Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High‐frequency Data

We analyse the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We report that a striking percentage of the data consists of option prices violating basic no‐arbitrage conditions. This percentage declines when we relax the no‐arbitrage restrictions to accommodate the presence of bid/ask spreads and other frictions but never becomes negligible. We also investigate the informational efficiency of the MIBO and conclude that option prices are poor predictors of the volatility of MIB30 returns. This conclusion is robust to a number of statistical and sampling methods.
(J.E.L.: G13, G14).     

What are the Trade Spill-Overs from Fiscal Shocks in Europe? An Empirical Analysis***

We use a Vector Auto Regression (VAR) analysis to explore the (trade spill-over) effects of fiscal policy shocks in Europe. To enhance comparability with the existing literature, we first analyse the effects of these shocks at the national level. Here, we employ identification based on Choleski decomposition and a structural VAR, both of which lead to the same results. Then, we turn to study the cross-border spill-overs of fiscal shocks via the trade channel. Fiscal expansions in Germany, France and Italy lead to significant increases in imports from a number of European countries. In order to mimic the case of monetary union, we also shut off the effects via the short-term interest rate and the nominal exchange rate and find a slight strengthening on average of the cross-country spill-overs from a fiscal expansion. These results suggest that it may be worthwhile to further investigate the possibility of enhanced fiscal coordination.*** This research is part of the RTN project ‘Macroeconomic Policy Design for Monetary Unions’, funded by the European Commission (contract number HPRN-CT-2002-00237). We thank two anonymous referees, a referee for the ECB Working Paper series, Peter Claeys, David-Jan Jansen, Franc Klaassen, Roberto Perotti and audiences at the Dutch Central Bank and the CEPR/CREI Conference ‘Designing a Macroeconomic Policy Framework for Europe’ (Barcelona, 2004) for many helpful comments. A large part of this paper was written while Beetsma was visiting the Directorate-General for Research of the ECB. He thanks the ECB for the stimulating research environment. The views expressed in this paper are those of the authors and do not commit any of.cial institution. The usual disclaimer applies.     

A combinatorial approach for pricing Parisian options

This paper provides a discrete time algorithm, in the framework of the Cox–Ross–Rubinstein analysis (1979), to evaluate both Parisian options with a flat barrier and Parisian options with an exponential boundary. The algorithm is based on a combinatorial tool for counting the number of paths of a particle performing a random walk, that remains beyond a barrier constantly for a period strictly smaller than a pre-specified time interval. As a result, a binomial evaluation model is derived that is very easy to implement and that produces highly accurate prices. Received: 19 March 2001 / Accepted: 17 March 2002 The author thanks Prof. Ivar Massabó for helpful comments and discussions. This research has been partially supported by MIUR (research on “Modelli per la Finanza Matematica”)     

A polymorphism associated with entrepreneurship: evidence from dopamine receptor candidate genes

The tendency to be an entrepreneur may be influenced by genetic variation. Sensation seeking is more common among entrepreneurs than among the general population. Twin studies show that the tendency to be an entrepreneur is heritable and that common genes influence both sensation seeking and entrepreneurial tendency (Nicolaou et al. Manag Sci 54:167–179, 2008a; Strateg Entrep J 2:7–21, 2008b). Since dopamine receptor genes have been associated with novelty seeking/sensation seeking (Benjamin et al. Nat Genet 12:81–84, 1996; Ebstein et al. Nat Genet 12:78–80, 1996; Noblett and Coccaro Curr Psychiatry Rep 7:73–80, 2005), and attention deficit hyperactivity disorder (ADHD) has been reported to occur at greater rates among entrepreneurs, we examined the association between five dopamine receptor genes and four ADHD-associated genes, with the tendency to be an entrepreneur in a sample of 1,335 individuals from the UK. We found a single nucleotide polymorphism (rs1486011) of the DRD3 gene on chromosome 3 to be significantly associated with the tendency to be an entrepreneur. This result is the first evidence of the association of a specific gene with entrepreneurship. Further studies are needed to replicate this association.     

Marx and the Development of Critical Political Economy

Abstract

Although relevant analytical developments were provided over time by the critique of economic theory, they did not succeed in inhibiting the occurrence of a full-fledged revival of the neoclassical interpretation of capitalism. The development of critical economics and its capability of checking the influence of the dominant economic culture have been especially prejudiced by the failed integration between the analyses of Marx and Keynes. Following Keynes, once the ‘inducement to invest’ had been singled out as the central question for the explanation of output levels, one should have promptly acknowledged that on this very question Marx's analysis was significantly richer and more relevant than Keynes's—the richness and relevance of the former ultimately resting on the great attention Marx dedicated to the complex question of the influence of income distribution on the capitalists’ incentive to invest. It is argued in the article that through the study of this influence Marx succeeded in putting together the essential elements of a critical theory of effective demand, based on the principles and mechanisms that govern the distribution of income between profits and wages.     

Problemi di minimax di tipo discreto: Un approccio unificato mediante il teorema dell'alternativa di Motzkin

Si dimostrano delle condizioni del primo ordine, alcune necessarie e altre sufficienti per problemi di minimax di tipo discreto, utilizzando prevalentemente il teorema dell'alternativa di Motzkin.

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In this paper discrete minimax problems are considered.Some first order optimality conditions for minimax problems in hypothesis of different kind about the set of constraints are proved.We don't suppose that the set is convex, as treated by V. F. Dem'yanov and V. M. Malozemov.For the proofs it has often been used the alternative Motzkin's theorem.

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Pervenuto il 28-3-82

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Lavoro eseguito nell'ambito del progetto di ricerca «Equilibrio in modelli matematici con aspettative razionali».     

The Determinants of Organizational Change and Structural Inertia: Technological and Organizational Factors

There are a growing body of theoretical work, wide anecdotal evidence, and a few large-scale empirical studies supporting the view that business firms quite rarely change their organizational structure, a phenomenon usually referred to in the literature as structural inertia. The present paper aims to analyze empirically the determinants of structural inertia and organizational change. As far as we know, this work constitutes the first attempt to directly address such issues through econometric estimates based on a large, longitudinal dataset at plant level. For this purpose, we consider changes of the organizational structure within a sample composed of 438 Italian manufacturing plants observed from 1975 to 1996. More precisely, we specify and test a duration model of the likelihood of an individual plant changing the number of hierarchical tiers after a spell r, provided that no change has occurred up to T. We also analyze the direction of change, distinguishing increases from decreases of the number of managerial layers. We consider a set of plant- and industry-specific explanatory variables that are expected to induce or oppose organizational change. The findings show that the adoption of advanced manufacturing technologies and new human-resources management practices favors organizational change. On the contrary, the presence of sunk costs and the extent of influence activities figure prominently in explaining structural inertia of business organizations.