Regularity and Pareto improving on financial equilibria with price-dependent borrowing restrictions

We consider a pure exchange, general equilibrium model, with two periods and a finite number of states, commodities, numeraire assets, and households. Participation in the asset markets is restricted in a household specific manner, imposing upper bounds on the amounts of borrowing which can be obtained using assets. Those bounds are assumed to depend on asset and commodity prices. After establishing existence of equilibria, we show that, generically in the set of the economies, equilibria are finite and regular. Then, we restrict our attention to the significant set of economies in which some associated equilibria exhibit a sufficiently high number of strictly binding participation constraints. We prove that, generically in that set, those equilibria are Pareto improvable through a local change of the participation constraints.     

Highway to (Digital) Surveillance: When Are Clients Coerced to Share Their Data with Insurers?

Journal of Business Ethics - Clients may feel trapped into sharing their private digital data with insurance companies to get a desired insurance product or premium. However, private insurance must...     

Machine learning,artificial neural networks and social research

Quality & Quantity - Machine learning (ML), and particularly algorithms based on artificial neural networks (ANNs), constitute a field of research lying at the intersection of different...     

Familiness,business strategy and stakeholder engagement: The internationalisation of Spanish olive oil mills

Based on social capital theory and the family-firm context, this paper studies familiness' composition and the result of the overlap of the family and firm systems, analysing their influence on the internationalisation strategies of family firms. In this relationship, the stakeholder engagement becomes at the same time an antecedent and a result when developing family businesses' strategies, being one of the most relevant the internationalisation strategies. Prior research focused on familiness as the result of proxy variables such as the percentage of ownership and management in family hands, or business size, instead of as psychological variables resulting from shared organisational culture and social interactions. Through a qualitative study based on 12 interviews of general managers and/or export managers of Spanish family olive oil mills, this study asserts that the level of familiness influences internationalisation strategies, the reasons underlying a business becoming international and its commitment to activities abroad being the role of stakeholders crucial in those interactions. The higher the level of familiness, the more likely the family business internationalisation and the higher their levels of international commitment. Additionally, the higher the concern about their stakeholders, the higher their levels of international commitment. The family businesses' concern for their stakeholders and their international commitment share a reciprocal relationship. The results regarding the relevance of familiness as social capital resources in sustaining competitive advantages support the decision to promote, develop and nurture social capital when a family business goes international.     

Analysts’ annual earnings forecasts and changes to the I/B/E/S database

Review of Accounting Studies - I/B/E/S is a common source of analyst earnings forecast data, and the reliability of these data is important for practice and academic research. Examining a common...     

Insurance fraud detection: A statistically validated network approach

Fraud is a social phenomenon, and fraudsters often collaborate with other fraudsters, taking on different roles. The challenge for insurance companies is to implement claim assessment and improve fraud detection accuracy. We developed an investigative system based on bipartite networks, highlighting the relationships between subjects and accidents or vehicles and accidents. We formalize filtering rules through probability models and test specific methods to assess the existence of communities in extensive networks and propose new alert metrics for suspicious structures. We apply the methodology to a real database—the Italian Antifraud Integrated Archive—and compare the results to out-of-sample fraud scams under investigation by the judicial authorities.     

Investor protection and value creation in cross‐border M&As by emerging economies

Previous research investigating cross‐border M&As (CBM&As) by emerging economies (EEs) provided contrasting evidence on the value enhancement role of investor protection rules. We conduct a new empirical study to address the issue with an accurate sample selection of bidders from more homogeneous developing countries and transactions on developed countries only. Our analysis over the 1997–2012 period on a sample of M&A deals by companies from Brazil, Russia, India, China, and South Africa (BRICS) does not provide evidence that better institutional standards in the destination country are rewarded by the local stock market. We find that foreign governance quality is not associated with positive excess stock returns around the announcement date. Rather, these returns are affected by firm‐specific and deal‐specific factors, such as the relative deal size, the listed status of the target company, and the acquirer size. Comparison with other studies on excess returns for emerging markets (including BRICs) suggests that the results could be driven at least partially by country choice.     

When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators

The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of nine improved covariance estimation procedures using daily returns of 90 highly capitalized US stocks for the period 1997–2007. We find that the usefulness of covariance matrix estimators strongly depends on the ratio between the estimation period T and the number of stocks N, on the presence or absence of short selling, and on the performance metric considered. When short selling is allowed, several estimation methods achieve a realized risk that is significantly smaller than that obtained with the sample covariance method. This is particularly true when T/N is close to one. Moreover, many estimators reduce the fraction of negative portfolio weights, while little improvement is achieved in the degree of diversification. On the contrary, when short selling is not allowed and T?>?N, the considered methods are unable to outperform the sample covariance in terms of realized risk, but can give much more diversified portfolios than that obtained with the sample covariance. When T?<?N, the use of the sample covariance matrix and of the pseudo-inverse gives portfolios with very poor performance.     

Does the recent success of some OECD countries in lowering their unemployment rates lie in the clever design of their labor market reforms?

In recent years some OECD countries were successful in loweringthe unemployment rate substantially while other countries werenot. In this paper we investigate to what extent successfulcountries implemented a comprehensive set of institutional reforms.We present a theoretical framework to investigate the relationshipbetween unemployment and labor market institutions (LMI) suchas labor taxes, unemployment benefits, employment protection,union bargaining power and (de)centralization of bargaining.In our empirical analysis of data over the period 1960–99of 17 OECD countries we show that particular combinations ofLMI are responsible for low unemployment rates.