A Range-Based Finite Difference Approach to Valuing Options in Markov Switching Regimes*

Recognizing the inflexibility inherent in standard capital budgeting analysis, recent research has provided new insights using a real options framework. This paper uses the explicit finite difference approach to value real options. However, instead of assuming a constant return and volatility term, we assume that these variables are sensitive to changes in the economic environment. Accordingly, we adapt our approach to incorporate a Markov switching feature. Further, we recognize that some of the modeling assumptions can be violated in a practical application. Therefore, we recommend using range based estimates of the real option value, as opposed to a point estimate.     

Neuerscheinungen versicherungswissenschaftlicher Bücher

Ohne Zusammenfassung Ausgew?hlt von Dr. Andrea Uber, Berlin     

The collective voice of unions and workplace training in Italy: New insights from mixed methods

Using a three-phase approach that combines quantitative (pooled OLS, fixed effects and IV) with qualitative (semi-structured interviews) analyses, we find that in Italy, workplace unions are more likely to enhance training when they sign a firm-level agreement and when they can get access to external funds for financing. We also identify three channels: what we call a ‘maturation effect’, double-track communication and watch-dog function. We argue that these results are consistent with the idea that the impact of workplace unions on training depends on the empowerment of its collective voice within an institutional framework that does not fit either of the standard models provided by collective and liberal market economies.     

An empirical analysis of the relationship between university investments in Technology Transfer Offices and academic spin‐offs

The aim of this paper is to analyze the role of university Technology Transfer Offices (TTOs) in contributing to the creation and the performance of academic spin‐offs (ASOs). More specifically, it investigates the relationship between resources invested in TTOs in term of employees and the creation and growth of ASOs. The empirical analysis refers to Italy, where since 1999 academicians have been allowed to be actively involved in setting up companies for the ‘industrial use of research’. We used data on ASOs and resources invested by Italian universities in TTOs during the 2002–2011 period to investigate if and to what extent such investments contributed to the birth and growth of ASOs. We also controlled the results using information on university and on local context, in which university is located. The results of the empirical analysis show that in a first phase academicians reacted more promptly than universities to the opportunities offered by the new legislation, which may in part be due to the organizational rigidity that characterizes Public Administration in Italy. However, the empirical analysis also shows that after this initial phase the size of the TTOs (in terms of employees) has had a positive influence on the number of new ASOs (i.e. birth), but not on the performance of ASOs (i.e. growth), which is influenced by both long‐term investments in research (i.e. the quality of research results) and other variables linked to the regional and national contexts, such as the presence of incubators or the level of economic development. Our results regard a widely studied topic and should provide incremental findings for the community of entrepreneurship scholars and relevant implications for policy makers and TTO managers.     

Entrepreneurial risk,investment, and innovation

I estimate the effect of uncertainty on risky innovation using a panel of 11,417 manufacturing firms. I find that an increase in uncertainty has a large negative effect on the risky innovation of entrepreneurial firms, while it does not have any significant impact on other firms. This negative effect is stronger for the less diversified entrepreneurial firms in the sample. The estimation results are consistent with the innovation dynamics generated in a model in which entrepreneurs are risk averse and cannot diversify the risk of their business.     

Approaching rainfall-based weather derivatives pricing and operational challenges

Review of Derivatives Research - This article approaches some of the current rainfall derivatives pricing and operational challenges through an empirical application to Comunidad Valenciana, Spain....     

Supervisors as information producers: Do stress tests reduce bank opaqueness?

Supervisory stress tests assess the impact of an adverse macroeconomic scenario on the profitability and capitalisation of a large number of banks. The results of such stress test exercises have recently been disclosed to the public in an attempt to restore confidence and to curb bank opaqueness by helping investors distinguish between sound and fragile institutions. In an unprecedented effort for transparency, the 2011 European Union stress test lead to the release of some 3400 data points for each of the 90 participating banks. This makes it an ideal setting to investigate a number of hypotheses on the information role of the stress tests.     

Do banks price discriminate spatially? Evidence from small business lending in local credit markets

In this paper we explore the effects of bank–borrower physical proximity on price and non-price aspects of small business lending in local credit markets. Along the price dimension, our analysis reveals that interest rates increase with bank–borrower distance and decrease with the distance between borrower and other competing banks. Along the quantity dimension, we observe that more distant borrowers are more likely to experience binding credit limits. We also show that the quantity effects of bank–borrower distance are concentrated among less transparent firms. Our findings are consistent with pricing based on marginal costs that reflect information-based factors, and are in contrast to the established paradigm, where banks adopt spatial discriminatory pricing rules when lending to small-sized enterprises.