Size and Value Anomalies in European Bank Stocks

The Fama-French three-factor model (Fama and French, 1993) has been subject to extensive testing on samples of US and European nonfinancial firms over several time windows. The most accepted evidence is that size premium (SMB) and value premium (HML) other than the market risk premium help explain cross-section and time-series changes in stock returns. However, scholars have always paid little attention to the financial industry because of the intrinsic differences between financial and nonfinancial firms. The few studies that tested the model on financial firms found mixed evidence on the role of size and book-to-market ratio (B/M) in explaining stock returns. This paper tries to bridge the gap by testing the model on a sample of European financial firms. We find that size and B/M factors seem to be sources of undiversifiable risks and should therefore be included as risk premiums for estimating expected returns of financial firms. Small and high-B/M firms show higher returns that are not explained by market risk and the inclusion of SMB and HML helps improve the regression models\u2019 goodness-of-fit

Indicadores de producto en la evaluación de una institución universitaria. Un aporte empírico

El enfoque que asimila el proceso educativo al proceso económico puede constituir una vía válida de abordar la cuestión de la evaluación de las instituciones universitarias. A través de un conjunto de indicadores ya sea de insumo (elaborados a partir de los recursos humanos, físicos y financieros utilizados) como de proceso (relacionados con la forma en que se combinan dichos insumos) y/o de producto ( que en su forma más simple se refieren a la cantidad y calidad de los graduados) puede llegar a trazarse un panorama que, por un lado, ilustre acerca de la performance de las unidades académicas y por otro, quizás el más importante, permita detectar los orígenes de las ineficiencias observadas resultando así de vital importancia para el trazado de políticas que desde la propia institución permitan minimizarlas a fin de optimizar su desempeño. En este trabajo se presentan los resultados de un estudio empírico realizado a fin de elaborar un indicador de producto como es la relación ingresantes/graduados. Los mismos se obtuvieron a partir del análisis de tres cohortes de carreras representativas de la oferta educativa de la Universidad Nacional del Sur, en base a información suministrada por la propia institución así como a la realización de un estudio de campo

Finanza aziendale 1

Traduzione e cura degli esercizi, delle soluzioni agli esercizi e del materiale di supporto allo studente e al docent

21 years of international M&As and joint ventures by Italian medium-sized listed firms: value creation or value destruction?

This study provides evidence of the value creation of different equity entry modes in a sample of international investments performed by all Italian medium-sized listed firms in the period 1986–2006. Our research shows a positive and significant market reaction to announcements of internationalization strategies. The results are largely affected by high-equity entry modes carried out in advanced economies. Low-equity entry modes and international operations performed in emerging countries show no significant market reaction. We also find that the relative size of the deal, the firm age, the country risk, and the evolution of information disclosure regulation, matter in explaining the outcomes