Optimal Portfolio Choice Under Decision‐Based Model Combinations

We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a utility‐based objective function. We apply this model combination scheme to forecast stock returns, both at the aggregate level and by industry, and investigate its forecasting performance relative to a host of existing combination methods, both within the class of linear and time‐varying coefficients, stochastic volatility models. Overall, we find that our combination scheme produces markedly more accurate predictions than the existing alternatives, both in terms of statistical and economic measures of out‐of‐sample predictability. Copyright © 2016 John Wiley & Sons, Ltd.     

Mortgage‐backed Securitization and SME Lending During the Financial and Economic Crisis: Evidence from the Italian Cooperative Banking System

I investigate the determinants of the securitization activities of Italian cooperative banks during the financial and economic crisis (2007–2014) and the impact of securitization on the supply of loans to SMEs. The less deposit‐funded, less profitable and less capitalized cooperative banks are, the more likely they are to securitize and the more likely it is that they will securitize to a larger extent. Furthermore, I find that securitization has not directly affected the supply of new SME loans. However, there is strong evidence of a risk‐rebalancing effect of securitization on the balance sheet, especially in the period 2010–2014.     

Exploring the Political Side of Board Involvement in Strategy: A Study of Mixed‐Ownership Institutions*

abstract This article reports on a comparative study of strategic decision‐making and board functioning in nine firms. Findings indicate that the heterogeneity of interests represented on the board, members' possession of relevant knowledge, and the presence of ex‐ante conflict resolution mechanisms combine in shaping if and how board members engage in strategy‐related activities and how strategic decisions are taken. Findings extend current understandings about the strategic functions of the board (monitoring, advice, and resource‐dependence), suggesting how, under certain conditions, boards may act as negotiation forums where directors search for a reconciliation between diverging shareholders' interests and views.     

Technical efficiency in the Italian performing arts companies

This paper evaluates the determinants of firms’ technical efficiency in the Italian Performing Arts (PA) sector, by estimating a stochastic production frontier for an unbalanced panel of 107 firms over the period 2005–2012. The panel data setting allows us to control for both unobserved and observed heterogeneity of PA firms, reaching several interesting and robust findings. Firstly, it finds that the Italian PA firms are scale inefficient as they generally operate in either an increasing or decreasing returns to scale landscape. This result is reinforced by the fact that the smaller firms (10–49 employees) are the most technically efficient firm size class. Secondly, this research proves that the efficiency score is on average 66%, demonstrating that PA firms’ output could be substantially increased without the use of new inputs. Thirdly, it confirms that the quality matters and competences increase the efficiency in the sector. Finally, the environmental factors (especially the quality of institutions) have a strong impact on technical efficiency of PA firms, supporting that regional differences also exist in this sector.     

Normal utilization as the adjusting variable in Neo‐Kaleckian growth models: A critique

As well‐known, the canonical Neo‐Kaleckian growth model fails to reconcile actual and normal rates of utilization in equilibrium. Some recent contributions revive an old proposal for solving this problem—making the normal rate of utilization an endogenous variable that converges to the actual utilization rate—justifying it with new, micro‐founded premises. We argue that these new justifications for the convergence of normal to actual utilization do not stand closer scrutiny. First, the proposed microeconomic model relies on various restrictive assumptions, some of which are mutually inconsistent. Second, the derivation of the macroeconomic adjustment mechanism from the microeconomic analysis involves a logical leap that can be justified only by a very arbitrary assumption with little economic justification. Finally, we discuss the way in which this mechanism has been incorporated into the Neo‐Kaleckian growth model by proposers of this approach. We show that, even if one puts aside, for the sake of argument, the first two points, the existence of autonomous components of demand is sufficient to invalidate the resulting macroeconomic model.     

Banking crises,labor reforms,and unemployment

Using a sample of 97 countries spanning the period 1980–2008, we estimate that banking crises have, on average, a large negative impact on unemployment. This effect, however, largely depends on the flexibility of labor market institutions: while in countries with more flexible labor markets the impact of banking crises is sharper but short-lived, in countries with more rigid labor markets the effect is initially more subdued but highly persistent. These effects are even larger for youth unemployment in the short term, and long-term unemployment in the medium term. Conversely, large upfront, or gradual but significant, comprehensive market reforms have a positive impact on unemployment, albeit only in the medium term.     

Search practices for discontinuous innovation: scale development and construct validation

Managing innovation and particularly searching for new ideas in a steady state environment is really different than in discontinuous conditions where traditional practices and routines may prove ineffective. This paper reviews and empirically explores the field of search strategies and practices for discontinuous innovation and, for the first time, tests the validity of a ‘discontinuous innovation (DI) search capacity’ construct. Based on a comprehensive literature review on the innovation search stage and on the evidence of more than 80 case studies reported by the Discontinuous Innovation Laboratory, a questionnaire was developed and submitted to a 500 high-tech firm sample. Four DI search dimensions were identified, each consisting of a bundle of interrelated yet distinct practices. We empirically tested the DI search capacity and measured it as a second-order construct by using the structural equation modelling.     

Long-run growth and volatility: which source really matters?

The aim of the article is to analyse the relationship between long-run growth and business cycle volatility. In particular, the main purpose of this article is to identify which source of volatility is most detrimental to growth. Using cross-country data from 1970 to 2000, and several indicators of volatility (such as inflation, exchange rate, government expenditure, output and investment volatility) this article shows that although, all these measures of volatility are remarkably harmful for growth, business cycle investment volatility is the main source that hampers long-run growth. This relation is robust to different measures of business cycle, and to different sub-samples of countries.     

Realizing smiles: Options pricing with realized volatility

We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data. Assuming an exponentially affine stochastic discount factor, we obtain a fully analytic change of measure. An empirical analysis of Standard and Poor's 500 index options illustrates that our model outperforms competing time-varying and stochastic volatility option pricing models.     

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.