86,635 research outputs found
Reconciling Self-Assessed with Psychometric Risk Tolerance: A New Framework for Profiling Risk among Investors
No full textFinancial advisors need to assess their clients’ risk profile to properly manage their portfolio risk and comply with regulatory provisions. Assessing an investor’s financial risk tolerance (FRT) is a challenge in the advisory process and none of the existing measures can be easily employed on a large scale. Previous literature has revealed a gap between self-assessed and psychometrically assessed measures of FRT (PA_FRT) but has not yet offered a solution to fill this gap. Thus, we propose a model that consistently estimates the PA_FRT by leveraging retail investors’ self-assessment and other information typically submitted in standard bank questionnaires. Our model represents a promising tool for financial advisors looking to improve their customers’ risk profiling
Ipo Underpricing: A Liquidity Based Explanation
No full textThe underpricing of initial public offerings (IPOs) is a deeply investigated phenomenon, commonly explained with asymmetric information and risk. Ellul and Pagano (2006) first linked the underpricing with liquidity proxies like liquidity risk and effective spread. In this paper I propose a different liquidity based framework which compares an IPO to a large sell-initiated block trade, and the underpricing to the price pressure effect of the trade itself, which means the price for the liquidity “bought” by the seller. As a result, we should expect this price to be lower (higher) for more (il) liquid stocks. The framework is supported by empirical results for a sample of Italian IPOs, where underpricing is negatively related with several liquidity measures after controlling for the oversubscription level and other usual explanatory variables in IPO studies
IPO underpricing: il prezzo della liquidità
No full textThe underpricing of initial public offerings (IPOs) is generally explained with asymmetric information and risk. Beyond Ellul and Pagano (2006), who build upon liquidity risk and effective spread (as liquidity proxy), this paper introduces a new liquidity based explanation: assimilating an IPO to a large sell-initiated block trade, I suggest to look at the underpricing as the price for the liquidity “bought” by the seller. Then, this price should be lower (higher) for more (il)liquid stocks. The framework is supported by empirical results for a sample of Italian IPOs between 2001 and 2005, where underpricing is negatively related with several liquidity measures
Do the Italian STARs' shine in a Hybrid Market?
No full textIn the last few years, market microstructure literature increasingly focused on hybrid markets, with actual markets offering some major examples of transitions to this market structure, like London Stock Exchange (the SET segment) and most of European exchanges (in various segments).
This paper provides unique additional evidence represented by the Italian Stock Exchange, an order driven market that in 2001 experienced the introduction of the STAR segment assisted by market makers, so resulting in a hybrid market.
The empirical evidence shows that the STAR stocks experienced an improvement in liquidity (measured by trading volumes and spreads) and in the price discovery process, and to some extent it is possible to argue that these improvements are mainly due to the specialist’s activity
La nuova Direttiva sui Servizi di Investimento e sui Mercati Regolamentati: novità e temi di discussione.
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