The Use of Prior Information in Very Robust Regression for Fraud Detection

Misinvoicing is a major tool in fraud including money laundering. We develop a method of detecting the patterns of outliers that indicate systematic mis‐pricing. As the data only become available year by year, we develop a combination of very robust regression and the use of ‘cleaned’ prior information from earlier years, which leads to early and sharp indication of potentially fraudulent activity that can be passed to legal agencies to institute prosecution. As an example, we use yearly imports of a specific seafood into the European Union. This is only one of over one million annual data sets, each of which can currently potentially contain 336 observations. We provide a solution to the resulting big data problem, which requires analysis with the minimum of human intervention.     

Protecting expatriates in hostile environments: institutional forces influencing the safety and security practices of internationally active organisations

Abstract

The operations of internationally active organisations continue to encroach on hostile locations that are vulnerable to the negative consequences of crises such as political upheaval, terrorist attacks or natural disasters. Yet research into how firms ensure the physical and psychological safety and security of international staff in these locations is limited. This article reports an empirical study exploring the expatriate safety and security practices of 28 internationally active organisations from three industries that commonly operate in hostile environments. We unveil starkly different approaches across the three industries, and label these approaches ‘regulatory’ (mining and resources), ‘informal mentoring’ (news media) and ‘empowering’ (international aid and development). We use institutional theory to propose that these configurations reflect legitimacy-seeking choices that these organisations make in response to the various institutional environments that affect each sector. Our results provide a platform for initial theory building into the interrelated elements of organisations’ safety and security practices, and the institutional factors that shape the design of these.     

Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages

Decisions in Economics and Finance - In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the...     

Does Bank Affiliation Mitigate Liquidity Constraints? Evidence from Germany's Universal Banks in the Pre-World War I Period

This paper compares two similar samples of mining and steel corporations in pre-World War I Germany: one sample consists of corporations that were affiliated to one or more of the German “Universal Banks”, and the second sample consists of companies that had to rely on other sources of finance. Statistical analysis conducted in the framework of a linear fixed effects model indicates that the non-affiliated companies were liquidity constrained. The paper also sets out the corporate control structure as laid down in the trade law reform of 1884 and traces the origins of the current German dual board system, as well as the origins of several other aspects of the institutions that tied the German banking system to industrial concerns.     

Sull'accumulo di un capitale in condizioni di incertezza

Si considera il problema dell'accumulo di un capitale, mediante versamenti annui in presenza di inflazione. Si assume che l'intensità di inflazione sia un processo stocastico governato da un modello lineare dinamico e si determina la distribuzione di probabilità del valore nominale tran anni di un capitale avente un prefissato valore reale (a prezzi odierni). Quindi si determinano i versamenti ottimi (nel senso della teoria delle decisioni), sia nel caso di decisione in blocco, sia nel caso di decisione sequenziale. Si considera infine il caso in cui anche i fattori di montante siano aleatori.

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The paper considers the problem of the constitution of a capital through annual deposits, when inflation is present.The intensity of inflation is assumed to be a random process driven by a dynamic linear model and then the probability distribution of the nominal value after n years of a capital, whose real value today is fixed, is determinend.Then the optimal deposits are determined, both in the case of block decision, and in the sequential case. The case of random discount factors is considered, as well.

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Lavoro eseguito nell'ambito del GNAFA-CNR.     

Is demand-pulled innovation equally important in different groups of firms?

Previous empirical literature has tested the demand-pull hypothesisand found that innovation may be driven by output. Using a balancedpanel of 216 Italian manufacturing firms (1995–2000) andchecking for the path-dependent nature of R&D we find arole of sales in inducing R&D. However, the demand-pulleffect plays a varying role for different sub-samples of firms.Exporting firms, liquidity-constrained firms, unsubsidised firmsand those not heading a group seem to be sensitive to salesin deciding R&D. These results have been obtained usinga Least Squares Dummy Variable Corrected Estimator, a recentpanel-data technique suitable for small samples.     

Revisiting EMU's Stability Pact: A Pragmatic Way Forward

The Stability and Growth Pact is under fire. Some countriesare meeting major problems in sticking to the rules. Proposalsto reform the Pact or ditch it altogether abound. The allegedweaknesses of the Pact tend to reflect trade-offs typical ofsupra-national arrangements. This aspect has to be factoredin when considering reforms of the current fiscal rules: thereis no miracle solution. EMU without rules would be an interestingexperiment, but a risky policy option. Given the existing degreeof political integration in EMU, internal adjustment ratherthan attempting to redesign the rules from scratch appears amore suitable way forward. Redefining the medium-term budgetarytarget, improving transparency, tackling the pro-cyclical fiscalbias in good times, moving towards non-partisan applicationof the rules, and improving transparency in the data can achieveboth stronger discipline and higher flexibility.     

Business models in the search for efficiency: the case of public financial intermediaries

This paper presents an optimal business model configuration for public financial intermediaries (PFIs). Using nonparametric techniques on Italian public financial corporations, the most efficient business models combined asset diversification and income specialization. These business models were unaffected by external financial turmoil, due to weak connections between PFIs and the traditional financial circuit; and public–private ownership is more efficient than purely public ownership, regardless of the business model adopted.     

The disposition effect: a survey

The disposition effect is a well-recognized behavioral economic phenomenon which has been studied in numerous papers during the last three decades. Besides a literature review of the major theoretical, empirical, and experimental papers, the body of academic literature is subjected to a bibliometric analysis where all papers are taken into account which can be found via the search engine “EBSCOhost” (589 hits). This paper not only extensively describes the state of the art of research on the topic of the disposition effect. The combination of insights from a content analysis as well as a bibliometric analysis serves as a case study on the pattern of diffusion of research hypotheses and research methods. For example, it can be shown that the number of publications per year on the disposition effect remained relatively low subsequent to its discovery and only later started to substantially grow over time. On the other hand, the quality of papers, as approximated by the share of “A” journal articles per year, decreased over time.     

Sectoral co-movements of employment growth at regional level

This paper presents a comprehensive study of sectoral co-movements of employment growth in the entire Dutch economy. We construct different macro typologies according to manufacturing versus services, innovativeness, labour skills and position in the value chain, thus expanding the list of potential logics of sectoral interrelations. Using a vector autoregression model, we assess whether and how growth in a macro-sector, and in a given region, can predict growth in the same or other macro-sectors, in the same or in other regions. Our findings bring to light the inter-regional nature of intersectoral linkages, as well as the existence of complementarities between sectors. Supporting the growth of innovative firms could have positive externality effects, especially in the Knowledge-Intensive Business Services sector which is associated with the growth of the entire economy.