Panel data and descriptor for energy econometrics – an efficiency,resilience and innovation analysis

Quality & Quantity - The work at hand presents a new extensive panel dataset for energy economics, econometrics and policy. The referred dataset is made of 5000 observations circa, including 6...     

Community structure in the World Trade Network based on communicability distances

In this paper, we investigate the mesoscale structure of the World Trade Network. In this framework, a specific role is assumed by short- and long-range interactions, and hence by any suitably defined network-based distance between countries. Therefore, we identify clusters through a new procedure that exploits Estrada communicability distance and the vibrational communicability distance, which turn out to be particularly suitable for catching the inner structure of the economic network. The proposed methodology aims at finding the distance threshold that maximizes a specific quality function defined for general metric spaces. Main advantages regard the computational efficiency of the procedure as well as the possibility to inspect intercluster and intracluster properties of the resulting communities. The numerical analysis highlights peculiar relationships between countries and provides a rich set of information that can hardly be achieved within alternative clustering approaches.

     

Local volatility under rough volatility

Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, supporting their calibration power to SP500 option data. Rough volatility models also generate a local volatility surface, via the so-called Markovian projection of the stochastic volatility. We complement the existing results on implied volatility by studying the asymptotic behavior of the local volatility surface generated by a class of rough stochastic volatility models, encompassing the rough Bergomi model. Notably, we observe that the celebrated “1/2 skew rule” linking the short-term at-the-money skew of the implied volatility to the short-term at-the-money skew of the local volatility, a consequence of the celebrated “harmonic mean formula” of [Berestycki et al. (2002). Quantitative Finance, 2, 61–69], is replaced by a new rule: the ratio of the at-the-money implied and local volatility skews tends to the constant $1/(H+3/2)$ (as opposed to the constant 1/2), where H is the regularity index of the underlying instantaneous volatility process.     

The probability of multidimensional poverty: A new approach and an empirical application to EU-SILC data

This paper proposes a novel method to analyze multidimensional poverty by using a large set of feasible weights to summarize the information about the poor, which enables remaining agnostic about the relative importance given to different poverty dimensions. This method allows for the calculation of the individual probability of being poor in a multidimensional perspective. The distribution of individual probabilities can then be combined with Generalized Lorenz dominance techniques to derive unanimous consent for a wide class of social welfare functions with a minimum load of value judgments. The innovations proposed here allow to move from a dual definition of poverty, where poor and non-poor individuals are classified in a mutually exclusive context, to a continuous measure of deprivation capturing both the extensive and intensive margin of multidimensional poverty. The empirical application of the method consists of measuring multidimensional poverty in ten selected countries using four waves of EU-SILC data (2008–2014).     

Deregulation,Entry, and Competition in Local Banking Markets

Review of Industrial Organization - By applying the Bresnahan-Reiss empirical entry threshold model on Census data for the waves 1981 to 2011, we study the evolution of entry conditions in Italian...     

A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders

In a market where a stochastic interest rate component characterizes asset dynamics, we propose a flexible lattice framework to evaluate and manage options on equities paying discrete dividends and variable annuities presenting some provisions, like a guaranteed minimum withdrawal benefit. The framework is flexible in that it allows to combine financial and demographic risk, to embed in the contract early exercise features, and to choose the dynamics for interest rates and traded assets. A computational problem arises when each dividend (when valuing an option) or withdrawal (when valuing a variable annuity) is paid, because the lattice lacks its recombining structure. The proposed model overcomes this problem associating with each node of the lattice a set of representative values of the underlying asset (when valuing an option) or of the personal subaccount (when valuing a variable annuity) chosen among all the possible ones realized at that node. Extensive numerical experiments confirm the model accuracy and efficiency.

     

The financial and green effects of cultural values on mission drifts in European social enterprises

The sustainable social enterprises (SEs) literature shows that SEs have to simultaneously pursue economic, social, and environmental aims. However, tensions between these objectives can make this a challenging task and lead towards mission drift. This work investigates if the cultural dimension can forecast the mission drift. We empirically analyze this relationship in three stages. In the first stage, we identify a homogeneous dataset of 287 sustainable SEs from seven EU countries from 2011 to 2020. Then, in the second stage, we apply the data envelopment analysis (DEA) methodology to calculate the efficiency of the SEs. An efficient SE has to simultaneously achieve social, environmental, and economic aims. We calculate a proxy of the mission drift and generate a dichotomous category variable that assigns value 1 to the SE not affected by mission drift, 0 otherwise. In the last stage, we implement the 2SLS logistic regression between the variable that identifies the SEs affected by mission drift and three cultural dimensions: avoidance of uncertainty, masculinity, and short-term orientation.     

The strategic choice of payment method in takeovers: The role of environmental,social and governance performance

Payment method choice in takeovers is mainly driven by both asymmetric information between the acquirer and the target and the acquirer's financial capability. In this paper, we examine whether increased transparency and better access to finance induced by environmental, social and governance (ESG) performance are associated with the strategic choice of payment method in takeovers. More specifically, we investigate how the acquirer's and the target's ESG coverage and different levels of ESG performance affect the probability of cash offers in a sample of 836 US takeovers from 1992 to 2014. In examining the target, our results suggest that ESG coverage is positively associated with the probability of cash offers, whereas we find a negative relationship for ESG concerns and no effect for ESG strengths. Upon examining the acquirer, ESG coverage and ESG concerns both increase the probability of cash offers; however, we do not find results supporting our prediction regarding the acquirer's ESG strengths. We infer that ESG coverage and level affect strategic considerations in the choice of the payment method in takeovers because they not only reduce information asymmetry, but also enhance financing capability.     

Board of director attributes: effects on financial performance in SMEs

International Entrepreneurship and Management Journal - This paper analyses the relationship between board of director (BoD) attributes and financial performance in small and medium-sized...