1,721,011 research outputs found
Isolating the systematic and unsystematic components of a single stock’s (or portfolio’s) standard deviation: a comment
No full textIn an article that recently appeared in this journal, Marshall (2015) argued
that the systematic component of the SD of a stock or of a portfolio of
stocks is its beta scaled by the SD of the market returns. She also
contended that the beta mispredicts the actual systematic risk of a stock
or of a portfolio of stocks. In this article, I dispute this conclusion, showing
that it has been induced by an imperfection in the construction of the
empirical application and by some misinterpretations of the results. A
corrected replication of the empirical study of Marshall (2015) is provided,
along with some comments. I conclude that both the beta and the systematic
component inMarshall (2015) are effective measures of systematic risk
The Distribution of the Returns of Japanese Stocks and Portfolios
No full textThe behaviour of the distribution of stock returns is of fundamental importance in financial economics, in view of its direct bearing on the descriptive validity of any theoretical model. We analysed the behaviour of Japanese stock return distributions using the Pearson system of frequency curves to determine whether a) the distributions of the returns of the shares listed in the Nikkei 225 can be described by a single type of distribution; b) the length of the time period used for the analysis affects the behaviour of the distributions, and c) the distributions of the returns of portfolios of Japanese stocks follow similar patterns of behaviour. We found that all the shares listed on the Nikkei 225 may be described by the Pearson Type IV distribution. Other behaviours are occasionally observable but only when short time periods are used in the analysis, suggesting that the length of the period is not a variable that has any significant effect on the behaviour of Japanese stock returns. When the returns of portfolios of Japanese stocks are examined, the results are more robust and exceptions to the Pearson type IV rule are less common and are confined to very short time periods of analysis. We discuss the implications of our findings for financial modelling. To the best of our knowledge, we provide the first such analysis for the Japanese market
The behaviour of the distributions of stock returns: an analysis of the European market using the Pearson system of continuous probability distributions
No full textWe employ the Pearson system of frequency curves to analyse the
behaviour of unconditional daily return distributions for all the shares that
constitute the STOXX Europe 600 index. Our results show that over finite
time periods of analysis the distributions are adequately described as
type IV. The occasional exceptions are linked strictly to extraordinary
events that result in abnormal returns. They are more frequent if short time
intervals are examined. When an infinite time of analysis is assumed, the
results do not reject the hypothesis that the behaviour of stock returns is
symmetrical and that it is of type VII, which is a special case of type IV that
subsumes the Student’s t and the Cauchy distributions and is easier to deal
with in practice
L'INVESTMENT BANKING NEGLI STATI UNITI D'AMERICA. Aspetti operativi e gestionali
No full textL’attività di offerta di servizi connessi all’emissione di strumenti finanziari – sia corporate che governativi - ed al loro collocamento presso la platea degli investitori ha da sempre rappresentato il core business delle investment banks statunitensi.
Il loro ruolo di facilitare, utilizzando i meccanismi dei mercati finanziari, il trasferimento del capitale dai risparmiatori – individuali o istituzionali – ai soggetti con necessità di acquisire risorse finanziarie, è sempre risultato fondamentale per l’economia americana: dalla copertura del fabbisogno finanziario delle imprese ferroviarie e minerarie (che sono state parte fondamentale dell’esplosiva crescita dell’economia statunitense del XIX secolo) al finanziamento degli Stati dell’Unione durante la guerra civile, dal trasferimento di risorse al settore dell’industria pesante al finanziamento di idee imprenditoriali in settori innovativi e potenzialmente rischiosi quali l’elettronica e le biotecnologie. Il contesto finanziario statunitense propenso al ricorso al mercato piuttosto che al credito per la copertura del fabbisogno finanziario, ha inoltre amplificato le potenzialità delle banche di investimento, la loro influenza economica e l’importanza delle funzioni svolte. Ma ha anche accresciuto l’impatto negativo sull’intero sistema economico-finanziario del paese di comportamenti non corretti e di abusi di tali intermediari (come hanno dimostrato le vicissitudini del ’29).
Diverse tendenze hanno, specie negli ultimi 30 anni, spinto le investment banks statunitensi a modificare le proprie strategie operative, il comportamento strategico, il portafoglio prodotti/servizi offerto, l’assetto organizzativo e la stessa struttura societaria e di controllo. Esamineremo in queste pagine i principali fattori che hanno determinato tali cambiamenti e ci soffermeremo ad analizzare come sia attualmente modellato il settore dell’investment banking negli Stati Uniti d’America e quali possano essere le sue prospettive
WHAT DO STOCK RETURN DISTRIBUTIONS LOOK LIKE? EVIDENCE FROM THE ITALIAN MARKET
No full textThe paper aims at contributing to the literature that tries to overcome the classical mean-variance approach to portfolio selection by investigating the behavior of Italian stock return distributions through the Pearson system of frequency curves. Results show that over finite time horizons, the type IV distribution describes the behaviour of almost all returns on stocks. The occasional exceptions to this rule appear to be linked only with the occurrence of extraordinary events in the life of a company. The exceptions are more common when short time horizons are used to examine the data. When an infinite time horizon is assumed, the results are consistent with the hypothesis that the distributions are of type VII, which is a special, symmetrical and hyperkurtotical case of type IV distribution that subsumes the Student's t and the Cauchy distributions, and is easier to deal with in practice
CREDITO E MICRO-TERRITORIALITA'
No full textAd un ampio consenso sulla criticità della stretta creditizia che ha accompagnato l’attuale periodo di crisi, fa riscontro la povertà di analisi a livello di micro area territoriale o di micro settore economico-produttivo. E’ possibile, sulla base dei dati pubblicamente disponibili, costruire indicatori dell’andamento dell’offerta di credito che permettano di condurre una approfondita analisi a livello regionale? Il paper evidenzia che si possono trarre solo indicazioni non conclusive, su orizzonti temporali non di brevissimo periodo. La periodicità di diffusione dei dati non permette di poter condurre le analisi con grande tempestività. Del tutto assenti informazioni sugli elementi qualitativi dell’offerta di credito
COUNTRY-SPECIFIC RISK DIVERSIFICATION THROUGH INTERNATIONAL EQUITY PORTFOLIOS
No full textThe existence of country-specific risk factors that could be mitigated by international investments is investigated. An innovative methodology for quantifying the benefits of international diversification is also proposed and tested. In order to overcome many of the problems that arise in the study of international diversification, the analysis is restricted to the equity markets of the Eurozone. The results clearly show the benefits of international equity diversification, even in close economies. The introduction of constraints on short selling significantly reduces these benefits. For asset managers and practitioners, the analysis shows unambiguously that, despite the economic and monetary union and notwithstanding the high degree of correlation between the European markets, opportunities for diversification still exist. There is, actually, a significant country-specific source of risk that can be hedged via the use of non-domestic diversification. Most of the previous literature on this topic has adopted an U.S. perspective. Few papers assumed a European point of view. This paper fills this knowledge gap by focusing its analysis on the Eurozone markets. In contrast with previous literature, the profitability of international diversification has been verified for all countries under consideration, and not just from the standpoint of one nation alone
Use of the Pearson System of Frequency Curves for the Analysis of Stock Return Distributions: Evidence and Implications for the Italian Market
No full textPearson’s system of continuous probability distributions is used herein to analyse return distributions of the shares in all companies listed on the Italian stock exchange. Results show that when finite time periods are examined, the type IV distribution describes the behaviour of almost all returns on stocks. The occasional exceptions to this rule appear to be linked only with the occurrence of extraordinary events in the life of a company. When an infinite time horizon is assumed, the results do not reject the hypothesis that the distributions are of type VII, which is a special, symmetrical and hyperkurtotical case of type IV distribution that subsumes the Student's t and the Cauchy distributions, and is easier to deal with in practic
ASPETTI FINANZIARI DELLE OPERAZIONI DI SECURITISATION
No full textLa promulgazione della Legge n. 130 del 30 aprile 1999 ha introdotto anche nel nostro paese lo strumento finanziario della “securitisation”. Nata in Prussia più di due secoli fa questa tecnica di finanza strutturata si è sviluppata ed evoluta nel più avanzato mercato statunitense, diventando, nell’ultimo decennio una “normale” fonte di finanziamento per diverse imprese di grande dimensione.
In Italia, la mancanza di una normativa ad hoc, l’elementare cultura finanziaria, la riluttanza degli imprenditori all’apertura a forme di finanziamento differenti dal tradizionale prestito bancario e l’illiquidità del mercato dei bond privati, hanno frenato il diffondersi della securitisation quale forma di finanziamento e di investimento.
Non sono mancate negli scorsi anni operazioni di imprese italiane strutturate come vere e proprie securitisation, ma si è trattato più di casi isolati che di vera e propria apertura a tale forma di finanziamento.
Ugualmente poco conosciuta in Italia è l’operazione sotto il profilo “investimento”. Mancanza di un mercato regolamentato, utilizzo di società veicolo straniere e poca (meglio, limitatissima) familiarità degli “addetti ai lavori” con l’operazione, i principali motivi che hanno ostato alla diffusione dei titoli emessi a fronte di un’operazione di securitisation tra gli investitori italiani (anche istituzionali). Il mercato che si sta sviluppando, però, presenta potenzialità di crescita altissime.
Scopo dell’analisi è evidenziare i vantaggi finanziari che possono essere ottenuti da un’operazione di securitisation, sia per l’Originator che per l’Investor; le diverse modalità di strutturazione dell’operazione ed il ruolo che rivestono i partecipanti alla cartolarizzazione. Particolare attenzione sarà dedicata, infine, all’analisi del profilo rischio/rendimento/ diversificazione (di fonti di finanziamento e/o di portafoglio), che il finanziamento/investimento in titoli cartolarizzati comporta
Social and relationship capital and idiosyncratic volatility: is there a nexus? Evidence from the European financial market
No full textThis study investigates the impact of social and relationship capital (SRC) on the volatility of stock returns for financial companies in the European Union. While prior research has examined the link between SRC and market returns, this study uniquely explores its influence on both systematic and idiosyncratic components of volatility. Using a sample of 140 EU banking, insurance, and asset management firms from 2002 to 2021, we apply Marshall’s (2015) model to decompose total volatility. The findings reveal that firms with high SRC typically exhibit greater total volatility, largely driven by systematic risk, whereas low-SRC firms are more influenced by idiosyncratic factors. These results are robust across various specifications, including lagged data and sectorspecific analyses. This study underscores the importance of SRC for financial intermediaries. Its implications are multifaceted. For investors, high-SRC firms align more closely with market movements, facilitating market-oriented strategies but offering fewer diversification benefits, whereas low-SRC firms expose portfolios to greater firm-specific risks. For regulators, the evidence underscores the role of SRC in shaping risk profiles, informing supervisory practices that increasingly incorporate ESG considerations. Finally, for financial institutions, SRC emerges as a driver of stakeholder trust and reputation and a determinant of exposure to systematic shocks
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