The Value Relevance of Risk Disclosure: An Analysis of the Banking Sector

Abstract

The aim of this study is to test whether financial risk disclosures required by IFRS 7 and Pillar 3 are value relevant for investors to support them in their investment decisions. The sample in the study consists of banks listed on the London, Paris, Frankfurt, Madrid, and Milan Stock Exchanges over an 8-year period, from 2007 to 2014. Based on the aforementioned standards, we built financial risk disclosure indexes and distinguished different risk categories, qualitative and quantitative, as well as credit, liquidity, and market risk. Our analyses confirm that there is a positive association between bank value and several categories of established risk disclosures. Furthermore, it suggests that disclosure adds value to more traditional risk value measures. Besides, our results suggest that investors pay attention to the strength of the bank authority when using risk disclosures.     

Likelihood,Replicability and Robbins' Confidence Sequences

The widely claimed replicability crisis in science may lead to revised standards of significance. The customary frequentist confidence intervals, calibrated through hypothetical repetitions of the experiment that is supposed to have produced the data at hand, rely on a feeble concept of replicability. In particular, contradictory conclusions may be reached when a substantial enlargement of the study is undertaken. To redefine statistical confidence in such a way that inferential conclusions are non-contradictory, with large enough probability, under enlargements of the sample, we give a new reading of a proposal dating back to the 60s, namely, Robbins' confidence sequences. Directly bounding the probability of reaching, in the future, conclusions that contradict the current ones, Robbins' confidence sequences ensure a clear-cut form of replicability when inference is performed on accumulating data. Their main frequentist property is easy to understand and to prove. We show that Robbins' confidence sequences may be justified under various views of inference: they are likelihood-based, can incorporate prior information and obey the strong likelihood principle. They are easy to compute, even when inference is on a parameter of interest, especially using a closed form approximation from normal asymptotic theory.     

Selection of enterprise resource planning software using analytic hierarchy process

Selecting ERP (Enterprise Resource Planning) software is crucial to enhance productivity because it provides high-quality services for end users. The choice of an ERP is a problem that should undertake deeper scrutiny. For example, several criteria are usually present, having different tradeoffs. Analysts and managers, when deciding which ERP to acquire, have key considerations to address when facing the myriad of available software suites with market presence. Multicriteria modelling are used to help decision makers select ERPs and one commonly used technique for helping the process of addressing such problems is Analytic Hierarchy Process (AHP). Our work have surveyed the literature on selection of ERP and we have discovered that acquisition and monthly costs, ERP reputation and references, level of support and training, deployment experience, ERP’s feature set, easiness of use, efficiency and reliability, and maintainability are key criteria. We have used those criteria to create an AHP model for deciding the best one according to judgements of importance. The focus of our work is directed for small and medium organizations. We have created a model for ERP selection of a healthcare facility and computed numerical results using pairwise comparisons and group decision-making by selected managers according to their expertise.     

Properties of knowledge base and firm survival: Evidence from a sample of French manufacturing firms

The paper analyzes the effects of the properties of firms' knowledge base on the survival likelihood of firms. Drawing upon the analysis of the patterns of co-occurrence of technological classes in patent applications, we derive the coherence, variety and cognitive distance indexes, accounting respectively for technological complementarity, differentiation and dissimilarity in the firms' patent portfolios. The results of our analysis are in line with the previous literature, showing that innovation enhances the survival likelihood of firms. In addition, we show that the search strategies at work in the development of firms' knowledge base matter in reducing the likelihood of a failure event. Knowledge coherence and variety appear to be positively related to firms' survival, while cognitive distance exerts a negative effect. We conclude that firms able to exploit the accumulated technological competences have more chances to be successful in competing durably in the market arena, and derive some policy implications concerning the role of public intervention in the orientation of search efforts in local contexts.     

The hidden work of coping: gender and the micro-politics of household consumption in times of austerity

Abstract

This article explores the coping strategies of women in 10 middle-class Italian families facing economic crisis. We investigate food provision revealing the ceaseless extra work that goes into meal preparation. Adopting anthropological theories of thrift and sacrifice, we unpack participants’ micro-coping strategies, observing their tendency to redirect resources towards their loved ones and abnegating their own needs for the greater good of the family. This sacrifice is done out of necessity, reinforcing traditional gender inequalities in the home. However, there is also evidence that women take pride in their coping, developing new competencies and maintaining control over meal provision and thus the wider patterning of family life. We explore the significance of recessionary times for the constitution of female subjectivities at home.     

Forecasting accuracy of wind power technology diffusion models across countries

Wind power technology is analyzed in terms of diffusion, with incentive effects introduced as exogenous dynamics in the Generalized Bass Model (GBM) framework. Estimates and short-term forecasts of the life-cycles of wind power are provided for the US and Europe, as they have similar geographic areas, as well as for some leading European countries. GBMs have the best performance in model selection, and are ranked first in terms of forecast accuracy over a set of different accuracy measures and forecasting horizons, relative to the Standard Bass, Logistic, and Gompertz models.     

Public discourse and cosmopolitan political identity: Imagining the European Union citizen

European Union citizenship has thus far been constructed largely in national and economic terms, which are unlikely to redeem the promise of a rich and vibrant political future in the wake of the EU constitution. Therefore, one of the central challenges facing scholars, political leaders and citizens is to fashion new argumentative spaces that enable citizens to forge cosmopolitan political identities that may help to fulfill the vision of alternative futures. This paper addresses the rhetorical dimensions of European Union citizenship as it focuses on public discourse as constitutive of new models of political participation and engagement. Tracing the idea of citizenship in the writings of Hannah Arendt, Immanuel Kant, and Giambattista Vico, discourse and imagination become necessary for a new dimension of European Union citizenship.¹     

LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS

We study the local risk minimization approach for defaultable markets in a general setting where the asset price dynamics and the default time may influence each other. We find the Föllmer-Schweizer decomposition in this general setting and compute it explicitly in two particular cases, when default time depends on the risky asset's behavior and when only a dependence of discounted asset price on default time is occurring.