Does ownership affect firms’ efficiency? Panel data evidence on Italy

This paper provides empirical evidence on the relation between the identity of ultimate owners and technical (in)efficiency by estimating stochastic production frontiers on Italian firm level panel data for twelve manufacturing industries over the 1978–93 period. Privately-owned independent firms are used as reference group and their efficiency is assessed against three alternative forms of ownership: subsidiaries of (privately owned) national business groups, subsidiaries of foreign multinationals, and state owned firms. Even if cross-industry differences obviously exist a common pattern can however be identified. Overall, subsidiaries of foreign multinationals (state owned firms) are found to be more (less) efficient than the reference group. On the contrary, no systematic difference is found between independent firms and subsidiaries of national business groups.First version received: July 2002/Final version received: September 2003We wish to thank the Editor Robert Kunst, a very constructive Referee, Luigi Benfratello, Maurizio Conti, Almas Heshmati, Giovanna Nicodano and the participants at the EARIE conference in Lausanne for helpful comments on a previous draft.     

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.     

A general HJM framework for multiple yield curve modelling

We propose a general framework for modelling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between FRA rates and simply compounded OIS risk-free forward rates. We derive an HJM drift and consistency condition ensuring absence of arbitrage and, in addition, we show how to construct models such that multiplicative spreads are greater than one and ordered with respect to the tenor’s length. When the driving semimartingale is an affine process, we obtain a flexible and tractable Markovian structure. Finally, we show that the proposed framework allows unifying and extending several recent approaches to multiple yield curve modelling.     

From insurance risk to credit portfolio management: a new approach to pricing CDOs

We present a new approach for pricing collateralized debt obligations (CDOs) which takes into account the issue of the market incompleteness. In particular, we develop a suitable extension of the actuarial framework proposed by Bayraktar et al. [Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities. J. Econ. Dyn. Control, 2009, 33, 676–691], Milevsky et al. [Financial valuation of mortality risk via the instantaneous Sharpe-ratio: Applications to pricing pure endowments. Working Paper, 2007. Available at: http://arxiv.org/abs/0705.1302], Young [Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio: Theorems and proofs. Technical Report, 2007. Available at: http://arxiv.org/abs/0705.1297] and Young [Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio. Insurance: Math. Econ., 2008, 42, 691–703], which is based on the so-called instantaneous Sharpe ratio. Such a procedure allows us to incorporate the attitude of investors towards risk in a direct and rational way and, in addition, is also suitable for dealing with the often illiquid CDO market. Numerical experiments are presented which reveal that the market incompleteness can have a strong effect on the pricing of CDOs, and allows us to explain the high bid-ask spreads that are frequently observed in the markets.     

Modeling current and emerging threats in the airport domain through adversarial risk analysis

Airports are critical infrastructures entailing intense human, commercial and economic activity. As such, they are preferred targets for criminal and terrorist groups, who are attracted by the promisingly high revenues they might get from an attack. Every year, airport authorities worldwide have to face, with limited resources, attacks arising from different adversaries. There are several sensible areas within an airport organization that are especially vulnerable to the terrorist threat, including, among others: (1) those related to human lives (of passengers or staff); (2) airport infrastructure (airport perimeter, main terminal, Air Traffic Control Tower, runways, hangars, etc.); (3) aircrafts and other ground vehicles; and (4) IT systems and services. Besides the more traditional ones, we are particularly concerned with attacks launched against the last type of targets, an emerging and increasingly worrisome threat. Specifically, we analyze the impact of cyber-attacks launched by organized groups whose main goal is to take hold of airport operations. In some cases, in order to have more chances to achieve their purpose (and take advantage of its eventual success), cyber attackers may be backed up by a terrorist group who will try to interfere with the Air Traffic Management network. In this paper, we aim at supporting airport authorities in their fight against both threats, by devising a security allocation plan. We provide an adversarial risk analysis model to address the problem, and apply it to obtain the optimal portfolio of preventive measures in an illustrative case study. The model is open to extensions, as e.g. larger and more complex technical infrastructures, new threats, or additional recovery measures deployed by different defensive agents.     

An optimisation strategy for concurrent Supply Chain Finance schemes

The uncertainty and financial instability that has plagued companies and industries in the last decade is one of the root causes behind the development of Supply Chain Finance (SCF), a set of schemes aiming to optimise the management of financial flows at the supply chain level. Recent years have seen a proliferation of different SCF schemes, with different impacts on working capital costs and requirements throughout the supply chain. The practicality of SCF usage indicates that the concurrent adoption of multiple schemes is not only possible, but even likely. However, literature on SCF still focuses on individual SCF schemes, while the concurrent adoption of multiple SCF schemes remains largely unaddressed. Thus, the objective of this paper is to assess the tangible benefits deriving from a multi-scheme SCF strategy. Based on the analytical formulation of the benefits of three relevant SCF schemes (Reverse Factoring, Inventory Financing and Dynamic Discounting), the paper formalises a model that investigates the benefits that a buyer can achieve by onboarding suppliers onto these three schemes. The results show how working capital requirements and the cost of finance represent the key parameters to assessing the benefits of the concurrent adoption of multiple SCF schemes. Moreover, the funding limits of the SCF schemes themselves strongly affect the relevance of such strategies; strict limits will increase the relevance of having ‘alternative’ schemes available to onboard suppliers. To highlight the managerial relevance of the model, the article provides a numerical example based on a real-world application.     

CSR in an Asymmetric Duopoly with Environmental Externality

We investigate a linear state differential game describing an asymmetric Cournot duopoly with capacity accumulation á la Ramsey and a negative environmental externality (pollution), in which one of the firms has adopted corporate social responsibility (CSR) in its statute, and therefore includes consumer surplus and the environmental effects of production in its objective function. If the market is sufficiently large, the CSR firm sells more, accumulates more capital, and earns higher profits than its profit‐seeking rival.     

Measurement in social research: some misunderstandings

The concept of numerical measurement based on the manipulation of objects has impoverished and distorted the meaning of magnitude and scale. This article aims to contribute to a concept of the most fruitful measurement for the development of the social sciences, with reference to specific aspects indicating the differences from the natural one and regarding, in particular, the non-numeric.     

Market Access Asymmetry in Food Trade

Using a bilateral trade equation derived from a monopolistic competition model, we investigate market access reciprocity in food trade among the United States, Canada, the European Union and Japan. We explore country- and industry-specific market access asymmetry through a border effect approach. Our findings reveal marked asymmetries in reciprocal border effects, both across countries and industries. Trade policy measures, particularly non-tariff barriers (NTBs), the degree of product differentiation and a ‘home bias’ in preferences, are important factors in explaining levels in border effects. Asymmetries in border effects are mainly explained by trade policies. JEL no.  F13, F14, Q17