Structural VAR and financial networks: A minimum distance approach to spatial modeling

In this paper, I interpret a time series spatial model (T-SAR) as a constrained structural vector autoregressive (SVAR) model. Based on these restrictions, I propose a minimum distance approach to estimate the (row-standardized) network matrix and the overall network influence parameter of the T-SAR from the SVAR estimates. I also develop a Wald-type test to assess the distance between these two models. To implement the methodology, I discuss machine learning methods as one possible identification strategy of SVAR models. Finally, I illustrate the methodology through an application to volatility spillovers across major stock markets using daily realized volatility data for 2004–2018.     

Value premium and macroeconomic variables

This paper investigates the effect of macroeconomic expectations on the value premium. We introduce a two-pass estimation procedure to extrapolate the impact of investors' macroexpectations on the firm fundamental value of Rhodes-Kropf, Robinson, and Viswanathan. We find that the level and slope of the term structure affect valuation, revealing a heavily industry-dependent effect. The portfolios sorted on metrics orthogonal to macroeconomic variables show a clear association between the misvaluation component of value premium and size risk. By removing the influence of the macroeconomic conditions and size, we separate the portion of the value premium that rewards macroeconomic expectations.     

Workers’ tenure and firm productivity: New evidence from matched employer-employee panel data

Using rich longitudinal matched employer-employee data on Belgian firms, we explore the impact of workers’ tenure on firm productivity. To do so, we estimate production functions augmented with firm-level measures of tenure. We deal with the endogeneity of standard inputs and tenure, which arises from unobserved firm heterogeneity and reverse causality, by applying a modified version of Ackerberg et al.’s (2015) control function method, which explicitly removes firm fixed effects. Consistently with recent theoretical predictions, our analyses point to positive, but decreasing, returns to tenure. We also find that the impact differs widely across several firm dimensions. Tenure is particularly beneficial for productivity in contexts characterized by a certain degree of routineness and low job complexity. Along the same lines, our findings indicate that tenure exerts stronger positive impacts in industrial and capital-intensive firms, as well as in firms less reliant on ICT-intensive and knowledge-intensive processes.     

CEO performance-based grants’ vesting provisions and debt contracts: Evidence from GAAP,Non-GAAP and KPI metrics

We examine the influence of CEOs’ equity and cash grants’ vesting provisions that are based on (i) accounting performance metrics prepared under US generally accepted principles (GAAP), (ii) non-GAAP performance metrics and (iii) key performance indicators (KPIs) on debt contracts. We find that grants with vesting provisions based on GAAP metrics and KPIs lead to a lower cost of debt, a lower likelihood of collateral requirements and less restrictive covenant terms. In contrast, performance-based grants with non-GAAP vesting provisions lead to a higher cost of debt, a higher likelihood of collateral requirements and more restrictive covenant terms. Supplementary analyses reveal that our results are incremental to other debtholder-friendly features in the CEO contracts, such as grants with debt-related performance measures and CEOs’ inside debt holdings, and robust to alternative variable definitions and specifications. Overall, our results suggest that debtholders understand the differing incentives associated with GAAP, non-GAAP and KPI-based performance measures, and incorporate these differences into debt contracts.     

Systemic liquidity contagion in the European interbank market

Systemic liquidity risk, defined by the International Monetary Fund as “the risk of simultaneous liquidity difficulties at multiple financial institutions,” is a key topic in financial stability studies and macroprudential policy-making. In this context, the complex web of interconnections of the interbank market plays the crucial role of allowing funding liquidity shortages to propagate between financial institutions. Here, we introduce a simple yet effective model of the interbank market in which liquidity shortages propagate through an epidemic-like contagion mechanism on the network of interbank loans. The model is defined by using aggregate balance sheet information of European banks, and it exploits country and bank-specific risk features to account for the heterogeneity of financial institutions. Moreover, in order to obtain the European-wide topology of the interbank network, we define a block reconstruction method based on the exchange flows between the various countries. We show that the proposed contagion model is able to estimate systemic liquidity risk across different years and countries. Results suggest that our effective contagion approach can be successfully used as a viable alternative to more realistic but complicated models, which not only require more specific balance sheet variables with high time resolution but also need assumptions on how banks respond to liquidity shocks.

     

Tracking precursors of entrepreneurial intention: the case of researchers involved in eco-label industry

This article is based on the adaptation of Ajzen’s theory of planned behavior (TPB) to build an entrepreneurial intention framework tailored to the specific context of researchers involved in eco-label industry, who can be perceived as nascent entrepreneurs. The entrepreneurial intention model is tested on a convenience sample of researchers involved in eco-label industry from a wide range of countries. The configurational effect of research experience, personal attitude, funding instruments and entrepreneurial education level is tested for causal condition related to entrepreneurial intention of 25 eco-label researchers. The qualitative approach of data reveals that research experience and personal attitude relate positively to entrepreneurial career intentions and that these relationships are mediated by entrepreneurial education level. A multi-sided online platform connecting innovators and potential investors is considered a suitable solution for funding respondents’ results of research and innovation activities. Stimulating entrepreneurial motivations and intentions may help researchers to better adapt to alternative career perspectives. Results of this study suggest several ways to stimulate entrepreneurial career choices among researchers involved in eco-label industry.

     

Cross-border cooperation: A response to the challenges facing agri-food cooperatives in Southern European countries

All agri-food cooperatives share common interests, irrespective of their geographical borders, which should encourage them to undertake inter-cooperation processes as well as to set up transnational cooperatives. This paper has two objectives. The first is to analyze Spanish and Portuguese cooperative regulations and the Statute for a European Cooperative Society to define how to embark on these processes in the two countries while also pinpointing the conflicts that may arise from the different regulations. Secondly, it seeks to ascertain which Spanish and Portuguese cooperatives have had experience in this field and to characterize them through a multiple-case study, including the rationale for the processes, the advantages and the constraints. The results have revealed five cross-border cooperation categories and show that the Statute for a European Cooperative Society has not had the expected success at the EU level, due to its complexity. However, in general, the lack of expected cross-border cooperative experiences is not due to legal, language or management issues. It is for different reasons. Firstly, cooperatives think that they can achieve the same objectives through inter-cooperative agreements. Secondly, government policies protect the regional nature of their cooperatives, rather than encouraging them to expand their business and therefore their capacity to respond to current challenges.     

Capturing Entrepreneurial Opportunities in the Romanian Equine Sector: an Fs-Qca Approach

The paper proposes an analysis of entrepreneurial intentions in the equine sector in Romania and the identification of the variables influencing economic growth in this field. The equine sector plays a strategic role in the development of durable, sustainable and social entrepreneurship. The combination of equine services can ensure a business's survival during a crisis, and businesses involving horses can be considered complex. The equine sector is constantly changing: it is affected by politics, the social environment and new competitors. Changing customer requirements make it a difficult area in which to develop a sustainable start-up ecosystem. The present study is important in drawing attention to the main impediments faced by Romanian entrepreneurs in the development of the equine sector, a sector which—because of the emotional and physical benefits that horses offer—has great potential. The horse industry needs true "enthusiastic entrepreneurs" who have the management knowledge and skills to make their business more professional and profitable. It was found that the firm's organisation method is an important factor in predicting business continuity, in achieving medium- and long-term objectives, and in ensuring business success.

     

Rethinking Accounting,Accountability, and Accounting Regulation: Concerns about the Proposed Canadian Sustainability Standards Board*

This paper expands on a letter recently submitted by a group of Canadian business academics to the Independent Review Committee on Standard Setting in Canada (IRCSSC) in response to the committee's proposed Canadian Sustainability Standards Board. We highlight sections of the IRCSSC's Consultation Paper that we find problematic and draw on accounting and other research to explain why it fails to live up to its potential. Chief among the problems we identify is that the IRCSSC appears to be wedded to the same narrow, investor-based focus promoted by the International Sustainability Standard Board. We also draw attention to the rushed nature of the process, its exclusion of lay experts, the IRCSSC's ambiguous use of the term public interest, and its inattention to alternative understandings of value and the environment (including the people within it). Finally, we problematize the IRCSSC's sidestepping of the issues of power, culture, and conflict; its neglect of monitoring and enforcement; and its surprising disregard of the Global Reporting Initiative. Along with a number of suggestions for improving the process and its outcome, this paper also contributes to ongoing debates on standard setting and the question of whether accounting is currently equipped to provide the necessary tools for sustainability reporting.