Italian Open End Mutual Fund Costs

We investigate the costs investors incur when they hold shares of Italian open end mutual funds. The overall explicit cost can range from less than 50 to well over 250 basis points in terms of assets under management. Nevertheless, mutual funds investors seem to be almost unaware of the importance of costs and tend to focus mainly on the net return when making their investment decisions. We measure the overall costs of a large sample of mutual funds managed by Italian intermediaries in the period 2000-2003 and also evaluate the determinants of cost efficiencies for the period 2000-2003.mutual fund expenses, total expense ratio, mutual fund transaction costs, economies of scale

Qualità della negoziazione e tutela dell'investitore

MiFID regulation aims at protecting investors and promoting competition across securities markets in the European Union. The measurement of trade execution quality is crucial to achieve such goals. Traders will direct order flow towards more efficient venues only if compare trade execution quality across markets based on methodologically sound execution quality metrics. We discuss the concept of best execution as ruled by MiFID and present two frameworks to estimate trade execution quality: price benchmark and econometric transaction cost estimation methods. No execution quality metric is preferable in every market condition and for every trader. We thus provide some clues to appropriately choose execution quality measures.

Are European banks too big? evidence on economies of scale

In light of the policy debate on too-big-to-fail we investigate evidence of economies of scale for 103 European listed banks over 2000 to 2011. Using the Stochastic Frontier Approach, the results show that economies of scale are widespread across different size classes of banks and are especially large for the biggest banks. At the country level, banks operating in the smallest financial systems and the countries most affected by the financial crises realize the lowest scale economies (including diseconomies) due to the reduction in production capacity. As for the determinants of scale economies, these mainly emanate from banks oriented towards investment banking, with higher liquidity, lower Tier 1 capital, those that contributed less to systemic risk during the crises, and those with too-big-to-fail status

A Two-Stage Non Discretionary Trading Suspension Mechanism: Effects on Market Quality

This paper investigates the intraday effects on market quality of a unique trading suspension mechanism in place at the Italian stock market (Borsa Italiana) in case of price limit hit. Specifically, when prices hit the limit, Borsa Italiana halts trading for 5 minutes ('freeze phase') and removes the order that caused the limit to be hit. If trading regularly resumes after the freeze phase, exchange officials make no other intervention and we call this sequence of events 'Type 1' halt (i.e., freeze-only halt). Alternatively, if a second limit hit occurs after the freeze phase, an intraday call auction replaces the continuous trading. We name this sequence 'Type 2' halt (i.e., intraday auction halt). We examine both the general effects of trading halts and the specific effects of Type 1 and Type 2 trading suspensions on three dimensions of market quality: trading activity, return volatility, and price discovery. The full sample results reveal mixed evidence about the usefulness of price limit hit trading halts: trading volume and return volatility after the halt are abnormally high (trading interference hypothesis for volume and spillover hypothesis for volatility), whereas prices converge towards equilibrium values (cool off hypothesis for price discovery). When we partition the sample by type of halt three main results arise. First, Type 2 halts always show larger abnormal volume measures than Type 1 and this indicates a greater interference on the normal trading process of Type 2 relative to Type 1 halts. Second, Type 2 halts show lower post-halt abnormal volatility than Type 1. This might be explained by the difference in the way the market restarts after the halt. The call auction procedure associated with Type 2 allows for wider information dissemination, whereas the price discovery process in Type 1 trading halts takes place only through the tâtonnement process in continuous trading. Third, for the price discovery process, the call auction reopening procedure of Type 2 halts also has a stronger cool off effect relative to the Type 1 continuous trading

Italian Open End Mutual Fund Costs

We investigate the costs investors incur when they hold shares of Italian open end mutual funds. The overall explicit cost can range from less than 50 to well over 250 basis points in terms of assets under management. Nevertheless, mutual funds investors seem to be almost unaware of the importance of costs and tend to focus mainly on the net return when making their investment decisions. We measure the overall costs of a large sample of mutual funds managed by Italian intermediaries in the period 2000-2003 and also evaluate the determinants of cost efficiencies for the period 2000-2003

Italian Open End Mutual Fund Costs

We investigate the costs investors incur when they hold shares of Italian open end mutual funds. The overall explicit cost can range from less than 50 to well over 250 basis points in terms of assets under management. Nevertheless, mutual funds investors seem to be almost unaware of the importance of costs and tend to focus mainly on the net return when making their investment decisions. We measure the overall costs of a large sample of mutual funds managed by Italian intermediaries in the period 2000-2003 and also evaluate the determinants of cost efficiencies for the period 2000-2003

Are European banks too big? evidence on economies of scale

In light of the policy debate on too-big-to-fail we investigate evidence of economies of scale for 103 European listed banks over 2000 to 2011. Using the Stochastic Frontier Approach, the results show that economies of scale are widespread across different size classes of banks and are especially large for the biggest banks. At the country level, banks operating in the smallest financial systems and the countries most affected by the financial crises realize the lowest scale economies (including diseconomies) due to the reduction in production capacity. As for the determinants of scale economies, these mainly emanate from banks oriented towards investment banking, with higher liquidity, lower Tier 1 capital, those that contributed less to systemic risk during the crises, and those with too-big-to-fail status

Economia degli intermediari finanziari

Curatela e adattamento all'edizione italiana del cap. 13 "Compagnie di assicurazione e fondi pensione" (pagg. 445-471