From Which Source Do Small Firms Derive Their Innovative Inputs? Some Evidence from Italian Industry

This paper relies upon the hypothesis that the “knowledge production function” – defined in the geographical sense – is characterized by coefficient estimates which vary with firm size. In particular, large firms depend for their innovative output on direct and indirect R&D inputs, whereas small firms more extensively exploit the spillovers from research activities carried out by universities and by other firms. This hypothesis is tested against two different sets of data: the first based on patent statistics and dealing with 20 Italian regions over the period 1978–86; the second consisting of a selected number of product innovations identified by a literature-based counting procedure and dealing with 46 Italian provinces in year 1989. The results of regression analysis support the hypothesis that firms belonging to different size classes resort to different sources for the knowledge relevant to their innovative output. In particular, industry R&D prove to play a relatively more important function than do spillovers from university research in generating innovative output in large firms, whereas the opposite is true in the case of small firms.     

The new EC law on bank crisis

I. The long preparatory works. II. Legal basis and subjective scope. III. The objective scope. IV. The unity principle and the information of the competent authorities. V. The universality principle and its exceptions. VI. Set‐off, rights in re and reservation of title. VII. Publication and information duties. Remedies and lawsuits pending. VIII. Other provisions on winding‐up and terms of implementation. IX. Conclusion. Copyright © 2002 John Wiley & Sons, Ltd.     

From Government to Regulatory Governance: Privatization and the Residual Role of the State

This article reviews the state of thinking on the governancerole of public ownership and control. Optimal governance systemsdepend on the path of institutional development. Nevertheless,the transfer of operational control over productive assets tothe private sector often yields a desirable governance system,because it may be more difficult for citizens to constrain politicalabuse than for governments to regulate private activity. Inweak institutional environments, however, the process needsto be structured to avoid capture of the regulatory process.The speed of transfer should be matched to progress in developinga strong regulatory governance system, to which certain residualrights of intervention must be vested. After all, "institutions"are simply governance mechanisms with some degree of autonomyfrom both political and private interests. The gradual creationof institutions partially shielded from political power mustbecome central to the development of an optimal mode of regulatorygovernance. The article presents suggestions for establishingaccountability in regulatory governance, in particular by creatingan internal control system based on a rotating board with representativesof users, producers, and civil society, in a process involvingfrequent reporting and disclosure. JEL codes: G38, L33, L51     

The fair value of guaranteed annuity options

We discuss the fair valuation of Guaranteed Annuity Options, i.e. options providing the right to convert deferred survival benefits into annuities at fixed conversion rates. The use of doubly stochastic stopping times and of affine processes provides great computational and analytical tractability, while enabling to set up a very general valuation framework. For example, the valuation of options on traditional, unit-linked or indexed annuities is encompassed. Moreover, security and reference fund prices may feature stochastic volatility or discontinuous dynamics. The longevity risk is also taken into account, by letting the evolution of mortality present stochastic dynamics subject not only to random fluctuations but also to systematic deviations.     

Barking Up the Wrong Tree: A Reply to Haynes & Husan

The Albanian economy in the 1990s experienced a rapid recovery from its near-collapse in 1992. The rapid economic growth between 1993 and 1996 was exceptional by East European standards, and represented the highest rate of sustained economic growth of all transition economies. This investigation indicates that the standard explanations for recovery and growth in transition economies, such as the pace of economic reform or the levels of domestic and foreign investment, do not adequately explain the rapid growth of the Albanian economy. Factors specific to Albania also need to be considered. The main conclusion drawn here is that the success of the Albanian economy in the mid-1990s rested largely upon the inflow of remittances from Albanians working abroad. These remittances are shown to have been much greater in value than was previously assumed by the IMF: in the region of $700 million per annum rather than $400 million. Remittances are also found to have played a much greater role in Albania's economic recovery than was previously recognised. It is demonstrated that the rise of pyramid investment schemes in 1996 was closely linked to the inflow of remittances. Such schemes are also found to have played a part in fuelling the rapid economic growth in the Albanian economy, before their collapse in 1997.     

A fuzzy set theory based computational model to represent the quality of inter-rater agreement

In this paper we present a method to evaluate the quality of a rater’s judgement, which can integrate and enrich the use of inter-rater agreement as a reliability measure. Our proposal is an integrative one and evaluates the quality of a rater’s performance through an analysis of the profile of that individual rater’s performance. We discuss its rationale on the basis of the interpretation of inter-rater agreement, highlighting some critical issues. For this purpose, we adopt a computational model based on fuzzy set theory, demonstrating its main characteristics with an exemplary case study.     

An Assessment of the Within-Year Seasonality in the Loan Loss Provisioning Behavior of European Banks

This study aims at assessing whether a significant within-year seasonality exists in the loan loss provisioning behavior of European listed banks observed in the period from 2004 to 2013. Since the accuracy of auditing processes and the level of disclosure requirements in financial reports differ among quarters, during the year, banks may have a leeway to underestimate and postpone the complete provisioning of loan losses in the less regulated and less audited quarters. We hypothesize that those differences are relevant factors which determine non-lower or significantly higher average levels of loan loss provisions in the half-yearly and especially in the annual financial reports than in the interim management statements disclosed in the first and the third quarters of the year. We also investigate the impact of the recent financial crisis and develop a special analysis for the ltalian banks＇ case. The empirical results support our hypotheses, suggesting that, in some cases, a convergence among quarterly levels of auditing processes and disclosure requirements may be needed. Our work contributes to the existing literature by providing additional evidences and considerations on the within-year seasonality in the loan loss provisioning behavior of European listed banks observed in the last decade.     

Diversification preferences in the theory of choice

Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This corresponds to the notion of risk aversion when one assumes the von Neumann–Morgenstern expected utility model, but the equivalence fails to hold in other models. This paper analyzes axiomatizations of the concept of diversification and their relationship to the related notions of risk aversion and convex preferences within different choice theoretic models. Implications of these notions on portfolio choice are discussed. We cover model-independent diversification preferences, preferences within models of choice under risk, including expected utility theory and the more general rank-dependent expected utility theory, as well as models of choice under uncertainty axiomatized via Choquet expected utility theory. Remarks on interpretations of diversification preferences within models of behavioral choice are given in the conclusion.     

Industrial districts and internationalization: the case of the agri-food industry in Modena,Italy

The paper explores the structural changes, in response to internationalization, in an important traditional activity (food chain, meat processing) in a typical ‘district area’. In the paper, attention is focused on the ‘Institutional structure of production’ (Coase, R. 1992 Coase, R. 1992. The institutional structure of production. American Economic Review, 82(4): 713–719. [Web of Science ®] , [Google Scholar]) and the cluster is considered as a whole, as a complex economic player, capable of generating coherent action, regulated by institutional mechanisms, and founded on a set of ‘public assets’ which make up its ‘social capital’.

The paper is based on many empirical studies and surveys aimed at exploring the structure of SMEs and the role of the local institutions: the changes observed over time and in response to internationalization underline the reinforcement of the activity's cluster configuration.

These features emphasize the existence of a specific unit of analysis, indivisible from the individuals which constitute it. The discussion touches on the classical themes of the efficiency of the net-economy based on SMEs, and their prospects in a context of growing globalization.

The paper does not aim to enter into the debate on the origins and mechanism of innovation. However, the case study does illustrate the strength of the hypothesis of a unit of analysis different from the firm for discussion of a number of topics: some empirical examples of innovation, of significance for the economic consolidation of the ID, highlight the importance of district relationships in the production and spread of innovation.     

Performance-weighted ensembles of random forests for predicting price impact

For any large player in financial markets, the impact of their trading activity represents a substantial proportion of transaction costs. This paper proposes a novel machine learning algorithm for predicting the price impact of order book events. Specifically, we introduce a prediction system based on ensembles of random forests (RFs). The system is trained and tested on depth-of-book data from the BATS and Chi-X exchanges and performance is benchmarked using ensembles of other popular regression algorithms including: linear regression, neural networks and support vector regression. The results show that recency-weighted ensembles of RFs produce over 15% greater prediction accuracy on out-of-sample data, for 5 out of 6 timeframes studied, compared with all benchmarks. Feature importance ranking is used to explore the significance of various market features on the price impact, finding them to be highly variable through time. Finally, a novel procedure for extracting the directional effects of features is proposed and used to explore the features most dominant in the price formation process.