Pre-adoption market reaction to IFRS 9: A cross-country event-study

We are the first to examine the market reaction to 13 announcement dates related to IFRS 9 for over 5400 European listed firms. We find an overall positive reaction to the introduction of IFRS 9. The regulation is particularly beneficial to shareholders of firms in countries with weaker rule of law and a smaller divergence between local GAAP and IAS 39. Bootstrap simulations rule out the possibility that sampling error or data mining are driving our findings. Our main findings are also robust to confounding events and the extent of the media coverage for each event. These results suggest that investors perceive the new regulation as shareholder-wealth enhancing and support the view that stronger comparability across accounting standards of European firms is beneficial to international investors and outweighs the costs of poorer firm-specific information.     

Forecasting economic activity by Bayesian bridge model averaging

This paper proposes the use of Bayesian model averaging (BMA) as an alternative tool to forecast GDP relative to simple bridge models and factor models. BMA is a computationally feasible method that allows us to explore the model space even in the presence of a large set of candidate predictors. We test the performance of BMA in now-casting by means of a recursive experiment for the euro area and the three largest countries. This method allows flexibility in selecting the information set month by month. We find that BMA-based forecasts produce smaller forecast errors than standard bridge model when forecasting GDP in Germany, France and Italy. At the same time, it also performs as well as medium-scale factor models when forecasting Eurozone GDP.     

Participation Versus Social Exclusion

The different experience of unemployment and of poverty in the two main Western economic systems (roughly, Europe and the US) demonstrates that a simple economic approach to these problems does not exist. In this paper I deal with the question of the impact of technological change on productive activities, employment and income distribution.The main idea is the following: technological progress may lead to an impoverishment of the disadvantaged people in a free-market society, as a consequence of their inability to adjust their skills to the new requirements of the labour market. By contrast, a just society, grounded on moral principles, recognizes that the distributive criterion has to take into account not only individual contributions to production, but also the relative needs of the individuals. In that context, everyone should be better off after a technological change, since it is fair that everyone gains some advantage from a generalized improvement in the productive conditions of society. A policy that adopts this perspective should provide an effective guard against the danger of social exclusion that strikes modern societies.     

THE WIENER–HOPF TECHNIQUE AND DISCRETELY MONITORED PATH‐DEPENDENT OPTION PRICING

Fusai, Abrahams, and Sgarra (2006) employed the Wiener–Hopf technique to obtain an exact analytic expression for discretely monitored barrier option prices as the solution to the Black–Scholes partial differential equation. The present work reformulates this in the language of random walks and extends it to price a variety of other discretely monitored path‐dependent options. Analytic arguments familiar in the applied mathematics literature are used to obtain fluctuation identities. This includes casting the famous identities of Baxter and Spitzer in a form convenient to price barrier, first‐touch, and hindsight options. Analyzing random walks killed by two absorbing barriers with a modified Wiener–Hopf technique yields a novel formula for double‐barrier option prices. Continuum limits and continuity correction approximations are considered. Numerically, efficient results are obtained by implementing Padé approximation. A Gaussian Black–Scholes framework is used as a simple model to exemplify the techniques, but the analysis applies to Lévy processes generally.     

Testing for Parameter Stability in Dynamic Models across Frequencies*

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in vector autoregressive (VAR) models at a particular frequency ω, where ω ∈ [0, π]. When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data are responsible for parameter instability. If the model is locally stable at the frequencies of interest, the whole sample size can then be exploited despite the presence of a break. The methodology is applied to analyse the productivity slowdown in the US, and the outcome is that local stability concerns only the higher frequencies of data on consumption, investment and output.     

Sectoral border effects and the geographic concentration of production

The object of this paper is to study the relationship between the border effect and the geographic concentration of production. We explain this relationship through the home market effect and test the robustness of this explanation by using an analysis that considers the European single market. A sectoral gravity equation is estimated with different econometric estimators; in particular, we discuss a recently suggested estimator for log-linear CES models. Overall, our findings suggest a steady relationship between the border effect and the concentration of production. Furthermore, the analysis of concentration through a synthetic index provides us with valuable insights into the structure of the European industry.     

Past,present and future trends of purchasing and supply management: An extensive literature review

This research aims to evaluate the state of the art of Purchasing and Supply Management (PSM). This is carried out through a wide, in-depth, and structured examination of published works. More than one thousand papers (i.e., 1055) published in 20 peer-reviewed journals were collected and analyzed to provide a snapshot of PSM research, including the extent of the overall production, the background theory used, the unit of analysis, the research method, and the main topics investigated. Other literature reviews related to PSM have been conducted in the past but have focused primarily on specific topics and/or considering a narrower set of publications. Furthermore, the authors define a framework useful for analyzing the PSM literature and outline the state of the art of PSM research from a content-specific perspective, including an evaluation of the maturity of PSM research as a discipline.     

Roundtable

Abstract

This paper introduces a selection of papers on contemporary developments in public sector management which come from a research conference held in 2004. This paper starts by introducing the New Public Management (NPM) and governance paradigms as alternative high level approaches. Such approaches are well known in the UK and are also of international interest. It then considers whether there are further possible reform paradigms not captured by these rather State centric models. The paper then briefly introduces each of the papers selected from the Conference proceedings. These papers contribute to the literature on the NPM, on the NPM versus governance debate and also generate and apply novel theoretical perspectives.     

Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options

We analyze the volatility surface vs. moneyness and time-to-expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark. This result is robust to alternative econometric approaches, including generalized least squares approaches that take into account both the panel structure of the data and the likely presence of heteroskedasticity and serial correlation in the random disturbances. Finally we show that the degree of pricing efficiency of this options market can strongly condition the results of the econometric analysis and therefore our understanding of the pricing mechanism underlying observed MIBO option prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage-free data only.     

Extending lead-user theory to online brand communities: The case of the community Ducati

While research on user innovations within communities exists mainly in offline contexts, few studies have attempted to define the profile of lead users in online (or virtual) communities, and even fewer have been conducted in the specific context of online brand communities, formed by people with a “common interest in a brand,” in its evolution and in the discourse about it. This study focuses on innovative activities within the Ducati Motor online community. The research reveals the following characteristics as crucial factors for the identification of lead users in online brand communities: willingness to collaborate, product knowledge and strategic alignment with the brand identity. Our sample consists of 2071 messages posted by 572 Ducati Motor virtual community members in a specific blog developed by Ducati Motor with the purpose of involving members in a collaborative innovation process that took nearly 14 months. Several implications for scholars and new product development managers are discussed.