In the present thesis I study the contribution to firm value of inventories management from a risk management perspective. I find a significant contribution of inventories to the value of risk management especially through the operating flexibility channel. In contrast, I do not find evidence supporting the view of inventories a reserve of liquidity. Inventories substitute, albeit not perfectly, derivatives or cash holdings. The substitution between hedging with derivatives and inventory is moderated by the correlation between cash flow and the underlying asset in the derivative contract. Hedge ratios increase with the effectiveness of derivatives. The decision to hedge with cash holdings or inventories is strongly influenced by the degree of complementarity between production factors and by cash flow volatility. In addition, I provide a risk management based explanation of the secular substitution between inventories and cash holdings documented, among others, in Bates et al. (2009), Journal of Finance. In a sample of U.S. firms between 1980 and 2006, I empirically confirm the negative relation between inventories and cash and provide evidence on the poor performance of investment cash flow sensitivities as a measure of financial constraints also in the case of inventories investment. This result can be explained by firms' scarce reliance on inventories as a reserve of liquidity. Finally, as an extension of my study, I contrast with empirical data the theoretical predictions of a model on the integrated management of inventories, trade credit and cash holdings.

This Ph.D. thesis consists in three research papers focused on the relationship between media industry and the financial sector. The importance of a correct understanding what is the effect of media on financial markets is becoming increasingly important as long as fully informed markets hypothesis has been challenged. Therefore, if financial markets do not have access to complete information, the importance of information professionals, the media, follows. On the other side, another challenge for economic and finance scholar is to understand how financial features are able to influence media and to condition information disclosure. The main aim of this Ph.D. dissertation is to contribute to a better comprehension for both the phenomena. The first paper analyzes the effects of owning equity shares in a newspaper- publishing firm. The main findings show how for a firm being part of the ownership structure of a media firm ends to receive more and better coverage. This confirms the view in which owning a media outlet is a source of conflicts of interest. The second paper focuses on the effect of media-delivered information on financial markets. In the framework of IPO in the U.S. market, we found empirical evidence of a significant effect of the media role in the IPO pricing. Specifically, increasing the quantity and the quality of the coverage increases the first-day returns (i.e. the underpricing). Finally the third paper tries to summarize what has been done in studying the relationship between media and financial industries, putting together contributes from economic, business, and financial scholars. The main finding of this dissertation is therefore to have underlined the importance and the effectiveness of the relationship between media industry and the financial sector, contributing to the stream of research that investigates about the media role and media effectiveness in the financial and business sectors.

In this thesis I construct a unique dataset to test the role of individual characteristics in affecting the investor behaviour. In particular, I present two empirical research papers that investigate trading patterns unlikely to be driven by rational models, and a literature review in which are summarized the main findings within the new field of “personality finance”. Using an experimental analysis that combine a trading simulation with a Big-Five personality questionnaire, Paper 1 and Paper 2 illustrate how personality affects the individual level of disposition effect and trading volume respectively. In detail, among a sample of 230 students, in the first paper I find strong heterogeneity in the level of disposition effect recorded. In explaining these differences and controlling for demographic variables, I show that the trait of extroversion is positively related with tendency to sell stocks at gain rather than at loss, while subjects with high conscientiousness and openness to experience are less biased. In a different sample of 176 students, from Paper 2, I demonstrate that emotionally stable investors are more likely to exhibit higher trading volume, while high-conscientiousness seems to weaker it. Demographics and risk-attitude measures moderate the individual in- vestment choices. Finally, in the third paper I introduce a literature review on those works in which the personality of the investors is used to explain subjects trading performance and specific financial phenomena. I try to organize the main findings from this new field, named “personality finance”, identifying the psychological sources that can predict the heterogeneity in the individual investment behaviour.

This thesis examines the literature on local home bias, i.e. investor preference towards geographically nearby stocks, and investigates the role of firm’s visibility, profitability, and opacity in explaining such behavior. While firm’s visibility is expected to proxy for the behavioral root originating such a preference, firm’s profitability and opacity are expected to capture the informational one. I find that less visible, and more profitable and opaque firms, conditionally to the demand, benefit from being headquartered in regions characterized by a scarcity of listed firms (local supply of stocks). Specifically, research estimates suggest that firms headquartered in regions with a poor supply of stocks would be worth i) 11 percent more if non-visible, non-profitable and non-opaque; ii) 16 percent more if profitable; and iii) 28 percent more if both profitable and opaque. Overall, as these features are able to explain most, albeit not all, of the local home bias effect, I reasonably argue and then assess that most of the preference for local is determined by a successful attempt to exploit local information advantage (60 percent), while the rest is determined by a mere (irrational) feeling of familiarity with the local firm (40 percent). Several and significant methodological, theoretical, and practical implications come out.

No description available.

No description available.

I corporate equity warrant rappresentano un affascinante metodo di finanziamento “ibrido” disponibile per le imprese. In prima approssimazione, un warrant è assimilabile ad una opzione call e, pertanto, il pricing è spesso effettuato applicando le formule di valutazione sviluppate per tali strumenti dalla teoria finanziaria. Tuttavia, la valutazione dei warrant presenta complicazioni ulteriori rispetto alla determinazione del prezzo di opzioni call, e la ragione risiede principalmente in alcuni elementi distintivi di maggiore complessità, tra cui l’effetto diluitivo del capitale esistente derivante dall’esercizio, ed il c.d. effetto “risk-shifting”, in base al quale si verifica un trasferimento di rischio sistematico dagli azionisti ai possessori di warrant, non appena questi strumenti vengono emessi. L’obiettivo di questa tesi è di analizzare il tema dell’emissione dei corporate warrant dal punto di vista della finanza d’impresa e derivare un metodo di pricing innovativo per tener conto di un fenomeno (risk-shifting effect) tuttora non considerato dalla letteratura finanziaria. Dopo aver derivato formalmente tale approccio e le formule ad esso conseguenti, il lavoro propone una simulazione teorica ed un test empirico condotto su un campione di warrant quotati sul mercato italiano. Entrambi tali verifiche dimostrano come il modello presentato incorpori una maggiore bontà previsiva del prezzo di mercato rispetto agli approcci esistenti. / Corporate equity warrants are one of the more fascinating capital-raising tools available to corporate finance officers. At a first approximation, they are option-like securities and according to this similarity, the pricing is usually performed by application of the standard option pricing theory. However, the theoretical and empirical analysis of warrants still remains an interesting research field within the finance literature. The reason is that warrants are more complex than call options. From an asset pricing point of view, the presence of some specific features (e.g., the equity dilution) prevents from using simple plain-vanilla formulas, while from a corporate finance standpoint, warrants offer several implications, principally because they affect the systematic risk of common stocks and are related to the choice of the firm’s capital structure. The purpose of this thesis is to analyse corporate warrants and address some of the main open questions about their value. In particular, after reviewing the financial literature about warrant pricing and presenting some commonly accepted formulas, the relationship between warrants and the volatility of the underlying stock return is examined. Contrarily to the classical call options, in fact, warrants affect the capital structure of the issuing firm and produce a risk-shifting effect among equity claimants. We derive an alternative approach to pricing equity warrant, embedding this risk-shifting feature, and we propose both a theoretical simulation and an empirical test based on a sample of Italian warrants proving its accuracy.

Financial constraints are one of the most important obstacles for businesses particularly in less–developed and developing economies. Collateral requirements are frequently addressed as one the most important obstacles to starting and running a business especially for small and medium enterprises (SMEs), in these countries. This thesis consists of four empirical papers each corresponding to a chapter on loan markets in less-developed economies. After the introduction chapter, the second chapter investigates both the presence of collateral and the collateral to loan ratios on loans extended to SMEs are examined. The informal credit mostly serves credit-constrained borrowers (mostly SMEs, poor households, informal businesses, borrowers in rural areas that are located far from formal creditors, and people who are not able to meet collateral requirements of formal creditors) in the formal financial markets. The third chapter aims to understand why and to what extend SMEs use informal credit from various sources, moneylenders and family/friends and suppliers/customers as forms of informal credit. The fourth chapter examines the financial constraints faced by female entrepreneurs. The primary data source in these second, third and fourth chapters is the Business Environment and Enterprise Performance Surveys which are mainly based on Eastern European and Central Asian countries. These surveys are joint projects of the European Bank for Reconstruction and Development and the World Bank. Chapter five of this thesis takes a different strand and focuses on the effect of banks’ market power on banks’ risk. The empirical analysis is based on data from Turkish banks and helps to shed light on the relation between market power and financial stability. Finally chapter six highlights the main conclusions and addresses potential future research directions.

This thesis gives an overview of the history of gold per se, of gold as an investment good and offers some institutional details about gold and other precious metal markets. The goal of this study is to investigate the role of gold as a store of value and hedge against negative market movements in turbulent times. I investigate gold’s ability to act as a safe haven during periods of financial stress by employing instrumental variable techniques that allow for time varying conditional covariance. I find broad evidence supporting the view that gold acts as an anchor of stability during market downturns. During periods of high uncertainty and low stock market returns, gold tends to have higher than average excess returns. The effectiveness of gold as a safe haven is enhanced during periods of extreme crises: the largest peaks are observed during the global financial crises of 2007-2009 and, in particular, during the Lehman default (October 2008). A further goal of this thesis is to investigate whether gold provides protection from tail risk. I address the issue of asymmetric precious metal behavior conditioned to stock market performance and provide empirical evidence about the contribution of gold to a portfolio’s systematic skewness and kurtosis. I find that gold has positive coskewness with the market portfolio when the market is skewed to the left. Moreover, gold shows low cokurtosis with the market returns during volatile periods. I therefore show that gold is a desirable investment good to risk averse investors, since it tends to decrease the probability of experiencing extreme bad outcomes, and the magnitude of losses in case such events occur. Gold thus bears very important and under-researched characteristics as an asset class per se, which this thesis contributed to address and unveil.

Il rating creditizio è un elemento molto importante per le imprese in quanto ha impatto, ad esempio, sul costo del capitale (Bhojraj and Sengupta, 2003; Campbell and Taksler, 2003), sul prezzo delle azioni e dei titoli obbligazionari (Dichev and Piotroski, 2001; Hand et al., 1992). Anche le imprese che ottengono il rating per la prima volta, tipicamente soggetti di dimensioni più piccole e con una storia più recente, hanno molto interesse per il rating. Nel principale contributo della mia tesi (“Is Indebtedness always negative for Credit Ratings? Empirical evidence on Newly Rated Firms”), misuro empiricamente, per il periodo dal 1985 al 2013, se i soggetti che hanno ottenuto un rating per la prima volta ottengono una valutazione differente rispetto agli altri operatori. Dalle mie analisi emerge che i soggetti che hanno ottenuto un rating per la prima volta ottengono valutazioni lievemente più negative rispetto agli altri operatori ma, sorprendentemente, emerge che coloro che hanno un maggiore indebitamento hanno delle valutazioni migliori. Negli altri due articoli della mia tesi sviluppo ulteriori analisi sui rating. Nel primo articolo (“Credit Rating Agencies: a Review of Recent Academic Studies and Key Practical Implications”), presento una sistematizzazione della letteratura accademica sui rating e sulle agenzie di rating. Nel secondo articolo (“The Dynamics of Credit Rating Standards”), esamino se le agenzie di rating hanno modificato i propri standards nel corso del tempo. / Firms care deeply about their credit ratings, since ratings influence, for instance, firm’s cost of capital (Bhojraj and Sengupta, 2003; Campbell and Taksler, 2003), bond and stock market prices (Dichev and Piotroski, 2001; Hand et al., 1992). This is also true for newly rated firms, typically smaller, in a younger stage of their life cycle and with a shorter track record compared with other issuers to show to the external financial stakeholders. In the main paper of my thesis (“Is Indebtedness always negative for Credit Ratings? Empirical evidence on Newly Rated Firms”), I test the impact of being newly rated firms on credit ratings over the period from 1985 to 2013. I report a negative but pretty low effect on rating outcome for the entire sample of newly rated firms but, surprisingly, I find a strong positive relation between highly levered firms and credit rating. I develop additional research on credit rating in the other two papers of my thesis. In the first paper (“Credit Rating Agencies: a Review of Recent Academic Studies and Key Practical Implications”), I present a systematization of the latest academic contributions on credit ratings and credit rating agencies. In the second paper (“The Dynamics of Credit Rating Standards”), I examine long-term issuer credit ratings and I focus on the time variable to study how credit rating agencies have modified their standards over years.