A common approach in the literature, whether the investigation is about futures price risk premiums or biases in option-based implied volatility coefficients, is to use samples in which consecutive observations can be regarded as uncorrelated. That will be the case for non- overlapping forecast...

This note gives a simple, but useful characterization of optimism and pessimism represented by a convex and concave shift of probability weighting functions, and applies it to two comparative static analysis.

Cover page and table of contents for issue 41/2

An econometric procedure for estimating Arrow-Pratt coefficients of risk aversion is derived. The model of farmers allocating land among different crops, and time between leisure and labor, allows for testing Arrow's hypotheses of decreasing absolute risk aversion and increasing relative risk...

The purpose of this paper is to develop criteria for comparing and ranking uncertain prospects when we have some information on the extent to which agents are risk-averse. The basis for these comparisons is the value of the certainty equivalent outcome of the corresponding uncertain prospects....

This paper has the purpose of testing the expectations hypothesis of the term structure for two corporate bond yields. A new test is developed based on an ARIMA data generation process of the short rate, and on the derivation of a relation between the change in the long rate and revisions of...

Bank operating statistics for 1980-91 illustrate important differences between agricultural and nonagricultural banks. The agricultural banks, with a higher proportion of agricultural loans, were more profitable overall, while having more securities and fewer loans. Most agricultural banks were...