Is a cluster a necessary condition for success? The case of Benidorm

This paper analyses the application of the cluster concept to tourist destinations using Benidorm as a case study. A questionnaire was administered to tourism firms based in Benidorm in order to determine whether this destination currently constitutes a tourism cluster or whether it possesses the ideal characteristics to become a cluster with the private agents' collaboration, that is, whether it is a potential cluster. The results obtained from this research indicate that Benidorm's success is not derived from the presence of a cluster due to a series of elements that prevent its existence. In this destination there is a need to strengthen cooperation between public and private agents (especially in those areas that determine the competitive advantage of the destination) and to design a strategy based on shared goals. Both of these elements are fundamental for the characterisation of a cluster.     

Variance swaps,non-normality and macroeconomic and financial risks

This paper studies the determinants of the variance risk premium and discusses the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns. But the uncertainty that determines the variance risk premium – the fear by investors to deviations from normality in returns – is also strongly related to a variety of macroeconomic and financial risks associated with default, employment growth, consumption growth, stock market and market illiquidity risks. We conclude that the variance risk premium reflects the market willingness to pay for hedging against these financial and macroeconomic sources of risk. An out-of-sample asset allocation exercise shows that the inclusion of the variance swap reduces the modified value-at-risk with respect to a portfolio holding exclusively the equity market portfolio.     

Automated trading with boosting and expert weighting

We propose a multi-stock automated trading system that relies on a layered structure consisting of a machine learning algorithm, an online learning utility, and a risk management overlay. Alternating decision tree (ADT), which is implemented with Logitboost, was chosen as the underlying algorithm. One of the strengths of our approach is that the algorithm is able to select the best combination of rules derived from well-known technical analysis indicators and is also able to select the best parameters of the technical indicators. Additionally, the online learning layer combines the output of several ADTs and suggests a short or long position. Finally, the risk management layer can validate the trading signal when it exceeds a specified non-zero threshold and limit the application of our trading strategy when it is not profitable. We test the expert weighting algorithm with data of 100 randomly selected companies of the S&P 500 index during the period 2003–2005. We find that this algorithm generates abnormal returns during the test period. Our experiments show that the boosting approach is able to improve the predictive capacity when indicators are combined and aggregated as a single predictor. Even more, the combination of indicators of different stocks demonstrated to be adequate in order to reduce the use of computational resources, and still maintain an adequate predictive capacity.     

The impact of the financial crisis on the long-range memory of European corporate bond and stock markets

This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in order to measure long range dependence. We detect that Hurst exponents behave differently in the stock and bond markets, being smoother in the stock indices than in the bond indices. We verify that the level of informational efficiency is time-varying. Moreover we find an asymmetric impact of the 2008 financial crisis in the fixed income and the stock markets, affecting the former but not the latter. Similar results are obtained using the R/S method.     

The Value of Adjusting the Bias in Recommendations: International Evidence

The financial literature has shown that both earnings forecasts and investment recommendations are optimistically biased. However, while the bias in earnings forecasts has decreased over time and even some recent studies show that they are no longer optimistic, in the case of investment recommendations this bias still remains relatively constant over time. Therefore, it seems that recommendations are less credible to investors than earnings forecasts. The vast majority of recommendation studies have been carried out at the country level. In this paper, we use an international context to study whether profitable investment strategies exist when adjusting the recommendation bias of each analysed country. The adjustment we propose to correct this bias takes into account the differences across countries, and also varies in time to correct for the changes in bias over time within countries. Our empirical results show that there are in fact significant differences in the level of bias among countries, with the US and the UK being the countries with the highest bias. Second, the adjusted consensus portfolios are more orthogonal to typical investment styles (size, book‐to‐market and attention) and we find that investors could implement a higher number of profitable investment strategies using this adjusted measure. In this line, the results show that the countries with the lowest bias obtain the highest risk adjusted abnormal returns. Third, our work entails a practical implication, as it shows the value embedded in a simple necessary adjustment in the global asset management context. This is an important result showing that profitable investment strategies exist when considering a global portfolio based on adjusted recommendations.     

Marcelo Diamand’s contributions to economic theory through the lens of the classical Keynesian approach: a formal representation of unbalanced productive structures

Abstract:

We examine both conceptually and in formal terms the contributions by the structuralist economist Marcelo Diamand, which all revolve around the notion of unbalanced productive structure, and its implications on income distribution, the general price level, and output dynamics in Latin American countries, with a special focus on Argentina. We argue that Diamand’s work provides a very useful framework to understand why institutionally and historically determined real wage and real exchange rates can, on the one hand, explain the relatively low productivity of the industrial sector and, on the other hand, cause devaluations to be both inflationary and contractionary, as has been the case in many Latin American countries that attempted to initiate an industrialization process by import substitution.     

Economic crisis and tourism competitiveness in Spain: permanent effects or transitory shocks?

This paper considers the influence of business cycles and economic crises on Spain's tourism competitiveness. This competitiveness is measured by its share in world tourism. Analysing the presence of unit roots in the market share series from 1958 to 2010, the permanent effects of economic crises on competitiveness are evaluated. The evidence from standard linear unit root tests indicates that crises on Spanish market shares are highly persistent. When we account for endogenously determined structural breaks, we obtain greater support for stationarity, but breakpoints are identified with major economic crises. Therefore the main conclusion obtained is that the effects of the economic shocks are not neutral on competitiveness, with the negative effects being more persistent in highly intensive crises. These crises reinforce a natural downward trend of the Spanish world tourism market share caused by the natural emergence of new competing destinations and by the maturity of the Spain's principal tourism product.     

Factors explaining inter-municipal cooperation in service delivery: a meta-regression analysis

Inter-municipal cooperation is an important public service delivery reform, whose drivers move beyond simple concerns with costs and economic efficiency, to policy issues related to governance structure and spatial context. We conduct a meta-regression analysis based on the existing multivariate empirical literature to explore what factors explain divergence in results in the existing empirical studies. We find strong evidence that fiscal constraints, spatial, and organizational factors are significant drivers of cooperation. Our meta-regressions do not yield results to explain divergence in results on community wealth, economies of scale, or racial homogeneity. More studies on these factors are needed to understand how these factors might affect cooperation. Future theoretical and empirical research should give more attention to spatial and organizational factors to develop a better understanding of factors driving cooperation, and how they differ across local government structures and regions.