobin’s Q based on the educational background of the CEO.  We find an association between possession of a degree as well as where the degree was earned and the ROA and Tobin’s Q of the firm.