BETA+

Preséntase en Santiago a Agrupación de Investigación BETA+ en bioeconomía, emprendemento, territorio e ambiente.

Conformado por 19 grupos de investigación das universidades galegas, ten por obxecto poñer a disposición da sociedade os seus estudos. As problemáticas principais: o despoboamento e envellecemento da poboación, a xestión dos recursos naturais, o emprendemento no rural, a bioeconomía, o impacto do turismo ou a conservación do patrimonio. Unha iniciativa moi interesante e necesaria. Parabéns aos promotores. (Máis info).

Spray-and-pray vs. Cherry-picking

Two alternative approaches in Venture Capital (VC) and Business Angels (BA) are spray-and-pray and cherry picking. The former refers to the case where an investor puts money into several start-ups in the same sector. In the latter case, the required analysis of the alternative options is more detailed, in order to choose a single option, hopefully the one with the highest probability of success, where to invest the money.

Here discussed by the CEO of GS and the Chairman of the Nobel Prize 2016, among other profesionals. They acknowledged an increasing interest for spray-and-pray investing in places such as Sillicon Valley. However, they established three elements to consider:

  1. In sectors where required investment is not so relevant, such as internet and TICs, spraying among several options is feasible. That is not the case when we deal with investments in pharmaceuticals, for instance.
  2. Secondly, also in sectors like TICs, the result ‘the winner takes it all’ often comes eventualy. However, there are no clear clues for these start-ups on what might be that future winner. Thus, the spray-and-pray alternatively becomes less risky, increasing the chances of having a piece of cake when the dessert is served.
  3. One or the other, they all agreed a key aspect to succeed for VCs and BAs is to have access to the environment where innovation takes place. And this, they insisted, is in places like Silicon Valley, US East Coast, London or Berlin.

Point 3 is true to a great extent. But also true that, when the environment is not optimal for innovation, the public sector must play its part. The four Asian Tigers are perhaps the best example. Now, in peripheral regions like Galicia, facing a dooming demographic perspective and out of the main innovative centres in the World, it is time to think whether we should expect innovation to come from laissez-faire policies and by the private sector alone -not to mention the illusory possibility that big investors are to put their money in start-ups coming from this environment.

Concursos de Novos Emprendedores

Están abertos agora mesmo tres concursos interesantes orientados á promoción do talento de mozos con ideas de negocio e á financiación de novos emprendedores. .

  • A Fundación Juana de Vega convoca a V Edición do Programa de Emprendemento Agroalimentario (http://juanadevega.org/), valorarando positivamente iniciativas con produtos agrícolas con Indicación Xeográfica Protexida, co obxectivo de axudar aos emprendedores a desenvolver as súas ideas, convertelas en proxectos de negocio e materializalas en empresas reais, innovadoras e competitivas .
  • A 3º Edición anual do Concurso de Proxectos Empresariais Semente de Monforte (http://www.sementedemonforte.org/) en colaboración con 10 empresas galegas, o Concello de Monforte de Lemos, o IGAPE e as Universidades Galegas, conta con 15.000 € en premios a ideas innovadoras e viables. Son considerados especialmente aqueles desenvolvidos en Monforte ou que teñan como obxectivo a posta en valor dos recursos da Ribeira Sacra.
  • A VIII edición do Programa Santander YUZZ (http://yuzz.org.es/) ofrece formación de balde en innovación, liderado, finanzas, mercadotecnia ou modelos de negocio. Finalizado o proceso de formación os mellores estudantes de cada un dos centros Santander YUZZ viaxarán a Silicon Valley, Os tres mellores proxectos recibirán unha dotación económica (80.000 eur en premios para todo o Estado).

RMSc: Credit markets, an experimental game

The article “Overconfidence and risk seeking in credit markets: An experimental game” is now available online at Review of Managerial Science (JCR, impact factor 0.345).

This is the first article to be published of a series of three articles, all of them being a result of my doctoral research, which have been recently accepted for publication:

Peón, D., M. Antelo and A. Calvo (2015), A dynamic behavioral model of the credit boom, Journal of Economic Issues 49(4), forthcoming. DOI: 10.2753/JEI0021-362449040X

Peón, D., M. Antelo and A. Calvo (2015), Overconfidence and risk seeking in credit markets: An experimental game, Review of Managerial Science, forthcoming, DOI: 10.1007/s11846-015-0166-8

Peón, D., A. Calvo and M. Antelo (2015), On informational efficiency of the banking sector: A behavioral model of the credit boom, Studies in Economics and Finance 32(2), forthcoming. DOI: 10.1108/SEF-04-2013-0050

Dr. Peón

Alá van catro anos da miña vida…

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photo by pernasfrouxas (obrigado!)

Tentar agradecer nunhas breves liñas a todas as persoas e institucións que, durante os máis de catro anos de desenvolvemento e elaboración desta tese doutoral, prestaron a súa colaboración desinteresada ou influíron nos meus pensamentos e coñecementos sintetizados na mesma, sería de todo inacadable. Vaia o meu recoñecemento e agradecemento por tanto a todos vós, profesores, persoal e alumnos da FEE pola vosa axuda, e en particular a todos os compañeiros do Departamento de Economía Financeira e Contabilidade.

Quixera agradecer persoalmente a aqueles que realizaron achegas de moita valía na elaboración dos artigos e publicacións que resultaron desta tese: os compañeiros Ángel Fernández, Cristina Anido, Emma Iglesias, Fernando de Llano, Flora Muíño, José A. Novo, José M. Seijas, Manuel Gómez, Marcos Vizcaíno, Paolo Rungo e Rafael Gómez, así como a Andrea Ceschi, Javier Iglesias, Juan Vilar, Jose A. Vilar, Manuel F. Grela, Tomasz Michalski, revisores anónimos e editores dos diversos journals. O meu agradecemento especial a Enrico Cervellati e Jorge Rodriguez pola súa orientación. Colaboraron moi especialmente na elaboración dalgunhas partes da tese os compañeiros Paulino Martínez no deseño da aplicación informática e Xosé M. Filgueira en axuda técnica. Por último, agracecer a todos e cada un dos 126 alumnos participantes no experimento a súa participación.

Expreso finalmente a miña gratitude a todos aqueles os que, sen a súa colaboración, esta tese nunca tería sido unha realidade. Ao Grupo BBVA por facilitarme a miña dedicación á tese durante catro anos. Ao Departamento de Economía Financeira e Contabilidade da UDC por todas as facilidades para o desempeño das miñas actividades docentes e de investigación. A miña enorme gratitude e recoñecemento aos meus directores de tese, Dr. Manel Antelo e Dr. Anxo Calvo, pola súa sabedoría, orientación, e apoio en todo momento. Tivestes moita paciencia…

E moi especialmente a meus pais e irmans, e a María, a quen lle debo todo o seu apoio estes anos, a paciencia e o ánimo nas interminables horas e preocupacións que deu de si este traballo, e por sacar adiante ás nosas xoias, Anxo e Pablo. Quérovos.

Patrons de despoboamento rural

Na sección ‘Documentos – Academic Papers‘ acabamos de poñer a disposición de calquer interesado a versión actual, aínda en formato working paper, do estudo por Xosé M. Filgueira e David Peón “Patróns de despoboamento do rural galego“. A base de datos do estudo está tamén dispoñible en ‘Documentos – Economic data – Galicia‘.

No artigo levamos a cabo unha análise estatística para contrastar e cuantificar algunhas das observacións clásicas na problemática demográfica de Galicia e a súa polaridade rural – urbana. Primeiro, íllase o efecto arrastre demográfico para identificar distintos patróns de despoboamento a nivel comarcal ao longo das últimas dúas décadas descontado o efecto migratorio histórico. Esta análise mostraría unha visión alternativa do proceso de despoboamento, caracterizada pola conformación dun anel central de dinámica demográfica positiva a partir das cidades galegas de interior.

Segundo, profúndase na análise estatística da polaridade rural – urbana cunha medición do papel xogado por diversos parámetros de vertebración xeográfica da poboación galega. A este efecto, resultan determinantes a poboación da cabeceira de comarca –cunha perda de poboación do -0,55% anual nas comarcas con cabeceira inferior a 5.000 habitantes- e a distancia por estrada á máis próxima das sete cidades galegas –cun -0,17% adicional.

Terceiro, descontado o efecto arrastre da emigración pasada e vertebración xeográfica do territorio, explícase a evolución das distintas comarcas en función da distribución sectorial do PIB, ao efecto de identificar os sectores económicos que máis axudaron no pasado recente a conter o devalo demográfico das comarcas rurais.

The EMH struggle

While I was working on the conference we gave yesterday about the Nobel Prize in Economics 2013 awarded to Fama, Shiller and Hansen, I came up with an idea that, to the best of my knowledge, has not been highlighted before. In short, the EMH as it is interpreted today faces a conflict to refute simultaneously two of the most relevant concepts in the behaviorist literature: the excess volatility (Shiller 1981) and the limits of arbitrage (Shleifer and Vishny 1997).

The original EMH interpretation (Fama 1970) did not account for investors’ risk appetite. Prices would reflect fundamentals, and a ‘sufficient number’ of rational arbitrageus that correctly interpret those fundamentals ensure that possible price deviations from rationality are removed. Two challenges to the opposite view, one by behaviorists, other by rationalists, would follow. First, Shiller (1981) went to highlight markets are too volatile to be justified only by fundamentals. After some debate, rationalists responded (e.g., Fama-French 1989) arguing that volatility and some evidence of return predictability would be a consequence of changes in the discount factor due to (rational) changes in the appetite for risk of investors.  Continúa lendo

Hopeless

I see this graph in Twitter, shared by @StephanieKelton , comparing savings rate and unemployment rate in the US:

I interpret this correlation between both variables as people increasing their efforts to save when they observe things are going bad in the economy (and a rising unemployment is indeed an evidence for that). In Spain there is a saying that goes “si las barbas de tu vecino ves cortar, pon las tuyas a remojar” (“if you see your neighbor’s beard cut, put yours to soak”) which not literally, it would be similar to “if you want peace, prepare for war”. This correlation would be a good evidence for that behavior.

However, when I search for similar data in Spain I get this: Continúa lendo

Experimental research (4) – PT (theory & results)

Prospect theory, PT, is the best known descriptive decision theory. Kahneman and Tversky (1979) proved that, when making decisions in a context of risk or uncertainty, most individuals (i) show preferences that depend on gains and losses with respect to a certain reference point, and (ii) form beliefs that do not correspond to the statistical probabilities (their perception of the risks associated with a decision may be biased). The combination of these properties implies a fourfold pattern of risk attitudes that is confirmed by experimental evidence: risk aversion for gains and risk seeking for losses of moderate to high probability; risk seeking for gains and risk aversion for losses of low probability.

We devised our tests to elicit the parameters of two classic specifications for PT. First, the (piecewise) power function by Tversky and Kahneman (1992), were α+ measures risk profile for gains, α measures risk profile for losses (aversion to a sure loss) and β measures loss aversion. Second, the Prelec-I (Prelec, 1998) weighting function, where γ+ measures the distortion of probabilities in the positive domain and γ does the same for losses.

The methodology we use for parameter estimation is based on the elicitation of certainty equivalents of prospects with just two outcomes. Following Abdellaoui et al. (2008), the elicitation method consists of three stages, with fifteen questions in total: six questions involving only positive prospects (i.e., a chance to win some positive quantity or zero) to calibrate α+ and γ+, six questions for negative prospects to calibrate α and γ, and three questions regarding the acceptability of mixed prospects, in order to estimate β. Figure 1 shows one of the six iterations participants had to answer involving positive domain.

FIGURE 1 – A sample question with positive prospects

In every iteration participants had to choose between a positive prospect (left) and a series of sure positive outcomes (right). To control for response errors we repeated the one outcome at the end of each trial. The certainty equivalent of a prospect was then estimated by the midpoint between the lowest accepted value and the highest rejected value. This procedure allows for the cash equivalent to be derived from observed choices, rather than assessed by the subject.

Participants in the experiment completed the fifteen questions in about 20 minutes and there were no relevant incidents in any of the five sessions. Results evidence our tests resulted largely satisfactory to replicate the main findings of prospect theory. They reiterate the classic evidence of concavity for gains, while risk seeking in the negative domain seems to be more acute. The percentage of individuals with alpha measures below one are 59.5% and 93.7%. We also observe a significant degree of probability weighting in both domains, with distortion being higher in the negative side. Finally, beta estimations are in consonance with classic results in the literature. The percentage of individuals with beta measures above two are 73.0%.

Figure 2 plots the risk attitudes of the average (idealized) participant.

FIGURE 2 – Risk attitudes of the average participant

The fourfold pattern of risk attitudes predicts people tend to be risk seeking for gains of low probability (1% and 5% in our test) and losses of medium and high probability, while we tend to be risk averse for gains of medium and high probability and losses of low probability. The pattern is clearly observable for the average respondent, with the nuance of an about risk neutrality for gains of medium probability.

Finally, we determine the validity of participants’ responses based on two kinds of errors: iteration errors (the reliability of the iterative questions we asked to control for response errors) and fitting errors (the errors obtained in the non-linear regressions for parameter estimation). Results were highly satisfactory in both instances: only 5.6% of responses were contradictory (94.4% reliability), while 80% and 65% of the individual regressions had a coefficient R2 > 90% in the positive and negative domain, respectively.

Hypothesis testing

Results on overconfidence and prospect theory were tested against several priors (gender, age, education, working experience and skills in finance) using several methodological techniques (correlation, regression, anova and factorial analyses). We found these significant (p < 0.05) results:

· Education increases loss aversion

· Women are more overconfident than men in terms of overprecision

· Women are more risk seeking in the positive and negative domains

· Experience reduces objectivity in terms of estimation of self-performance

· Skills in finance increases objectivity reducing probability distortion

· Skills in finance reduces risk aversion

· Overestimation and overplacement come together (E and P correlated)

· Risk seeking comes together in both domains (alpha+ and alpha-)

· Distortion of probabilities come together in both domains (gamma+ and gamma-)

· Loss aversion and risk aversion in the negative domain come together as well

· Regarding the relationship between overconfidence and PT parameters, we find only low statistical evidence (p < 0.1) that more aggressive profiles for losses (alpha and γ) are correlated with lower levels of overconfidence (E and P).