Order Dynamics in the Italian Treasury Security Wholesale Secondary Market

MTS markets are an example of quote driven electronic order book markets for Government securities. Proposals are firm, immediately executable and aggregated in a limit order book. In this paper we analyse the evolution of the interaction between the order book and order flow by exploring the determinants of the flows of limit and market orders over three years. We are able to test several hypotheses coming from theoretical models. This is, to our knowledge, one of the first empirical test of these hypotheses based on Government bond data. We find that market and limit orders show positive autocorrelation and clustering as in Biais et al. (1995). No activity is clustered as well. This diagonal effect could also explain the positive impact of book depth near the quote on the flows of new limit orders. On the contrary, depth beyond the second best price seems to play no role in book dynamics. Furthermore, increasing competition, measured as an increase in the number of operators, has a negative effect on orders. In addition, we find mild support to the theoretical prediction of a positive effect of book depth on order aggressiveness. Best spread, instead, behaves consistently with theoretical models: a larger best spread encourages new limit orders inside-thequote.limit order, market order, order flow, liquidity, Government bonds

Empirical essays on corporate finance and government bond markets

Do financing obstacles hamper firm growth? Evidence on euro area non financial corporations: Questo articolo verifica se fattori finanziari e caratteristiche delle imprese abbiano un impatto significativo sulla crescita delle imprese, basandosi su un panel non bilanciato di circa 1.000.000 osservazioni su circa 155.000 imprese non finanziarie in cinque Paesi dell’area dell’euro. La novità dell’articolo riguarda l’uso congiunto di informazioni di bilancio e di risultati di interviste dirette alle imprese. In questo modo è possibile derivare una misura diretta della probabilità che un’impresa soffra di ostacoli finanziari. Si contribuisce anche ai filoni di letteratura caratterizzati da un approccio stocastico o deterministico alla crescita delle imprese. Si trova che la crescita delle imprese non è casuale e che la posizione finanziaria ne è una determinate. Tuttavia, nonostante la chiara evidenza che il cash flow abbia un impatto positivo sulla crescita, I risultati riguardanti la leva finanziaria non sono conclusivi. Risultato importante, infine, è che la misura di ostacoli finanziari, seppure prevalentemente funzione di indicatori qualitativi, ha un impatto significativamente negativo sulla crescita delle imprese in quattro paesi. Parole chiave: Vincoli Finanziari, crescita dell’Impresa, Dati Panel. The pricing of the option implicitly granted by the Italian Treasury to the Specialists in the reserved auction reopening: Il mercato primario dei titoli di Stato italiani è basato su un sistema di operatori principali. Questi, selezionati dal Tesoro, vengono detti Specialisti e sono sottoposti ad un insieme di obblighi e di privilegi. La letteratura ha mostrato scarso interesse verso uno dei maggiori privilegi a loro accordati, il diritto a partecipare a riaperture riservate di asta. Questo privilegio consiste nel diritto di acquistare titoli di Stato al prezzo stabilito nella precedente asta ordinaria. In questo articolo si prova a suggerire un metodo per la valutazione monetaria del privilegio di riapertura, assimilandolo ad una opzione di acquisto (call option) scritta sui titoli in asta, valutata nell’ambito del modello di Cox – Ingersoll – Ross. Nonostante l’opzione duri un solo giorno, questa ha un valore significativamente diverso da zero, che aumenta all’aumentare della maturità del titolo sottostante e che è superiore per i titoli che pagano una cedola. Infine, il valore dell’opzione spiega in parte il differenziale di prezzo che si registra nei giorni di asta sui mercati primario e secondario dei titoli di Stato. Parole chiave: Struttura a termine dei Tassi di Interesse, Option Pricing, Aste sui titoli di Stato. Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market (insieme a Sergio Ginebri e Manuel Turco): Solo di recente si registra maggiore attenzione per la liquidità dei mercati dei titoli di Stato. In questo articolo passiamo in rassegna argomenti quali la liquidità di questi mercati, le misure di liquidità e introduciamo nuove misure per descrivere in modo accurato il mercato secondario all’ingrosso dei titoli di Stato. Applicando un gran numero di misure ad una fonte dati, unica per la capacità di rappresentazione del mercato, troviamo una scarsa qualità dell’ order book. Inoltre, nonostante il gran numero di operatori, la competizione è limitata. Troviamo altresì che la regolamentazione del mercato è importante nell’interpretazione del perché la liquidità di titoli off-the-run non differisca da quella degli on-the-run, nonostante le contrattazioni siano più vivaci per questi ultimi. Infine, suggeriamo un incremento della quantità emessa nel primo collocamento di un nuovo titolo al fine di renderlo prima il benchmark per il proprio segmento di mercato. Parole chiave: Titoli di Stato, Liquidità, Microstruttura del Mercato.Do financing obstacles hamper firm growth? Evidence on euro area non financial corporations: This paper investigates whether financial factors, along with firms’ characteristics, significantly affect firm growth using an unbalanced panel of about 1,000,000 observations for around 155,000 non-financial corporations in five euro zone countries. The novelty of the paper is the combination of balance sheet information with survey data. In this way it is possible to work out a direct measure of the firms’ probability of facing financing obstacles. Furthermore, I contribute to both the stochastic and the deterministic approaches to firm growth. I find that firm growth is not due to chance and that financial position matter. Although the evidence that firm cash flow and growth opportunities positively affect growth is unambiguous, I obtain less clear-cut results for leverage and debt burden ratios. More importantly, even if the direct measure of financing obstacles is a function of qualitative indicators, it is able to capture the negative impact of financing obstacles on firms growth in four countries. Keywords: Financing Constraints, Firm Growth, Panel Data. The pricing of the option implicitly granted by the Italian Treasury to the Specialists in the reserved auction reopening: The Italian Government Security primary market relies on a primary dealer system, i.e. the Treasury selects a group of intermediaries called Specialists, who benefit from a set of obligations and privileges attached to their status. Academic literature paid scant attention to one of the main privileges, namely the right to participate in reserved auction reopenings. This consists in the right to buy predetermined additional quantities of Government securities at the price settled at the auction. This paper attempts to price this privilege as a call option written on the auctioned bonds in the framework of the Cox – Ingersoll – Ross model. No matter the one-day life, the option has a value significantly different from zero, this values is increasing in the maturity of the underlying bond and it is higher for coupon bonds. Moreover, the option value helps explaining part of the mispricing occurring on auction days between the primary and secondary market prices. Keywords: Term Structure of Interest Rates, Option Pricing, Treasury Auctions. Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market (joint with Sergio Ginebri and Manuel Turco): Although its importance, only recently the issue of liquidity in Treasury markets has received greater attention. We survey the literature about market liquidity and liquidity measures, and we put forward new measures. The aim is to describe thoroughly the liquidity of the Italian wholesale secondary market. We apply a large set of measures on a unique dataset, which gives a complete view of the market. We find that the quality of the order book seems to be low, and despite the presence of a large number of market makers, the degree of competition among them is not very high. Moreover, even though trading activity is higher for on-the-run with respect to the off-the-run securities, there is not a sharp difference in terms of liquidity of the order book. In this case market regulation plays an important role. Finally, our evidence shows that some modifications of the issuance policy in order to have a larger outstanding since the first auction could help securities in gaining earlier their benchmark status. Keywords: Government Securities, Liquidity, Market Microstructure

Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market

Although its importance, only recently the issue of liquidity in Treasury markets has received greater attention. We survey the literature about market liquidity and liquidity measures, and we put forward new measures. The aim is to provide a description of the liquidity of the Italian wholesale secondary market, which we describe thoroughly. We apply a large set of measures on a unique dataset, which gives us a complete view of the market. Even though the market provides an amount of liquidity that fits the market needs, the quality of the order book is low, and despite the presence of a large number of market makers, the degree of competition among them is not very high. Moreover, no clear and general relationship emerges between trading and order book measures. Indeed, even though trading activity is higher for on-the-run securities with respect to the off-the-run securities, there is not a sharp difference in terms of liquidity of the order book between them. In this case market regulation plays an important role. Finally, we investigate how long it takes for a new issue to become the benchmark for its segment. Our evidence shows that some modifications of the issuance policy in order to have a larger outstanding since the first auction could help securities in gaining earlier their benchmark status, especially in case of 10-year BTPs.Liquidity, liquidity measures, Government securities, market microstructure, benchmark status.

Financing obstacles and growth: an analysis for euro area non-financial corporations

This paper investigates whether financial obstacles, and, more generally, financial pressure faced by firms, significantly affect firm growth. For this purpose, we use an unbalanced panel of about 1,000,000 observations for around 155,000 non-financial corporations in five euro area countries. In addition to the balance sheet information in this panel, we also rely on firm-level survey data. In this way we are able to work out a direct measure of the firms’ probability of facing financing obstacles. Our results indicate that, though based on few variables, this measure appears to be relevant in explaining firm growth in four out of the five countries considered. Other firm-level variables related to the financial pressure faced by firms, such as cash flow (debt burden) are found to exert a positive (negative) impact on firm growth, while the results for leverage are less clear-cut. JEL Classification: C23, E22, G32, L11, L25Financing Constraints, Firm Growth, panel data

Financing obstacles and growth : an analysis for euro area non-financial corporations

This paper investigates whether financial obstacles, and, more generally, financial pressure faced by firms, significantly affect firm growth. For this purpose, we use an unbalanced panel of about 1,000,000 observations for around 155,000 non-financial corporations in five euro area countries. In addition to the balance sheet information in this panel, we also rely on firm level survey data. In this way we are able to work out a direct measure of the firms’ probability of facing financing obstacles. Our results indicate that, though based on few variables, this measure appears to be relevant in explaining firm growth in four out of the five countries considered. Other firm-level variables related to the financial pressure faced by firms, such as cash flow (debt burden) are found to exert a positive (negative) impact on firm growth, while the results for leverage are less clear-cu

Hyaluronic acid alone versus hyaluronic acid associated with adelmidrol for intra-articular treatment of knee osteoarthritis: a long-term follow-up

Background: Hyaluronic acid (HA) has been used for many years for intra-articular treatment of knee osteoarthritis with satisfactory results. HA associated with Adelmidrol – an anti-neuroinflammatory compound – have been only recently introduced in orthopedic clinical practice with good preliminary results. Objective: To investigate whether HA associated with Adelmidrol provides better results than HA alone. Methods: Two cohorts of patients with moderate knee osteoarthritis were treated. Cohort 1 received 5 weekly intra-articular injections of HA during 2017 while Cohort 2, 4 weekly intra-articular injections of HA associated with Adelmidrol during 2018. The patients of the two Cohorts were assessed by WOMAC scale, SF-12 questionnaire and PGIC scale at 1 week (T0), 6 months (T1), 1 year (T2), and 2 years (T3) after the end of treatment. All the data were statistically analyzed. A p-value of <0.05 was considered statistically significant. Results: According to the WOMAC Scale Cohort 1 had higher mean scores than Cohort 2 at each follow-up time, with a statistically significant difference between the two cohorts at T3 (p<0.03) for all the WOMAC components, except for Stiffness. WOMAC Total mean score worsened statistically significantly only in Cohort 1, from T1 to T3 (T2 vs T1: p=0.0033; T3 vs T2: p=0.0007). The same happened for WOMAC Physical Function (T2 vs T1: p=0.0146; T3 vs T2: p=0.0046) and WOMAC Pain (T2 vs T1: p=0.0004; T3 vs T2: p=0.0002). WOMAC Stiffness worsened statistically significantly in Cohort 1 from T2 to T3 (T3 vs T2: p=0.0041), while in Cohort 2 no change on WOMAC scale was statistically significant at any time-point, for any components. The mean scores of the SF-12 questionnaire were better in Cohort 2 than in Cohort 1 at each follow-up time for both the Physical and the Mental components, with a statistically significant difference between the two groups for the latter, at T0 (p=0.0001). In both cohorts the mean score of the Physical component decreased from T0 to T3, but the difference was not statistically significant between the two groups (p=0.25). The mean score of the Mental component slightly increased in Cohort 1 and decreased in Cohort 2, without statistically significant differences between the two groups at any time-point. PGIC showed that Cohort 2 scored significantly better than Cohort 1 at T3 (p=0.0336). Conclusions: Overall, HA associated with Adelmidrol gave better long-term results than HA alone