Reorganisation resolutions and bank lending relationships in Taiwan

This paper investigates the impact of three different types of final resolutions of a reorganisation plan – reorganisation ratification, out-of-court settlement, and filing dismissal – on the filer's lead lending bank (LLB), on which earlier research is completely silent. Results reveal that LLBs have the largest (least) negative stock returns in response to the announcement of filing dismissal (reorganisation ratification). Moreover, this paper is the first to explore the extent to which the loan-, bank-, and borrower-level variables lead to a predictable valuation effect for the filer's LLB. In addition to contributing to the literature on bank–borrower relationships, this study proposes an innovative application by providing an empirical exposition of the receiver operating characteristic curve analysis and, thus, demonstrates the models' performance in reliability and robustness.     

On the impossibility of complete Non-Interference in Paretian social judgements

We study a principle of ‘Non-Interference’ in social welfare judgements. Non-Interference captures aspects of liberal approaches (particularly a Millian approach) to social decision making. In its full generality, Non-Interference produces an impossibility result: together with Weak Pareto Optimality, it implies that a social welfare ordering must be dictatorial. However, interesting restricted versions of Non-Interference are compatible with standard social welfare orderings.     

The French Revolution and the Creation of Benthamism

Abstract

The article investigates Knut Wicksell's interpretation of aggregate economic fluctuations. It is shown that Wicksell described the business cycle as oscillations of an economy with increasing population and scarce natural resources around its steady growth path ('dynamic equilibrium'), provoked by sporadic technological progress. The ‘shocks’ bring about a wave‐like motion because of psychological and technical lags in the economic structure. Wicksell's suggestion that excess net savings in the depression take the form of stocks of commodities is compared to his contemporaries’ answers to the question ‘What happens to savings during the depression?’ The article also puts forward a relatively neglected connection between Malthus’ and Wicksell's notions of over‐production. Divergences between the natural and market rates of interest — essential to his better‐known ‘cumulative process’ ‐ are not a necessary part of Wicksell's business cycle, but they are important to explain why the upper turning‐point can have the nature of a crisis, which results from wrong expectations induced by cumulative price movements.     

Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?

Statistical performance, in-sample point forecast precision and out-of-sample density forecast precision of GARCH(1,1) and Beta-t-EGARCH(1,1) models are compared. We study the volatility of nine global industry indices for period from April 2006 to July 2010. Competing models are estimated for periods before, during and after the United States (US) financial crisis of 2008. The results provide evidence of the superior out-of-sample predictive performance of Beta-t-EGARCH compared to GARCH after the US financial crisis.     

Difficulties for small firms to invest in research prerogatives. An empirical analysis of a sample of Italian firms

It is a commonly accepted fact that a quite strong relation exists between research investments and the general wealth of a given area. The main goal of this study is to analyse and determine which financing sources better serve this need for innovation, taking a sample of 1000 private firms in current economic downturn. Small firms from Southern Italy often have no access to debt capital on nondeterministic research activities, and more importantly, it still seems like banks cannot afford to finance these kinds of operations, mainly because of their indeterminate nature. This research draws the conclusion that only self-evidently solvent firms have a chance of getting the financial help needed to innovate.     

Drivers for the voluntary adoption of consolidated financial statements in local governments

ABSTRACT

This paper investigates consolidated financial statements (CFS), which have been implemented by several countries. In Italy, CFS implementation was preceded by a testing period in which local governments could participate on a voluntary basis. This paper explains why this was a useful preliminary step to implementing CFS: the local governments that took part in the testing period were able to enhance their knowledge of the topic while improving their employees’ skills.     

The role of institutional investors in public-to-private transactions

In Italy, as in many other European countries, listed firms will normally go dark through controlling owner-initiated tender offers. We find that institutional investors play a central role in the bid process and can protect minority shareholders from being frozen out in the bid. Specifically, tender offers are less likely to succeed when a firm has institutional investors in its ownership structure. When public-to-private offers are accepted, bid premiums are significantly greater if a financial institution (particularly when it is foreign, independent or activist) has a stake in the firm. We explore the effect of a number of hitherto unexplored factors on the takeover premium and find that shareholder agreements facilitate public-to-private acquisitions. Other factors, such as a threat to merge the target if the bid fails, or external validation of the offer price, have no impact on either the likelihood of delisting or the premium paid by the bidder.     

Bayesian prior elicitation in DSGE models: Macro- vs micropriors

Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally formalized either directly on deep parameters' values (‘microprior’) or indirectly, on macroeconomic indicators, e.g. moments of observable variables (‘macroprior’). We introduce a non-parametric macroprior which is elicited from impulse response functions and assess its performance in shaping posterior estimates. We find that using a macroprior can lead to substantially different posterior estimates. We probe into the details of our result, showing that model misspecification is likely to be responsible of that. In addition, we assess to what extent the use of macropriors is impaired by the need of calibrating some hyperparameters.     

Allocating chances of success in finite and infinite societies: The utilitarian criterion

We study a particular collective choice problem, that of allocating chances of success. We argue that many problems of interest have this nature, from small scale problems like medical triage to large scale ones like the allocation of opportunities in society. We consider both finite and infinite societies. We characterise utilitarian-type criteria by means of new properties tailored to the probabilistic structure of the alternatives.     

Residual based tests for cointegration in dependent panels

In the paper, we propose residual based tests for cointegration in general panels with cross-sectional dependency, endogeneity and various heterogeneities. The residuals are obtained from the usual least squares estimation of the postulated cointegrating relationships from each individual unit, and the nonlinear IV panel unit root testing procedure is applied to the panels of the fitted residuals using as instruments the nonlinear transformations of the adaptively   fitted lagged residuals. The t$t$-ratio, based on the nonlinear IV estimator, is then constructed to test for unit root in the fitted residuals for each cross-section. We show that such nonlinear IV t$t$-ratios are asymptotically normal and cross-sectionally independent under the null hypothesis of no cointegration. The average or the minimum of the IVt$t$-ratios can, therefore, be used to test for the null of a fully non-cointegrated panel against the alternative of a mixed panel, i.e., a panel with only some cointegrated units. We also consider the maximum of the IV t$t$-ratios to test for a mixed panel against a fully cointegrated panel. The critical values of the minimum, maximum as well as the average tests are easily obtained from the standard normal distribution function. Our simulation results indicate that the residual based tests for cointegration perform quite well in finite samples.