Il rapporto tra impresa e agenzia di rating: la soluzione del multi-rating

The credit rating market is characterized by low competition and a potential conflict of interest, due to the system of remuneration of the rating services, which impairs the reliability of the judgement delivered. Multiple credit rating means further costs for companies, because of the fees paid to more than one rating agency, but it does bring significant benefits in terms of the dissemination, on the market, of judgements concerning the companies. This paper examines the relationship between the number of rating announcements concerning a company and the performance of the securities issued by that company, besides the effects of discordant ratings assigned to a company by different rating agencies (so-called “split rating”), and presents a detailed study of multiple credit rating and of the advantages determined by the placement of issued securities at higher prices, in connection with the new ratings assigned by different agencies. An analysis of split-rating completes this overview of the issue, highlighting how the weight carried by the different rating agencies can affect market reactions.Multi-rating; split-rating and rating agencies

The performance evaluation of hedge funds: a comparison of different approaches using European data

The standard approach to the evaluation of funds assumes a normal return distribution and uses the variance as a measure of the funds risk. A few characteristics of hedge funds, such as the remuneration mechanism of the portfolio manager, make this assumption unacceptable and the traditional approach of Risk Adjusted Performance (RAP) must be revised before applying it to hedge funds. Some authors define a number of different RAP measures that attempt to overcome the problem related to the lack of normality: new RAPs are characterized by a more detailed return distribution analysis that does not consider only the first two moments of the distribution. A higher computational complexity may only be reasonable if selections founded on new RAPs permit to identify better investment opportunities than those selected with standard RAPs. This work analyses different approaches proposed with a view to calculating the RAP for hedge funds and evaluates advantages and limits of each proposed measure. An application of these measures to the European hedge funds market is proposed in order to demonstrate the usefulness of new approaches. An empirical analysis studies differences in funds classification based on different measures and demonstrates that the standard RAP approach is unable to identify the best performing hedge funds.Hedge funds; Risk Adjusted Performance and performance persistence

Managing factoring in banking groups

On the market for factoring services independent suppliers coexhist with companies affiliated with banking groups. The last ones can be oriented in their decision processes by the policies of their parent company, usually a bank. They could also benefit from synergies among the different units of the group. The main benefits are linked to cost reduction, better skill-based resources allocation and a higher amount of financial coverage. If such interdependencies are found and developed, factors belonging to banking groups could attain a competitive advantage towards independent intermediaries. To assess the impact of the group structure we have to evaluate the degree of substitutability between factoring and other financial services supplied by the group, the synergy effects that could arise in each step of the production and delivery processes and eventually organizational challenges faced by the group. In our analysis we find evidence of complementarity among factoring and other financial products, we consider the possibile sinergies in some steps of the production process and we propose a methodology to assess the level of group cohesion and the kind of control exercised by the parent company.factoring; group organizations; institutional models

Funds of funds portfolio composition and its impact on the performance: evidence from the Italian market

Funds of Funds (FoF) are particular investment funds that invest resources in some mutual funds. This type of funds offers the possibility to achieve an higher diversification that an investor can’t realize using other instruments. One of the main differences among FoFs available is the strategy adopted by the manager to select the investment funds to include in the portfolio and the number of funds included in the portfolio. The funds’selection could be naïf or based on some aspect related to the funds‘ history as the past performance achieved, the fund’s investment style or the manager’s reputation. This paper analyses FoF’s Italian market and verifies whether the performance is influenced by either the diversification strategy or the number of funds included in the portfolio. The analysis demonstrates that FoFs’ best performers are those which are less geographically or sectorially concentrated; there are significant differences following different criteria/constraints applied in the funds’ selection.Fund of Funds; Diversification and Portfolio strategy

Market characteristics and chaos dynamics in stock markets: an international comparison

The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series. In fact, the Fractal Market Hypothesis assumes that the returns dynamics are not independent of the investors’ attitudes and represent the result of the interaction of traders who, frequently, adopt different investment styles. The studies proposed in literature try to identify the best approach to define the fractal dimension using, in particular, data of highly developed financial markets where a more complete set of information is available and the price determination mechanism is more efficient. A fault found with these approaches is that the results do not allow making out if there is a relationship between fractal dimension and market characteristics and, besides, it is hard to understand which aspects are more relevant in the definition of the fractal market dimension. In fact, previous studies analysed market liquidity for a limited number of countries and no other aspects related to market transactions have been considered. Using a large sample of world stock indexes, I try to identify the main market characteristics that influence returns dynamics. This study, carried out having recourse to the Rescaled Range Analysis (R/S) approach, shows that markets characteristic, like liquidity, type of admissible orders and so on, influence the R/S capability to study returns dynamics

Il rapporto tra impresa e agenzia di rating: la soluzione del multi-rating

The credit rating market is characterized by low competition and a potential conflict of interest, due to the system of remuneration of the rating services, which impairs the reliability of the judgement delivered. Multiple credit rating means further costs for companies, because of the fees paid to more than one rating agency, but it does bring significant benefits in terms of the dissemination, on the market, of judgements concerning the companies. This paper examines the relationship between the number of rating announcements concerning a company and the performance of the securities issued by that company, besides the effects of discordant ratings assigned to a company by different rating agencies (so-called “split rating”), and presents a detailed study of multiple credit rating and of the advantages determined by the placement of issued securities at higher prices, in connection with the new ratings assigned by different agencies. An analysis of split-rating completes this overview of the issue, highlighting how the weight carried by the different rating agencies can affect market reactions

Funds of funds portfolio composition and its impact on the performance: evidence from the Italian market

Funds of Funds (FoF) are particular investment funds that invest resources in some mutual funds. This type of funds offers the possibility to achieve an higher diversification that an investor can’t realize using other instruments. One of the main differences among FoFs available is the strategy adopted by the manager to select the investment funds to include in the portfolio and the number of funds included in the portfolio. The funds’selection could be naïf or based on some aspect related to the funds‘ history as the past performance achieved, the fund’s investment style or the manager’s reputation. This paper analyses FoF’s Italian market and verifies whether the performance is influenced by either the diversification strategy or the number of funds included in the portfolio. The analysis demonstrates that FoFs’ best performers are those which are less geographically or sectorially concentrated; there are significant differences following different criteria/constraints applied in the funds’ selection

The performance evaluation of hedge funds: a comparison of different approaches using European data

The standard approach to the evaluation of funds assumes a normal return distribution and uses the variance as a measure of the funds risk. A few characteristics of hedge funds, such as the remuneration mechanism of the portfolio manager, make this assumption unacceptable and the traditional approach of Risk Adjusted Performance (RAP) must be revised before applying it to hedge funds. Some authors define a number of different RAP measures that attempt to overcome the problem related to the lack of normality: new RAPs are characterized by a more detailed return distribution analysis that does not consider only the first two moments of the distribution. A higher computational complexity may only be reasonable if selections founded on new RAPs permit to identify better investment opportunities than those selected with standard RAPs. This work analyses different approaches proposed with a view to calculating the RAP for hedge funds and evaluates advantages and limits of each proposed measure. An application of these measures to the European hedge funds market is proposed in order to demonstrate the usefulness of new approaches. An empirical analysis studies differences in funds classification based on different measures and demonstrates that the standard RAP approach is unable to identify the best performing hedge funds

Funds of funds portfolio composition and its impact on the performance: evidence from the Italian market

Funds of Funds (FoF) are particular investment funds that invest resources in some mutual funds. This type of funds offers the possibility to achieve an higher diversification that an investor can’t realize using other instruments. One of the main differences among FoFs available is the strategy adopted by the manager to select the investment funds to include in the portfolio and the number of funds included in the portfolio. The funds’selection could be naïf or based on some aspect related to the funds‘ history as the past performance achieved, the fund’s investment style or the manager’s reputation. This paper analyses FoF’s Italian market and verifies whether the performance is influenced by either the diversification strategy or the number of funds included in the portfolio. The analysis demonstrates that FoFs’ best performers are those which are less geographically or sectorially concentrated; there are significant differences following different criteria/constraints applied in the funds’ selection

The performance evaluation of hedge funds: a comparison of different approaches using European data

The standard approach to the evaluation of funds assumes a normal return distribution and uses the variance as a measure of the funds risk. A few characteristics of hedge funds, such as the remuneration mechanism of the portfolio manager, make this assumption unacceptable and the traditional approach of Risk Adjusted Performance (RAP) must be revised before applying it to hedge funds. Some authors define a number of different RAP measures that attempt to overcome the problem related to the lack of normality: new RAPs are characterized by a more detailed return distribution analysis that does not consider only the first two moments of the distribution. A higher computational complexity may only be reasonable if selections founded on new RAPs permit to identify better investment opportunities than those selected with standard RAPs. This work analyses different approaches proposed with a view to calculating the RAP for hedge funds and evaluates advantages and limits of each proposed measure. An application of these measures to the European hedge funds market is proposed in order to demonstrate the usefulness of new approaches. An empirical analysis studies differences in funds classification based on different measures and demonstrates that the standard RAP approach is unable to identify the best performing hedge funds