AN ANALYSIS OF EDUCATION EXTERNALITIES WITH APPLICATIONS TO DEVELOPMENT IN THE DEEP SOUTH

A simplified, medium-term dynamic model of endogenous growth is used to analyze education externalities. Returns include not only direct effects but also indirect effects from education on growth and development. Indirect effects are externalities because they arise as the result of the education of others and prior generations. The existing growth literature often discounts these, although they are shown to be larger than short-term effects. Simulations for the U.S. Deep South indicate larger medium-term net education impacts on growth, infant mortality, longevity, and democratization, so policies do matter. These are reasons why micro rate of return estimates are larger than education effects in growth equations. ( JEL I21, O40, O10, H23)     

Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt

This paper empirically investigates a contingent-claims model of commercial mortgage pricing. We find that the magnitude of the observed default premia for a sample of nonprepayable fixed rate bullet mortgages can be explained by the contingent-claims model. In addition, the model explains a significant proportion of the period-to-period changes in the default premia. However, given an assumed negative correlation between building value changes and interest rate changes, the model's risk structure tends to increase less steeply with increasing maturity than the observed risk structure.     

The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns

This paper estimates volatility changes in daily returns to the Dow Jones Industrial Average over the sample period 1897 through 1988. This allows a direct investigation of the reaction of the level of stock prices and subsequent expected returns to these estimated changes in volatility. We provide empirical evidence consistent with relatively large and systematic revisions in stock prices and subsequent expected returns to volatility changes. However, there appears to be an asymmetry in the market's reaction to volatility increases as opposed to volatility decreases. A majority of our volatility changes cannot be associated with the release of significant economic information.     

THE SUBORDINATION OF BRITISH WOMEN - SOME CAUSES AND CONSEQUENCES

We live in an unequal society, half of whose members, women, are thought of as naturally subordinate to and dependent on the other half, men. In spite of considerable advances in the 20th Century, sexist ideology still pervades our everyday lives and women are traditionally subordinate to men in their domestic, work and more general societal roles. What or which are the causal variables in this equation? Is it patriarchy itself which causes the subordination of women in the paid labour market? Is it rather the capitalist mode of production and women's exploited position within this system that is the cause of their economic dependence, and in turn their more general subordination to men? The author considers the subordination of women both historically and in contemporary society.     

On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

The Black-Scholes call option pricing model exhibits systematic empirical biases. The Merton call option pricing model, which explicitly admits jumps in the underlying security return process, may potentially eliminate these biases. We provide statistical evidence consistent with the existence of lognormally distributed jumps in a majority of the daily returns of a sample of NYSE listed common stocks. However, we find no operationally significant differences between the Black-Scholes and Merton model prices of the call options written on the sampled common stocks.     

INTELLECTUAL PROPERTY RIGHTS AND ECONOMIC GROWTH

This paper studies the relationship between intellectual property rights (IPRs) and economic growth for a cross-section of countries for the period 1960–1990. The analysis focuses on effects of IPRs on growth using a quantitative index of IPRs. The paper finds that IPRs affect economic growth indirectly by stimulating the accumulation of factor inputs like R&D and physical capital. The positive effects of IPRs on factor accumulation, particularly of R&D capital, are present even when the analysis controls for a more general measure of property rights