On the distribution of government bond returns: evidence from the EMU

This paper assesses the statistical distribution of daily EMU bond returns for the period 1999–2012. The normality assumption is tested and clearly rejected for all European countries and maturities. Although skewness plays a minor role in this departure from normality, it is mainly due to the excess kurtosis of bond returns. Therefore, we test the Student’s t, skewed Student’s t, and stable distribution that exhibit this feature. The financial crisis leads to a structural break in the time series. We account for this and retest the alternative distributions. A value-at-risk application underlines the importance of our findings for investors. In sum, excess kurtosis in bond returns is essential for risk management, and the stable distribution captures this feature best.     

Mix between Satisfaction and Attributes Destination Choice: A Segmentation Criterion to Understand the Ski Resorts Consumers

This study examined the attributes prioritized by tourists when choosing a winter sports destination and their degree of satisfaction with the services provided by Portugal's only ski resort. Two hundred tourists completed a questionnaire with factor analysis then deployed to extract the data that served as the basis for cluster analysis. Our results report discrepancies between the attributes valued by tourists when choosing winter sports destinations and their degree of satisfaction with the ski resort's services. Moreover, the combination between attributes/motivations prevailing in destination selection and the subsequent satisfaction with the services provided may generate information of relevance to evaluating organizational competitiveness. Copyright © 2014 John Wiley & Sons, Ltd.     

Settling for efficiency – A framework for the European securities transaction industry

Despite a lot of restructuring and many innovations in recent years, the securities transaction industry in the European Union is still a highly inefficient and inconsistently configured system for cross-border transactions. This paper analyzes the functions performed, the institutions involved and the parameters concerned that shape market and ownership structure in the industry. Of particular interest are microeconomic incentives of the main players that can be in contradiction to social welfare. We develop a framework and analyze three consistent systems for the securities transaction industry in the EU that offer superior efficiency than the current, inefficient arrangement. Some policy advice is given to select the ‘best’ system for the Single European Financial Market.     

The Costs of Increasing Transparency

In their seminal paper, Morris and Shin (Amer Econ Rev 92(5): 1521–1534, 2002a) argued that increasing the precision of public information is not always beneficial to social welfare. Svensson (Amer Econ Rev 96: 448–451, 2006) however has disputed this by saying that although feasible, the conditions for which this was true, were not all that likely. In that respect, therefore, increasing ‘transparency’ remains most of the times beneficial to social welfare. In this paper, we extend the Morris and Shin attempt by setting it up as an explicit interactive game between the Central Bank, the objectives of which we model explicitly, and the private sector. We show that in the absence of costs, both players benefit from transparency in the manner described previously in the literature, and point the differences in their gains. Following that, we then introduce the fact that increasing transparency comes at some costs and show how both players face incentives to free ride on each other as a result. The presence of costs thus alters the way in which greater transparency is attained.

ON THE EMERGENCE OF TOYBOYS: THE TIMING OF MARRIAGE WITH AGING AND UNCERTAIN CAREERS*

We explore how gender bias in career opportunities affects matching in a marriage market with search frictions and where an individual’s fitness decays with age. We document a “being left on the shelf” effect where young singles, who find the marriage market rapidly thins with age, rush into early partnership. Singles with stronger career opportunities, however, have a greater option value to defer marriage. More equal career opportunities for women (captured by greater schooling and better occupations) potentially explain the recent emergence of toyboy unions, in which the woman is at least 5 years older than her partner.     

Political disagreement in the classroom: testing cultural theory through structured observation

The cultural theory pioneered by Dame Mary Douglas has been tested with a range of research methods, but it has not yet been made subject to a ‘structured observation’. This method has been developed in psychology and management studies, and is especially useful for testing cultural theory’s prediction that fatalistic, hierarchical, egalitarian, and individualistic ways of perceiving and justifying tend to emerge in group debates about pressing social and environmental issues. We present the results of a structured observation of this prediction. Groups of high school students (aged 17–19) were asked for their opinions concerning three to five ‘wicked’ (i.e., highly complex) problems, and to discuss how to resolve them. Each utterance was coded according to the rationalities proposed by cultural theory. The results confirm cultural theory’s hypothesis that all four specific ways of defining, perceiving and resolving a wicked problem emerge when a number of people debate such an issue. We also discuss how Douglas’ cultural theory can be further developed and tested. Finally, we use our study to outline how the method of structured observation can contribute to political culture research in general.     

Expected benefits and perceived risks of cloud computing: an investigation within an Italian setting

Over the past several years, cloud computing has increasingly been regarded as able to improve efficiency within organisations. The aim of this study is to address under-investigated issues related to the implementation of cloud computing, with a particular focus on expected benefits and the perception of risks. Towards this aim, on the basis of an adapted version of the technology acceptance model, we carried out a semi-structured survey among first-time cloud computing users to identify expected benefits and perceived risks. The survey of this study included a sample of 130 individuals in 65 enterprises located within Italy. We chose an Italian setting because it is characterised by an increasing number of programmes that emphasise the importance of cloud computing and support its wide dissemination. The findings of this study identify possible areas for improvement within the implementation phases of cloud computing.     

Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements

We propose a new framework exploiting realized measures of volatility to estimate and forecast extreme quantiles. Our realized extreme quantile (REQ) combines quantile regression with extreme value theory and uses a measurement equation that relates the realized measure to the latent conditional quantile. Model estimation is performed by quasi maximum likelihood, and a simulation experiment validates this estimator in finite samples. An extensive empirical analysis shows that high‐frequency measures are particularly informative of the dynamic quantiles. Finally, an out‐of‐sample forecast analysis of quantile‐based risk measures confirms the merit of the REQ.