Optimal portfolios when volatility can jump

We consider an asset allocation problem in a continuous-time model with stochastic volatility and jumps in both the asset price and its volatility. First, we derive the optimal portfolio for an investor with constant relative risk aversion. The demand for jump risk includes a hedging component, which is not present in models without volatility jumps. We further show that the introduction of derivative contracts can have substantial economic value. We also analyze the distribution of terminal wealth for an investor who uses the wrong model, either by ignoring volatility jumps or by falsely including such jumps, or who is subject to estimation risk. Whenever a model different from the true one is used, the terminal wealth distribution exhibits fatter tails and (in some cases) significant default risk.     

Ecotourism development in Ghana: A postcolonial analysis

Despite growing research on ecotourism in Ghana, it is unclear to what extent colonial approaches to forestry and wildlife conservation still influence ecotourism in the country. This paper examines ecotourism development in Ghana from a postcolonialist perspective. It is based on a thematic assessment of primary data from in-depth interviews with a range of ecotourism actors. The paper shows that ecotourism in Ghana, much like colonial forestry and wildlife conservation, faces challenges such as the marginalisation of the local community, the use of neo-crisis narratives, a dependence on international forces, and the marginalisation of local ecological knowledge. It argues for a holistic approach to the development of ecotourism as a win–win strategy for sustainable development.     

The innovation trajectory of eco-cement in the Netherlands: a co-evolution analysis

In this article, we scrutinize the innovation trajectory of eco-cement in the Netherlands by examining the innovation nexus of eco-cement manufacturers, scientists/researchers, waste producers and policymakers as part of a broader analysis of markets, policy and society, with special attention to standards and regulations. The influence of policy and innovation interactions are substantiated by policy documents, media news, patterns of eco-cement use, and in-depth interviews conducted with relevant eco-cement actors. Our analysis brings forward empirical evidence of how policymakers are involved in the innovation trajectory of eco-cement in multiple ways through building regulations, sector policies, waste policies, and science and innovation policies. Political economy aspects of regulation and innovation in cement industry (e.g. the cooperative approach of waste authorities with regard to re-use of waste, absence of policies to put a price on CO₂ emissions from cement production) are being described, together with the specificities of the cement market. Bans on the disposal of fly ash and sewage sludge resulted in the use of those materials either as a supplementary cementitious material or a fuel. Demand for green cement from is presently growing but meets with several obstacles. Carbon policies are shown to constitute a weak influence. Innovation in eco-cement co-evolved with policy, through mutual dependencies, as a theoretical finding for innovation studies.     

Parents’ Use of Subsidiaries to “Push Down” Earnings Management: Evidence from Italy

We find evidence consistent with Italian nonlisted subsidiaries engaging in accrual and real earnings management, so that their listed parents can meet or beat benchmarks. Thus, the parent firm drives the earnings management of the subsidiaries. We identify parents that are more likely to have managed earnings as the ones that avoid a small loss or meet or beat analyst forecast by a few cents. Cross‐sectional analysis reveals that Big 4 auditors mitigate accrual earnings management at the subsidiary level and that family‐owned firms use earnings management through nonlisted subsidiaries mainly to avoid reporting losses. Finally, we find that parent firms communicate earnings management strategies to their subsidiaries using board proximity. Our evidence shows that business groups manage earnings differently from single firms, pushing earnings management down to subsidiaries. It also supports the monitoring role of Big 4 auditors in a business group setting and contributes to understanding financial reporting decisions in family‐owned firms.     

How far can reduced childcare prices push female labour supply?

Exploiting exogenous variation in childcare prices stemming from a childcare price reform, this paper estimates effects of reductions in childcare costs on female labour supply. The reform introduced a cap on childcare prices, and lead to considerable reductions in prices depending on family type and region of residence. Since the price is determined by a handful of observed characteristics, we are able to match households that are similar in all relevant aspects, but experienced quite different price changes. Our difference-in-differences regression matching estimates are very precise, and close to zero.     

Universities and intellectual property rights in Southern European countries

This paper analyses and discusses the patenting activity of Public Research Organizations (PROs) in Southern European countries. Despite the importance of the topic, studies about the European experience are rare. By using an original database of “American” (USPTO) and “European” (EPO) patents held by PROs in Portugal, Spain, France, Italy and Greece, we observe that the number of university patents in these countries has not increased dramatically during the last years, despite a growing interest at both European and national level during the same period. However, differences do exist among countries in terms of number of granted patents and regulative frameworks. With regard to PROs patenting strategies, we argue that PROs should be progressively able to adopt a “balanced” approach, in order to achieve co-existence between the traditional mechanisms of the so-called “open research system” and the more recent concerns about intellectual property protection, technology transfer and regional development.     

Towards Legitimate Water Governance?

Abstract

This article addresses how and to what extent a governance mode can legitimately provide public services. A single case study of the partially privatized Berlin Waterworks is used to analyse the level of input and output legitimacy as well as potential trade-offs between the criteria emerging in a public–private partnership (PPP) in the water supply and sanitation sectors. While the Berlin Waterworks as a PPP leads to a lower level of resource protection and public acceptance, it leads to a higher level of efficiency and profitability than under the previous public model.     

Robust Repeat Sales Indexes

Using single‐family sales data for Louisville, Kentucky, we show the benefits of applying robust methods to down‐weight problematic transactions in a repeat sales context. Robust estimators reduce the influence of outliers in repeat sales price changes that are due to data entry errors, quality changes or nonmarket transactions. In addition to comparing conventional and robust indexes, we also use simulated data, where the correct index is known, to show that robust methods control for the impacts of contaminated data. Finally, we demonstrate that robust methods reduce the magnitude and volatility of index revisions.