This article shows that, contrary to the suggestion of some investment advisers, for an individual Canadian investor subject to personal income taxation, the after-tax yield on a discount bond is always higher than (or, at worst, equal to) the yield on a premium bond. * Of the Department of Economics, University of Alberta, Edmonton. We thank the editors of this journal and two anonymous review...

Since the equity premium as well as the risk-free rate puzzle question the concepts central to financial and economic modeling, we apply behavioral decision theory to asset pricing in view of solving these puzzles. U.S. stock market data for the period 1960-2003 and German stock market data for the period 1977-2003 show that emotional investors who act in accordance to Bell's (1985) disappointm...

SUMMKR 2005 O ption-adjusted spread (OAS), while a much better measure than yield or static spread, still tails short in explaining the dynamics of mortgage pricing. The standard OAS typically varies across instruments {pass-throughs, collateralized mortgage obligations, interest-only securities, principal-only securities), coupons, prepayment option moneyness, and pool seasoning stages. Premiu...

Title of dissertation: RISK AVERSION, PRIVATE INFORMATION AND REAL FLUCTUATIONS Cristián Pardo, Doctor of Philosophy, 2005 Dissertation directed by: Professor John Shea Department of Economics In this dissertation, I further explore the role of the entrepreneurial sector in creating frictions in the economy. I examine the combined effect of private information and entrepreneurial risk aversion ...

Estimated dynamic models of business cycles in emerging markets deliver counterfactual predictions for the country risk premium. In particular, the country interest rate predicted by these models is acyclical or procyclical, whereas it is countercyclical in the data. This paper proposes and estimates a small open economy model of the emerging-market business cycle in which a time-varying countr...

This paper presents a new scheduling scheme to support premium service in the Differentiated Service (DiffServ) architecture. It is based on weighted packet scheduling policies such as weighted round robin or fair queueing. The key feature of the new scheduling scheme is to change the scheduling weights of Behavior Aggregates adaptively. By adaptively adjusting the weights according to the dyna...

This paper asks if "higher education as a signal" helps explaining the comovements between college enrollment rate and skill premium for younger workers in the US from 1973 to 2005. In my model a continuum of agents, heterogeneous in talent and initial wealth, make schooling and working decisions: work now or take up college first? When college is very expensive only the wealthy can afford it, ...

Wage-Hours Contracts, Overtime Working and Premium Pay This paper offers a contract-based theory to explain the determination of standard hours, overtime hours and overtime premium pay. We expand on the wage contract literature that emphasises the role of firm-specific human capital and that explores problems of contract efficiency in the face of information asymmetries between the firm and the...