Hedging with futures: Efficacy of GARCH correlation models to European electricity markets

European electricity markets have been subject to a broad deregulation process in the last few decades. We analyse hedging policies implemented through different hedge ratios estimation. More specifically we compare naïve, ordinary least squares, and GARCH conditional variance and correlations models to test if GARCH models lead to higher variance reduction in a context of high time varying volatility as the case of electricity markets. Our results show that the choice of the hedge ratio estimation model is central on determining the effectiveness of futures hedging to reduce the portfolio volatility.     

Banking business models and risk: Findings from the ECB's comprehensive assessment

We use the results of the ECB's comprehensive assessment to evaluate the importance of the bank business model on risk assessment and the persuasive effectiveness of different supervisory styles on banks’ recapitalization. Our analysis reveals inconsistencies in the information content provided by the various regulatory measures used for assessing bank stability. Moreover, opposite to CET1 ratio, the leverage ratio provides assessments on business models more consistent with a market-based measure of bank risk exposure and Z-SCORE. Accounting for several control variables both at the bank and country level, we also find evidence that the effectiveness of the supervisory action depends on the specific type of supervisory model. In particular, countries adopting the hybrid model seem more effective in persuading banks to recapitalize preventively. Differently, countries adopting the integrated and the sectorial model seem less effective in their requests.     

A comparison of debt measures in fiscal statistics and public sector financial statements

This paper examines the differences between measures of debt used to analyse a government's financial position. It compares the statistical and accounting approaches and presents a way of reconciling the two statements: thereby identifying possible convergence between GPFS and GFS. In doing so, it contributes to the ongoing international debate on harmonization of public sector accounting standards, such as IPSAS/EPSAS and GFS.     

Fish market integration and demand analysis: a Mediterranean case study

This study discusses the importance of delineating market boundaries prior to undertaking demand analysis. The Northern Adriatic Sea is considered a good case study by which to test this approach, given the richness of species landed there and their heterogeneous distribution across the space involved. Three groups of demersal species (whitefish, cephalopods, and crustaceans) are chosen for the study. First, geographical market boundaries are defined for each product (species) using price–price relations between market places. Second, demand is analyzed inside the defined market area through the linear approximation of the inverse almost ideal demand system. Geographical market integration bears several patterns of complete or partial integration, depending on the species. It could be said that integration is higher for species of high economic relevance among regions where large quantities are landed. For all product groups, our estimations suggest that moderate substitution effects do exist among species. The characteristics of the fleets and of the buyers, as well as the biophysical attributes of the sea basin (i.e., species richness and heterogeneous spatial distribution) are discussed as explanatory variables of market integration/segmentation.     

The Importance of Alliances in Firm Capital Structure Decisions: Evidence from Biotechnology Firms

Building on finance research, we argue that the ex post hazards arising from alliance formation depend upon the firm's financial condition. Financial distress jeopardizes the continuity of an alliance and the value of the investments involved. Thus, firms should reduce leverage to signal continued commitment and to induce investments from alliance partners. Accordingly, we find that a firm's current alliance propensity predicts its subsequent capital structure decisions and that this relationship is most pronounced in the presence of other exchange hazards. Our paper contributes to alliance research and to the growing literature discussing the strategic consequences of capital structure. Copyright © 2015 John Wiley & Sons, Ltd.     

Pride in my past: Influencing sustainable choices through behavioral recall

Emotional appraisal research has demonstrated that recalling a past behavior and its associated emotions can influence future behavior. However, how such recalled emotions shape sustainable consumer choice has not been examined. This study examines the role of recalled pride and guilt in shaping sustainable purchase intentions and the mediating role of anticipated pride and guilt. A conceptual model is proposed for motivating sustainable purchase intentions through the emotions associated with the behavioral recall. The model is applied in two experiments with online consumers examining purchase intentions of low carbon cars. Recalling feelings of pride associated with a past sustainability‐related behavior increases sustainable purchase intention, as compared with a neutral recall. This effect occurs through the mediation of both anticipated pride at the prospect of a sustainable behavior choice and anticipated guilt if the future choice is not sustainable. Similar hypotheses relating to recalled guilt at past unsustainable behavior were not supported. The study contributes to research on sustainable consumption, revealing an emotional route by which past behavior can influence future behavior. It also adds to emotional appraisal research by showing the role of specific self‐conscious emotions in forming this route, as prior research has focused more broadly on emotional valence.     

A Review on Modal Clustering

In spite of the current availability of numerous methods of cluster analysis, evaluating a clustering configuration is questionable without the definition of a true population structure, representing the ideal partition that clustering methods should try to approximate. A precise statistical notion of cluster, unshared by most of the mainstream methods, is provided by the density‐based approach, which assumes that clusters are associated to some specific features of the probability distribution underlying the data. The non‐parametric formulation of this approach, known as modal clustering, draws a correspondence between the groups and the modes of the density function. An appealing implication is that the ill‐specified task of cluster detection can be regarded to as a more circumscribed problem of estimation, and the number of clusters is also conceptually well defined. In this work, modal clustering is critically reviewed from both conceptual and operational standpoints. The main directions of current research are outlined as well as some challenges and directions of further research.     

How Do Strengths and Weaknesses in Corporate Social Performance Across Different Stakeholder Domains Affect Company Performance?

The existing research on corporate social responsibility (CSR) has largely focused on the positive aspect of corporate social performance (CSP) and company performance (CP) and ignored the relationship between actions that would qualify as negative CSP (or weakness in CSP) towards a stakeholder group and company performance. Using data from the KLD collected over a three‐year period, this study examines the relationship between both CSP weaknesses and strengths and CP across individual stakeholder domains. Results of the study suggest that strengths in CSP related to primary stakeholder domains are associated with superior company performance. However, this relationship is tenuous, at best, in the case of the secondary stakeholder domain. As for weaknesses in CSP, the results suggest that if a firm performs poorly in meeting the expectations of one or more stakeholders it is penalized in the form of poor performance. This finding generally holds true for both primary and secondary stakeholders. Implications of these findings for public policy and businesses planning to address social issues are discussed. Copyright © 2014 John Wiley & Sons, Ltd and ERP Environment