This paper presents two computational techniques and shows that these techniques can improve tests for market efficiency based on profit of trading rules. The two techniques focus on interval estimates for expected profit per trade, in contrast to the standard approach that emphasizes point...

The new methodology to study the impact of corporate events on bonds is comprised of a sampling technique and regression model. The method is different from standard approaches, motivated by the belief that event impact should be reflected in levels of yield premium. The regression tests for a...

The profit surface is a visualization technique for data computed from trading rules. I simulate price paths and operate the trading rules to compute cumulative returns for the rule under different specifications. The specifications are pairs of integers, filter lag lengths, so a contour plot is...

Leveraged ETF are mandated to provide a multiple of the return on an index for intraday time periods. I present statistical estimates of beta for two leveraged ETF and one index at sampling rates from one to twenty five minute sampling. I find that beta is close to the leverage factor for...

This paper explores unintended consequences of policy that restricts land ownership. I describe certain farmland investment funds that are active in Canada, policy in the Province of Saskatchewan that has restricted ownership since 1974, and how the two are related. I argue that global economic...

The purpose of this paper is to propose a trading strategy for overlapping ETF and calculate the profitability using real price data. For two overlapping ETF that are designed to provide the same intraday percentage change, the difference in percentage changes is a measure of mispricing. This...

This paper develops a model to study corporate investment decisions using the principal-agent framework. The model has asymmetric information where the agent knows the true value of the company and the principal does not. The model also has uncertainty where the company is presented an...

In this paper I develop a method to estimate the effect of an event on a time series variable. The event is framed in a quasi-experimental setting with time series observations on a treatment variable, which is affected by the event, and a control variable, which is not. Prior to the event, the...

In this paper I present a simple model of government spending where the level of government debt affects the output gap. The structure of the economy is specified such that the output gap has a structural part, which is a function of debt. Based on empirical research, the structural part is...

In this paper I develop a theoretical model to analyze policy that restricts who can own land. I briefly review research related to such policy in Saskatchewan, Canada, and identify a standard supply-demand model that I extend in several ways. First, I replicate results for how policy affects...