“Misfits,” “stars,” and immigrant entrepreneurship

Prior research has shown that immigrants are more likely than natives to become entrepreneurs, and that entrepreneurs are disproportionately drawn from the extremes of the ability distribution. Using a large panel of US residents with bachelors’ degrees in scientific fields, we ask whether higher rates of entrepreneurship among immigrants can be explained by their position on the ability spectrum and establish four new facts about science-based and immigrant entrepreneurship. First, in this sample, an immigrant entrepreneurship premium exists only in science-based entrepreneurship. Second, this premium persists after controlling for ability (measured by paid employment wage residuals.) Third, a U-shaped relationship between ability and entrepreneurship exists only in non-science entrepreneurship; for science entrepreneurship, the relationship is increasing. Finally, the immigrant premium in science entrepreneurship is largest among immigrants with non-US degrees and those from non-English-speaking or culturally dissimilar countries. Stated preferences for self-employment do not explain the immigrant premium. The results suggest that immigrants may on average have higher levels of unobservable skills related to entrepreneurship.     

Kyle equilibrium under random price pressure

Decisions in Economics and Finance - We study the equilibrium in the model proposed by Kyle (Econometrica 53(6):1315–1335, 1985) and extended to the continuous-time setting by Back (Rev...     

Asymptotic results for the Fourier estimator of the integrated quarticity

Decisions in Economics and Finance - In this paper, we prove a central limit theorem for an estimator of the integrated quarticity based on Fourier analysis, strictly related to the one proposed in...     

Lifting You up or Dragging You Down? The Role of Financial Inclusion in Poverty Transitions Among Italian Households

We estimate the effect of financial inclusion on transition probabilities into/out of poverty. By exploiting a longitudinal sample of Italian households between 2002 and 2016, we find that financial inclusion is effective in both reducing the likelihood of entering poverty and helping the poor to climb out of it. According to our estimates, access to deposit accounts reduces the risk of falling below the poverty line by 2.7 percentage points (pp) and increases the chance of exiting poverty by 4.4 pp. Significance and magnitude of such effects are confirmed when considering different poverty thresholds and definitions, alternative proxies for financial inclusion as well as alternative empirical strategies.     

Modeling stock pinning

This paper investigates the effect of hedging strategies on the so-called pinning effect, i.e. the tendency of stock's prices to close near the strike price of heavily traded options as the expiration date nears. In the paper we extend the analysis of Avellaneda and Lipkin, who propose an explanation of stock pinning in terms of delta hedging strategies for long option positions. We adopt a model introduced by Frey and Stremme and show that, under the original assumptions of the model, pinning is driven by two effects: a hedging-dependent drift term that pushes the stock price toward the strike price and a hedging-dependent volatility term that constrains the stock price near the strike as it approaches it. Finally, we show that pinning can be generated by simulating trading in a double auction market. Pinning in the microstructure model is consistent with the Frey and Stremme model when both discrete hedging and stochastic impact are taken into account.     

The Swiss payment for milk processed into cheese: ex post and ex ante analysis

We make use of both an ex post and an ex ante evaluation to analyze the Swiss payment for milk processed into cheese. This payment for each kilogram of raw milk processed into cheese is issued to milk producers through dairy processors. In the ex post evaluation, by applying a vector autoregressive model, we estimate the effects of reductions of the payment for prices of raw milk used to produce Emmentaler, Gruyère, and industrial cheese. Past declines in the payment have only been partially transmitted to raw milk prices. The rate of transmission is higher for milk used for the production of industrial cheese than for artisan cheeses. In the ex ante impact evaluation, we use a partial equilibrium model and develop a counterfactual scenario in which the payment is removed. The payment for milk processed into cheese is found to have effects on cheese production and exports but also has important indirect effects on other dairy products. Our findings suggest that about two‐thirds of the payment are benefiting milk producers. At the same time, the overall welfare losses resulting from the elimination of the aid are smaller than the budget allocated to this measure, suggesting a net welfare gain from elimination.     

Bayesian approach to LR assessment in case of rare type match

The likelihood ratio (LR) is largely used to evaluate the relative weight of forensic data regarding two hypotheses, and for its assessment, Bayesian methods are widespread in the forensic field. However, the Bayesian ‘recipe’ for the LR presented in most of the literature consists of plugging‐in Bayesian estimates of the involved nuisance parameters into a frequentist‐defined LR: frequentist and Bayesian methods are thus mixed, giving rise to solutions obtained by hybrid reasoning. This paper provides the derivation of a proper Bayesian approach to assess LRs for the ‘rare type match problem’, the situation in which the expert wants to evaluate a match between the DNA profile of a suspect and that of a trace from the crime scene, and this profile has never been observed before in the database of reference. LR assessment using the two most popular Bayesian models (beta‐binomial and Dirichlet‐multinomial) is discussed and compared with corresponding plug‐in versions.     

Introduction to the special issue on the 24th annual Workshop on Economic science with Heterogeneous Interacting Agents,London, 2019 (WEHIA 2019)

Journal of Economic Interaction and Coordination -     

Mutual funds relationships and performance analysis

The present paper aims at exploring the equity exposure of Italian equity mutual funds as they emerge from their portfolio holdings at the date of December 31st, 2010. The technique adopted in the analysis considers the construction of a bipartite network and the detection of the overlap of portfolios held by mutual funds. The relationship among stocks due to their presence in the same portfolios is analyzed, too. Methods typical of complex networks are then applied. The comparison with several performance measures allows to discuss features of active/passive style management for institutional portfolios.