Recent Submissions

  • Stability of Curved Interfaces in the Perturbed Two-Dimensional Allen-Cahn System 

    Iron, David, Theodore Kolokolonikov, John Rumsey, and Juncheng Wei. 2009. "Stability of Curved Interfaces in the Perturbed Two-Dimensional Allen-Cahn System." SIAM Journal on Applied Mathematics 69(5): 1228-16.
    We consider the singular limit of a perturbed Allen-Cahn model on a bounded two-dimensional domain: $\left\{\begin{array}{@{}ll@{}} u_t = \varepsilon^2 \Delta u - 2 (u - \varepsilon a) (u^2 - 1), & x \in \Omega \subset ...
  • Basel II: the market reacts 

    Leander, Ellen, Choongo Moonga, Oonagh Leighton, John Rumsey, et al. 2004. "Basel II: the market reacts." Risk 17(8): 56-60.
    After close to 6 years of rigorous debate and consultation, the final version of Basel II's credit risk framework was announced at the end of June. Basel II seeks to put in place advanced credit risk monitoring and measurement ...
  • Market efficiency in the valuation of corporate control: Evidence from dual class equity 

    Robinson, Chris, John Rumsey, and Alan White. 1996. "Market efficiency in the valuation of corporate control: Evidence from dual class equity." Revue Canadienne des Sciences de l'Administration 13(3): 251-263.
    The existence of 2 classes of equity differing principally in their voting rights allows tests of hypotheses of corporate governance and security valuation. A legal case involving the voting and non-voting shares of Canadian ...
  • Conducting event studies with thinly traded stocks 

    Maynes, Elizabeth, and John Rumsey. 1993. "Conducting event studies with thinly traded stocks." Journal of Banking & Finance 17(1): 145.
    Procedures for measuring abnormal performance around events when securities do not trade daily are examined using data from the Toronto Stock Exchange. A rank test patterned after the statistic proposed by Corrado (1989) ...
  • A note on market efficiency, institutional practice, and economic constraints in the experience of the Canadian bond market 

    Halpern, Paul, and John Rumsey. 1997. "A note on market efficiency, institutional practice, and economic constraints in the experience of the Canadian bond market." Journal of Banking & Finance 21(1): 113-123.
    For many years, Government of Canada bonds with high coupons traded at much higher yields than those with lower coupons. This apparent market inefficiency virtually disappeared over a short period of time during 1993. ...
  • Strip bonds and arbitrage bounds 

    Halpern, Paul, and John Rumsey. 2000. "Strip bonds and arbitrage bounds." Canadian Journal of Administrative Sciences 17(2): 143-152.
    If the price of a coupon bond is sufficiently different from the sum of the prices of its stripped components, arbitrage trades between the 2 will be profitable. This paper estimates the size of the price difference between ...
  • Why are some pension plans partially funded? 

    Fowler, David J., and John Rumsey. 1994. "Why are some pension plans partially funded?." Journal of economics and business 46(3): 207.
    An analysis develops a model of the employee's reaction to the level of pension plan funding. The model shows that the employee will be overpaid whenever the firm offers a funded pension, but that there will be a level of ...
  • Globalization and portfolio risk over time: The role of exchange rate 

    Fooladi, Iraj J., and John Rumsey. 2006. "Globalization and portfolio risk over time: The role of exchange rate." Review of Financial Economics 15(3): 223.
    We examine benefits of international diversification for the period 1 January 1988 to 30 June 2000. We introduce a new variable (lambda) that measures these benefits more directly than do the pairwise correlations among ...
  • Pricing Cross-Currency Options 

    Rumsey, John. 1991. "Pricing Cross-Currency Options." The Journal of Futures Markets (1986-1998) 11(1): 89.
    A cross-currency option is an option in which the currency of the exercise price is different from the currency used to price the underlying asset. A simple example is a call option to buy 100 Yen at an exercise price of ...
  • Testing for tax effects of dividend yields on pre-tax returns 

    Rumsey, John. 1992. "Testing for tax effects of dividend yields on pre-tax returns." Revue Canadienne des Sciences de l'Administration 9(4): 305-309.
    A study uses US and Canadian data to determine whether the impact of dividend yield on pre-tax return is consistent with the tax laws. The results show that pre-tax returns are affected by dividends, but not as predicted ...
  • Comparison of tax rates inferred from zero-coupon yield curves 

    Rumsey, John. 1996. "Comparison of tax rates inferred from zero-coupon yield curves." The Journal of Fixed Income 5(4): 75.
    The term structures estimated from Treasury bill and bond prices are widely used to measure beliefs about future interest rates, so much attention has been paid to improving the estimate. There are 2 approaches to estimating ...
  • Can we detect market timing ability using an option model? 

    Rumsey, John. 2000. "Can we detect market timing ability using an option model?." Canadian Journal of Administrative Sciences 17(3): 269-279.
    The payoff available from successful prediction of market returns can be obtained by buying a suitable option. This idea has been used to test for market timing ability. This article shows that such tests are biased toward ...
  • Problems in Performance Attribution 

    Fooladi, Iraj J., and John Rumsey. 2011. "Problems in Performance Attribution." Quarterly Journal of Finance and Accounting 50(1): 5-22.
    Decomposing excess return into asset allocation and security selection components is ambiguous when the return is expressed in terms of asset classes. We present two methods for eliminating this ambiguity.