This paper introduces benevolent agency and loan pricing in financial intermediation when a regulator uses capital as incentive and delegates monitoring to financial intermediaries who are better at screening, assessing risks and issuing loans to borrower firms. The model predicts three...

This paper provides a sectoral examination of the impact of trade policies and custom valuation procedures on estimating the dollar value of time varying import content of Japanese transplant automobiles. Using monthly data from 1985 to 1992, we introduce an error correction model (ECM) and a...

This paper provides an empirical investigation of the agency relationship between the public sector and small firms targeted for assistance by examining micro and macro data for a cross section of eligible women business enterprises (WBEs). Using hedonic sales and employment indices we find that...

This paper introduces an econometric theory which extends the Fama-MacBeth procedure for estimating risk adjusted returns by providing better estimators for security market line (SML) parameters. We show that the FM estimator violates necessary conditions for normality so that studies using it...

We introduce a model in which a regulator employs mechanism design to embed her human capital beta signal(s) in a firm’s capital structure. This can enhance her compensation at the firm, and the value of her contract with the firm in the form of an executive stock option. We prove that the...

This paper provides an empirical investigation of the agency relationship between the public sector and small firms targeted for assistance by examining micro and macro data for a cross section of eligible women business enterprises (WBEs). Using hedonic sales and employment indices we find that...

We introduce a canonical representation of call options, and propose a solution to two open problems in option pricing theory. The first problem was posed by (Kassouf, 1969, pg. 694) seeking “theoretical substantiation” for his robust option pricing power law which eschewed assumptions about...

We introduce a closed form behavioural stochastic Arrow-Pratt risk process, decomposed into discrete asymmetric risk seeking and risk averse components that run on different local times in ϵ-disks centered at risk free states. Additionally, we embed Arrow-Pratt (“AP”) risk measure in a...

A new method of forecasting the pricing kernel, i.e., stochastic claim inflation or link ratio function, of incurred but not reported (IBNR) claims (in property casualty insurance) from residuals in a dynamic claims forecast model is presented. We employ a pseudo Kalman filter approach by using...