1,720,975 research outputs found
Normality test for financial variables
No full textI test di normalità generalmente usati per le variabili finanziarie non consentono sempre di valutare correttamente se la distribuzione normale rappresenta un riferimento efficace per la misura del rischio. Da un lato, infatti, la curtosi può non essere causata dalla coda sinistra della distribuzione, dall’altro, i piccoli campioni frequentemente adoperati non consentono la validità delle proprietà asintotiche dei test. Mediante il ricorso a un esperimento Montecarlo, viene proposta una procedura non parametrica, particolarmente utile nel caso di piccoli campioni, per valutare se l’adozione dell’ipotesi di normalità conduca ad una sottostima del rischio finanziario
THE LACK OF HOUSEHOLD PORTFOLIO DIVERSIFICATION IN ITALY
No full textDespite what portfolio diversification offers, portfolios of many Italian households are not well diversified. The breadth and significance of poor diversification is documented anew in this paper using the Survey of Household Income and Wealth data by the Bank of Italy. The reasons for the lack of diversification can be found into the existence of unobservable barriers that prevent many households from investing in any assets. These constraints can vary according to economic and demographic characteristics of households and the socio - economic environment where they live. By resorting to a multivariate latent class analysis it is possible to detect the unobservable constraints on an array of financial assets categories simultaneously. Our methodology allows to classify the population of investors into unobservable sub-groups determined on the basis of the unobservable constraints. With respect to the existing literature, where investors are considered as a single group and the portfolio diversification is evaluated by referring to all households, we introduce a strategic distinction. Furthermore, instead of traditional estimation methods, we employ a Bayesian approach for its flexibility in terms of number and type (discrete and continuous) of covariates and the use of a priori information. Finally, our results provide powerful insights about the effects of social, demographic, economic and financial characteristics on the portfolio choices, thus allowing to correctly analyse the household’s investment decisions
Latent class models in financial data analysis
Get PDFThis paper deals with optimal international portfolio choice by developing a latent class approach based on the distinction between international and non-international investors. On the basis of micro data, we analyze the effects of many social, demographic, economic and financial characteristics on the probability to be an international investor. Traditional measures of equity home bias do not allow for the existence of international investment rationing operators. On the contrary, by resorting to latent class analysis it is possible to detect the unobservable distinction between international investors and investors who are precluded from operating into international financial markets and, therefore, to evaluate the role of these unobservable constraints on equity home bias
LATENT CLASS ANALYSIS FOR FINANCIAL DATA
No full textThis paper deals with optimal international portfolio choice by developing a latent class approach based on the distinction between international and non-international investors. For thirty years financial literature has been looking for convincing explanations of systematic low international investments: share of foreign assets held by domestic investors is greatly lower than expected by risk-return efficient portfolios: this puzzle is usually called equity home bias.
On the basis of micro data, we analyze the effects of many social, demographic, economic and financial characteristics on the probability to be an international investor. We specify a latent class model which allows to test the existence of two groups of investors: the sub-group of investors who are completely precluded from investment in foreign assets, and the sub-group of investors who are not prevented from investing in foreign assets.
Our results shows how traditional measures of equity home bias are upward biased because they do not allow for the existence of international investment rationing operators. On the contrary, by resorting to latent class analysis it is possible to detect the unobservable distinction between international investors and investors who are precluded from operating into international financial markets and, therefore, to obtain an unbiased measure of equity home bias
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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