Exploring factors motivating entrepreneurial intentions: the case of Italian university students

This study aims to identify the factors motivating the intentions of university students to become entrepreneurs. Leveraging data from a survey of 941 Italian students and adopting Ajzen's theory of planned behaviour, this paper employs the structural equation model to identify factors explaining students’ entrepreneurial intentions. The findings show that attitudes, subjective norms and perceived behavioural control positively shape Italian students’ intentions. Moreover, the findings signal that the skills acquired during the university pathway play a crucial role in encouraging students to consider entrepreneurial choices. The paper extends and complements the academic and policy debate in the field of entrepreneurship offering a comprehensive investigation of the factors affecting entrepreneurial intentions. It also allows us to contend that higher education may have an important role to play in fostering the entrepreneurial intentions of young people. This is especially significant given current global economic conditions and the renewed importance of self‐employment strategies.     

Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets

This article examines the liquidity of international real estate securities across 10 markets over the period 1990–2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the United States and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios.     

Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns

In this article, we investigate the commonly used autoregressive filter method of adjusting appraisal‐based real estate returns to correct for the perceived biases induced in the appraisal process. Many articles have been written on appraisal smoothing but remarkably few have considered the relationship between smoothing at the individual property level and the amount of persistence in the aggregate appraisal‐based index. To investigate this issue we analyze a large sample of appraisal data at the individual property level from the Investment Property Databank. We find that commonly used unsmoothing estimates at the index level overstate the extent of smoothing that takes place at the individual property level. There is also strong support for an ARFIMA representation of appraisal returns at the index level and an ARMA model at the individual property level.     

Studying co-movements in large multivariate data prior to multivariate modelling

For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-integrated-moving average (ARIMA hereafter) models. This finding can explain why we identify parsimonious univariate ARIMA models in applied research although VAR models of typical order and dimension used in macroeconometrics imply non-parsimonious univariate ARIMA representations.     

An alternative solution to the Autoregressivity Paradox in time series analysis

This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and methods of the paper are illustrated via an empirical investigation of the low-frequency properties of hours worked in the US.     

Modelling Intra-Group Relationships

Within a group of companies, a model is given for management of the relationships between the parent company and its subsidiaries. This is particularly relevant for groups originating from mergers and takeovers, because firms acquired often differ substantially in organizational structure from each other and from the parent company. The model provides a means of harmonizing the organizational structures of parent company and subsidiaries, so as to provide a complete coverage of necessary activities without duplication, and a means of identifying which activities should, in economic terms, be centralized by the parent company, and which should be delegated to the subsidiary. Finally, there is an empirical application of the model to one of the principal Italian banking groups.     

A Reduced Rank Regression Approach to Coincident and Leading Indexes Building*

This paper proposes a reduced rank regression framework for constructing a coincident index (CI) and a leading index (LI). Based on a formal definition that requires that the first differences of the LI are the best linear predictor of the first differences of the CI, it is shown that the notion of polynomial serial correlation common features can be used to build these composite variables. Concepts and methods are illustrated by an empirical investigation of the US business cycle indicators.     

Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid–ask spreads and the relationship between spreads and risk, return and liquidity. Intraday data have been used to measure the effective spread, and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore, this article develops an aggregate daily data-based test for liquidity and applies the test to U.S. data in order to check for consistency with the results of prior intraday analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.     

Real exchange rate persistence and monetary policy rules

The objective of this paper is to analyze the effects of alternative monetary rules on real exchange rate persistence. Using a two-country stochastic dynamic general equilibrium with nominal price stickiness and local currency pricing, we will show how the persistence of purchasing power parity deviations can be related to a monetary theory of these deviations. When monetary policy lean against the wind, there is no relationship of proportionality between the time during which prices remain sticky and the persistence of the response of the real exchange rate: in this case high nominal price rigidity is not sufficient, per se, in generating any persistence following a monetary shock. Moreover, we emphasize the role of interest rates smoothing policies and relative price stickiness within countries in understanding the relationship between the real exchange rate and monetary shocks. With reasonable parameters values, a wide range of monetary policy rules can generate real exchange rate autocorrelations around the ones observed in the data.