Information uncertainty and the reaction of stock prices to news

Recent theoretical papers suggest that high uncertainty about firms’ economic prospects can explain delays in the adjustment of their stock prices to economic news. Using analyst forecast revisions and earnings announcements as proxies of news, we find mixed evidence in support of this hypothesis. We confirm that stocks of firms whose prospects are highly uncertain display a relatively large delayed price reaction (so-called continuation) after the release of news, but we argue that this evidence does not necessarily imply a slower adjustment speed. Indeed, for these stocks the immediate reaction to news is also relatively strong. In fact, the magnitude of the delayed price reaction (the price continuation) depends both on the degree of price sluggishness and on the “scale” of the news hitting the stock. We therefore consider both the delayed and immediate responses, and compute measures of adjustment speed that do not depend on the “scale” of the news. We then compare these measures across portfolios of stocks characterized by different degrees of uncertainty. Our findings indicate that: (i) stock prices characterized by high uncertainty tend to adjust to bad news more sluggishly than those characterized by low uncertainty; (ii) the opposite holds true in the case of good news; (iii) stock prices characterized by high uncertainty tend to adjust to bad news more sluggishly than to good news. Previous empirical literature focuses on price continuation patterns but neglects to control for the “scale” of the news, reaching erroneous conclusions.stock price continuation, price adjustment speed, news, earnings announcements, analysts forecasts, post-earnings announcement drift, post-analyst forecast revisions drift, managers incentives

An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil

This paper analyzes the determinants of credit default swap spread changes for a large sample of US non-financial companies over the period between January 2002 and March 2009. In our analysis we use variables that the literature has found have an impact on CDS spreads and, in order to account for possible non-linear effects, the theoretical CDS spreads predicted by the Merton model. We show that our set of variables is able to explain more than 50% of CDS spread variations both before and after July 2007, when the current financial turmoil began. We also document that since the onset of the crisis CDS spreads have become much more sensitive to the level of leverage while volatility has lost its importance. Using a principal component analysis we also show that since the beginning of the crisis CDS spread changes have been increasingly driven by a common factor, which cannot be explained by indicators of economic activity, uncertainty, and risk aversion.credit default swaps, bond spreads, credit risk, Merton model

What determines annuity demand at retirement?

In most advanced countries, future retirees will have to rely less on social security schemes and more on private pension plans, which mostly leave to the worker the choice between ashing-in or annuitizing pension wealth at retirement. Therefore, a better understanding of the determinants of the demand for annuities will soon become a priority. Research in this field has been hampered by lack of data (due to current market thinness) and by difficulties in disentagling demand from supply-side effects. In this paper, we avoid these problems resorting to ad hoc survey data from Italy. Our results highlight the importance of wealth, impatience, education and (to a lesser extent) financial literacy in shaping annuity demand.annuities, retirement, life cycle model

The effect of age on portfolio choices: evidence form an Italian pension fund

Optimal Portfolio Theory prescribes that investors reduce their exposure to financial market risk as they get near to retirement. To assess the effect of ageing on portfolio choices, we study the case of an Italian defined contribution pension fund during the period 2002-08. We find that on average the willingness to hold risky assets does indeed significantly decrease with age, but we also document that inertial behaviour is quite widespread, and can be very costly.pension funds, portfolio choice

The impact of the financial crisis on inter-bank funding: evidence from Italian balance sheet data

We analyze the impact of the financial crisis on the structure and the dynamics of the Italian inter-bank market, focusing on monthly banks’ assets and liabilities data between January 2007 and December 2010. The analysis is developed using an ad hoc dataset based on supervisory reports. The data contain nominative information, which allow us to identify different reporting entities and counterparts. We distinguish between intra-group and extra-group transactions, domestic and foreign counterparties, secured and unsecured positions, and short and long-term loans. We also analyse the relationships between big, medium and small groups and characterize the direction of funds between the group parent companies and the other banks of the group.interbank market, financial crisis

Informational Contagion in the Laboratory

the ERC, the ESRC and the INE

Efficacy and safety of growth hormone treatment in children with short stature: the Italian cohort of the GeNeSIS clinical study

Purpose: We examined auxological changes in growth hormone (GH)-treated children in Italy using data from the Italian cohort of the multinational observational Genetics and Neuroendocrinology of Short Stature International Study (GeNeSIS) of pediatric patients requiring GH treatment. Methods: We studied 711 children (median baseline age 9.6 years). Diagnosis associated with short stature was as determined by the investigator. Height standard deviation score (SDS) was evaluated yearly until final or near-final height (n = 78). Adverse events were assessed in all GH-treated patients. Results: The diagnosis resulting in GH treatment was GH deficiency (GHD) in 85.5 % of patients, followed by Turner syndrome (TS 6.6 %). Median starting GH dose was higher in patients with TS (0.30 mg/kg/week) than patients with GHD (0.23 mg/kg/week). Median (interquartile range) GH treatment duration was 2.6 (0.6\u20133.7) years. Mean (95 % confidence interval) final height SDS gain was 2.00 (1.27\u20132.73) for patients with organic GHD (n = 18) and 1.19 (0.97\u20131.40) for patients with idiopathic GHD (n = 41), but lower for patients with TS, 0.37 ( 120.03 to 0.77, n = 13). Final height SDS was > 122 for 94 % of organic GHD, 88 % of idiopathic GHD and 62 % of TS patients. Mean age at GH start was lower for organic GHD patients, and treatment duration was longer than for other groups, resulting in greater mean final height gain. GH-related adverse events occurred mainly in patients diagnosed with idiopathic GHD. Conclusions: Data from the Italian cohort of GeNeSIS showed auxological changes and safety of GH therapy consistent with results from international surveillance databases

Guidelines on the diagnosis, treatment and management of visceral and renal arteries aneurysms: a joint assessment by the Italian Societies of Vascular and Endovascular Surgery (SICVE) and Medical and Interventional Radiology (SIRM)

: The objective of these Guidelines is to provide recommendations for the classification, indication, treatment and management of patients suffering from aneurysmal pathology of the visceral and renal arteries. The methodology applied was the GRADE-SIGN version, and followed the instructions of the AGREE quality of reporting checklist. Clinical questions, structured according to the PICO (Population, Intervention, Comparator, Outcome) model, were formulated, and systematic literature reviews were carried out according to them. Selected articles were evaluated through specific methodological checklists. Considered Judgments were compiled for each clinical question in which the characteristics of the body of available evidence were evaluated in order to establish recommendations. Overall, 79 clinical practice recommendations were proposed. Indications for treatment and therapeutic options were discussed for each arterial district, as well as follow-up and medical management, in both candidate patients for conservative therapy and patients who underwent treatment. The recommendations provided by these guidelines simplify and improve decision-making processes and diagnostic-therapeutic pathways of patients with visceral and renal arteries aneurysms. Their widespread use is recommended

L’impossibile integrazione sociale dei detenuti stranieri: il fattore linguistico

L'analisi della normativa e, soprattutto, della prassi sul trattamento penitenziario degli stranieri (con particolare riguardo all'accesso alle misure premiali e alternative al carcere) evidenzia il paradosso di una funzione (non) rieducativa della pena per gli stranieri destinati all’espulsione; recenti tentativi sono stati intrapresi nel senso di una risocializzazione “cosmopolita”, per cui si immagina un percorso di inserimento non nella società italiana bensì in quelle di provenienza, ignorando come ciò vada spesso contro la volontà dello stesso detenuto; in ogni caso, il successo dell'iniziativa è subordinato a investimento di mezzi e efficienti relazioni con i Paesi di provenienza (nel cui mercato del lavoro i detenuti destinati all'espulsione dovranno inserirsi). L'ostacolo linguistico incide limitatamente su tale condizione di marginalità del detenuto straniero; una risorsa sempre più necessaria ai fini della funzione (costituzionalmente obbligatoria) rieducativa della pena: non si tratta di mera mediazione linguistica (interpretariato, traduzione delle comunicazioni delle autorità del carcere al detenuto, ecc.), ma di mediazione anche e soprattutto culturale, indispensabile anche per le delicate attività di valutazione comportamentali finalizzate all'accesso ai benfici carcerari. La normativa e, soprattutto, i finanziamenti per tale servizio di supporto (appaltato di volta in volta a cooperative di volontariato e simili) appaiono assai carenti. La Carta dei diritti e dei doveri dei detenuti (tradotta nelle lingue maggiormente diffuse) è un piccolo passo in tale direzione, ma dalla portata più simbolica che altro. Il piano del diritto europeo, specie a livello di Consiglio d'Europa, sembra porre un'apparato di obblighi alle autorità statali abbastanza dettagliato, ma con meri strumenti di soft law; la giurisprudenza della Corte EDU offre, fin qui, pochi appigli per rafforzare la tutela dei diritti linguistici e, in generale, alla mediazione culturale dei detenuti stranieri. Interessanti sforzi sono compiuti dai giudici comuni, compresa la Cassazione, per interpretare in senso elastico normative che sembrano trasscurare, in particolare, la condizione dell'immigrato irregolare in carcere. Si tratta di interventi giurisprudenziali che possono al più stimolare il potere politico-legislativo. In assenza di un profondo mutamento culturale nelle élite politiche del Paese, che conduca al superamento della visione strumentale del carcere per gli stranieri, inteso come luogo di mera “neutralizzazione”, non sarà possibile immaginare e praticare percorsi di riforma credibili a favore dell’integrazione sociale dei detenuti migranti

The Annuity Market in an Evolving Pension System: Lessons from Italy

We describe the main characteristics of the Italian annuity market in a comparative perspective. We present for the first time a comprehensive dataset concerning annuity prices in Italy, and compute indicators of actuarial fairness (money’s worth ratios). It turns out that annuities sold in Italy are quite expensive with respect to the ones sold in other countries and to the ones offered by the public pension system. On the basis of the evidence gathered, we discuss the adequacy of current practices and regulation, and propose policies to increase efficiency and to speed-up the development of the market.