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The role of leverage in firm solvency: evidence from bank loans

Patti, Emilia Bonaccorsi di; Alessio Dï¿½Ignazio; … - Banca d'Italia - 2014

The two recessions that have hit Italy since the end of 2008 have raised the share of non-performing loans to businesses in banksï¿½ portfolios substantially. In this paper we evaluate to what extent the deterioration of credit quality was due not only to the decline in firmsï¿½ sales...

Persistent link: https://www.econbiz.de/10011100349

Intertemporal Consumption Choices, Transaction Costs and Limited Participation in Financial Markets: Reconciling Data and Theory.

Attanasio, Orazio P.; Paiella, Monica - Banca d'Italia - 2007

This paper builds a unifying framework based on the theory of intertemporal consumption choices that brings together the limited participation-based explanation of the C-CAPM poor empirical performance and the transaction costs-based explanation of incomplete portfolios. Using the implications...

Persistent link: https://www.econbiz.de/10005770781

The recent behaviour of financial market volatility

Panetta, Fabio; Angelini, Paolo; Grande, Giuseppe; … - Banca d'Italia - 2006

A striking feature of financial market behaviour in recent years has been the low level of price volatility over a wide … empirical evidence. The paper consists of seven sections. Section 2 documents the current low level of volatility, putting it … into a historical perspective. Section 3 briefly reviews the theoretical determinants of volatility, with the aim of …

Persistent link: https://www.econbiz.de/10005770790

How to interpret the CPIS data on the distribution of foreign portfolio assets in the presence of sizeable cross-border positions in mutual funds. Evidence for Italy and the main euro-area countries

Felettigh, Alberto; Monti, Paola - Banca d'Italia - 2008

The data collected by the IMF in the Coordinated Portfolio Investment Survey (CPIS) provide a unique source for foreign portfolio asset holdings, with details on the breakdown by instrument and counterpart country. In the presence of sizeable cross-border positions in mutual funds, which are...

Persistent link: https://www.econbiz.de/10005770791

Maxmin Portfolio Choice

Taboga, Marco - Banca d'Italia - 2005

We solve two robust portfolio selection problems, where a maxmin criterion is adopted to deal with parameter uncertainty. The two models, which yield closed formulae for the optimal allocation, lend themselves to be thoroughly analyzed both from a geometric and a game-theoretic point of view.

Persistent link: https://www.econbiz.de/10005609395

The CAPM and the risk appetite index; theoretical differences and empirical similarities

Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2006

This paper analyzes the Risk Appetite Index (RAI), a measure of investorsï¿½ risk aversion proposed by Kumar and Persaud (2001, 2002). We show that the RAI distinguishes between risk and risk aversion only under theoretically restrictive assumptions on the distribution of returns and the...

Persistent link: https://www.econbiz.de/10005467316

Style, Fees and Performance of Italian Equity Funds

Cesari, R.; Panetta, F. - Banca d'Italia - 1998

Using a clustering procedure, we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante...

Persistent link: https://www.econbiz.de/10005486714

Portfolio Selection with Monotone Mean-Variance Preferences

Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; … - Banca d'Italia - 2008

We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated to...

Persistent link: https://www.econbiz.de/10005113531

The forgone gains of incomplete portfolios

Paiella, Monica - Banca d'Italia - 2007

This paper proposes a test for the cost-based explanation of non-participation, by estimating a lower bound to the forgone gains of incomplete portfolios; these are in turn a lower bound to the costs that could rationalize non-participation in financial markets: high bounds would imply...

Persistent link: https://www.econbiz.de/10005113553

Limited Financial Market Participation: A Transaction Cost-Based Explanation

Paiella, Monica - Banca d'Italia - 2001

This paper focuses on the issue of limited financial market participation and determines a lower bound on the level of fixed transaction costs that are required to reconcile observed portfolio choices with asset returns within an isoelastic utility framework. The bound is determined from the set...

Persistent link: https://www.econbiz.de/10005113581