In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

Two oil price shocks changed the pattern of cheap oil. The first was the Arab embargo on oil exports in 1973. Oil prices rose five fold. In 1978, the second was the fall of Shah Iran. Prices soared to $80-$100 a barrel in today‘s prices. In 1960, OPEC was established and since then it has been...

This paper sheds additional light on the relationship between firm level innovative capacity and export intensity. By drawing from the recent literature on exporters' heterogeneity, we apply quantile regression techniques to a sample of Italian firms in order to verify whether the effect of...

Firms make investments in technology to increase productivity. But in emerging markets, where a culture of informality is widespread, information technology (IT) investments leading to greater transparency can impose a cost through higher taxes and need for regulatory compliance. This tendency...

Based on a unique database consisting of hundreds of thousands of non-alcoholic beverage price records collected in about 800 supermarkets in France, we evaluate the impact on prices of the soda tax, an excise on drinks with added sugar or sweetener, introduced in January 2012 in France. We...

L’economia italiana è caratterizzata da un’ampia prevalenza di PMI. Negli ultimi dieci anni, crescenti segnali di crisi, da parte dei sistemi tradizionali con cui l’economia industriale italiana si è organizzata, per rafforzare le sue PMI (e in particolare i distretti industriali e più...

The present paper proposes a model for the persistence of abnormal returns both at firm and industry levels, when longitudinal data for the profits of firms classiffied as industries are available. The model produces a two-way variance decomposition of abnormal returns: (a) at firm versus...

This study extends Seck's (1996) approach to investigate the degree of substitutability between equity real estate investment trusts (EREITs) and mortgage real estate investment trusts (MREITs). The variance ratio test and the variance decomposition of forecast errors yield results indicating...

This study analyses the performance of real estate mutual funds for 1993 through 2001 period. The results indicate that real estate mutual funds do not provide positive abnormal performance on average. Fund performance to a large extent is determined by the performance of the real estate sector...

The diversification benefit provided by real estate investment trusts (REITs) is of great importance to investors, practitioners and academics. This benefit critically relies on the correlation properties between REIT returns and the factors used to explain REIT returns. Recent studies have...