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Italian Abstract: Il presente lavoro mette a confronto su un periodo di dieci anni (2002-2011) i bilanci di un campione rappresentativo di medie imprese italiane quotate in borsa con un campione di imprese non quotate simili per settore industriale e per dimensione. I dati mostrano che le societa quotate hanno registrato tassi di crescita notevolmente superiori rispetto alle non quotate in termini di fatturato, investimenti e occupazione, anche grazie a una maggiore possibilita di ricorso al capitale di debito; le societa quotate, peraltro, oltre ad aver generato una maggiore redditivita, hanno risentito in misura piu attenuata degli effetti della crisi finanziaria del 2007 e della conseguente recessione che ha avuto inizio nel 2009. Nelle evidenze internazionali, la “qualita” dei dati contabili e uno degli aspetti che piu marcatamente differenzia le societa quotate da quelle a controllo privato. I risultati confermano, anche per il mercato italiano, una minore “qualita” dei dati contabili per le societa non quotate che puo essere ricondotta a quell’insieme di pratiche note con il nome di earnings management, sebbene esse sopportino un carico fiscale simile (se non superiore) a quello delle societa quotate. Le societa non quotate hanno infine maggiori vincoli finanziari in termini di capacita di raccolta di capitale di rischio e vi sono chiare evidenze di una maggiore difficolta di accesso al credito bancario per le non quotate. Per tali motivi, le loro opportunita di investimento sono maggiormente vincolate alla capacita di autofinanziamento, come indicato dalla piu elevata sensitivita degli investimenti al cash flow rispetto alle societa quotate. Complessivamente, queste evidenze indicano che la scelta di «non quotarsi» implica costi molto elevati in termini di minore crescita e redditivita e, allo stesso tempo, sembra solo in parte riconducibile alla volonta del management di sfruttare maggiori possibilita di manipolazione dei dati contabili (earnings management) per estrarre benefici privati o condizionare i contratti con gli stakeholders. I risultati del lavoro portano quindi a ritenere che la scarsa propensione alla quotazione delle medie imprese italiane – che si riflette nell’esiguita del nostro listino – non sembra giustificata dalla prevalenza dei benefici (maggior discrezionalita nella redazione della rendicontazione contabile e finanziaria) sui costi (minor redditivita, minor crescita, piu severo razionamento e dipendenza da fonti di finanziamento interne) connessi con la conservazione dello status di “non quotata”, ma sia da ricondurre ad altri fattori, anche culturali, verosimilmente legati alla percezione dei costi complessivi dell’apparato regolamentare che disciplina la quotazione in borsa. Questi risultati evidenziano l’importanza dei numerosi recenti interventi di semplificazione delle regole e di incentivo allo sviluppo di canali di finanziamento alternativi al credito bancario. English Abstract: This paper compares a sample of ten years (2002-2011) mid-size Italian listed companies with a sample of similar unlisted companies with comparable size and operating in a similar industrial sector. Data shows that listed companies recorded growth rates considerably higher than unlisted in terms of turnover, investment and employment, also thanks to a greater use of debt capital. Listed companies, moreover, in addition to having generated more profitability, have been less affected by the effects of the financial crisis which spread out in 2007 and the resulting recession that began in 2009. The results confirm, also for the Italian market, a lower "quality" of the accounting data for the unlisted companies that can be traced back to the set of practices named as “earnings management”, although they bear a similar tax burden (if not higher) than that of listed companies. Unlisted companies also have greater financial constraints in terms of raising risk capital and there is clear evidence of reduced access to bank credit for non-listed companies. For these reasons, their investment opportunities are more constrained to self-financing, as indicated by the higher sensitivity of cash flow investments to listed companies.

Economists have long debated the relationships between market structure of banking sector and the profitability. General consensus asserts that more concentrated market is associated with higher profitability: banks with higher market share generally achieve higher profits. This empirical evidence can however hinge on two opposite explanations: in the first case banks increase their market share (via mergers and acquisitions) in order to exploit the resulting stronger market power and impose higher prices to their clients; the second explanation tells that more cost-efficient banks are able to lower the prices applied to their clients and therefore to gain new clients and finally enlarge their market share. In both cases there is a positive link between market share and profitability, but in the former what actually plays a crucial role is a non-competitive force (Relative Market Power Hypothesis, henceforth RMP), in the latter the relationship is driven by the greater efficiency of banks which enlarge their market share by reducing prices (X-Efficiency Hypothesis, ESX). We run a 4-years panel data analysis (2008-2011) in order to disentangle the above alternatives hypothesis (RMP versus ESX) for the Italian market. First we estimate the cost efficiency for a sample of more than 200 banks by applying the Stochastic Frontier Analysis (SFA). In the second step we regress bank spreads on efficiency scores and market structure variables in order to identify which process leads the price setting of Italian banks. Difference in the legal organization of bank (mutual, cooperative, and commercial banks) and type of business relationships established are controlled for.

While a large body of literature argues that financial intermediaries exert a causal impact on long-run growth, it doesn’t investigate the links between financial architecture and technological change (as primary source of growth). We seek to shed light on these links by exploring the relationship between financial architecture (thus not only financial development) and what is assumed to be one of the main drivers of economic growth: the technological change (TC). We apply the stochastic frontier approach (SFA) in order to estimate and decompose total factor productivity growth (TFP) into its main components: efficiency change and technological change (TC). As a second step we regress the technological change (TC) on a set of variables capturing the financial characteristics ("financial architecture") of a sample of OECD countries in order to identify which features of the financial system affect the country’s rate of technological change. Our results confirm that better functioning financial systems – i.e. more market oriented, open and competitive – improve resource allocation and accelerate the country’s rate of technological change with positive impact on long-run economic growth.

The English version of this paper can be found at:http://ssrn.com/abstract=2341063Italian Abstract: Partendo da alcune ipotesi teoriche circa il funzionamento dei mercati finanziari (mercati completi e principio di non arbitraggio) e circa la dinamica dei prezzi delle attivita finanziarie, i modelli standard sviluppati nell’ambito della matematica finanziaria permettono di calcolare il fair price di un contratto derivato al momento della sua stipula come valore atteso attualizzato dei possibili pay-off futuri. Se, da un lato, il fair price ottenuto mediante tale metodologia costituisce un’informazione affidabile e coerente circa il “prezzo equo” del prodotto finanziario al momento della stipula del contratto, dall’altro, come ben noto in letteratura, le distribuzioni di probabilita impiegate nel procedimento di stima dei possibili pay-off futuri del derivato non rappresentano le “reali” probabilita di accadimento di eventi futuri e pertanto forniscono informazioni potenzialmente fuorvianti circa la probabilita che “ad una data futura” il valore di uno strumento finanziario derivato sia superiore o inferiore a determinate soglie. Cio deriva dal fatto che tali distribuzioni di probabilita sono risk-neutral, ovvero sono ottenute assumendo l’ipotesi di neutralita al rischio degli investitori; tale ipotesi e accettabile solo per finalita di pricing del derivato alla data di stipula del contratto (assumendo che il derivato sia replicabile con le attivita sottostanti e che valga quindi la cosiddetta ipotesi di non-arbitraggio). Il presente lavoro chiarisce pertanto che l’utilizzo separato delle informazioni contenute nelle partizioni di probabilita del valore futuro di un derivato finanziario – probabilita che sono alla base del processo di pricing – dovrebbe avvenire previa opportuna correzione per tener conto dell’avversione al rischio degli investitori, ovvero usando distribuzioni di probabilita “reali” (cosiddette real world probabilities). Cio, tuttavia, renderebbe tali partizioni di probabilita non univoche e imporrebbe un affinamento della metodologia volta a consentirne l’impiego nella regolamentazione sulla trasparenza dei prodotti finanziari; questo, parimenti, non esclude che per finalita interne di risk management gli intermediari finanziari possano utilmente apportare le correzioni per il premio al rischio che ritengano necessarie.English Abstract: Starting from certain hypotheses regarding the functioning of the financial markets (complete markets and the no-arbitrage principle) and on the price dynamics of the financial assets, the standard models developed within the field of financial mathematics allow for calculating the fair price of a derivative contract at the moment of its stipulation as the discounted expected value of the possible future pay-offs. If, on one side, the fair price obtained by this method represents a reliable and coherent piece of information regarding the fair price of the financial product at the moment of the stipulation of the contract, on the other, as it is well known in literature, the probability distributions used in the procedure for estimating the possible future pay-offs of the derivative do not represent the “real” probabilities of the occurrence of future events and therefore give misleading information about the probability that “at a future date” the value of a derivative instrument will be above or below certain thresholds (so-called “probabilistic scenarios”). This derives from the fact that such probability distributions are risk-neutral, i.e. they are obtained assuming the case of neutrality in respect of the investor's risk; this hypothesis is acceptable only for the purposes of pricing the derivative at the date of the stipulation of the contract (assuming that the derivative is replicable with the underlying assets and that the so-called “no-arbitrage hypothesis” therefore holds). This work clarifies that the “probabilistic scenarios” must be calculated, on the contrary, using “real” probability distributions (so-called real world probabilities), i.e. distributions which take into account the investors' risk aversion. However, this makes the probabilistic scenarios different from each other and therefore substantially unfeasible in regulating the transparency of financial products; this, obviously, does not exclude the possibility of such scenarios being used satisfactorily for internal risk management purposes by financial intermediaries.

The recent Euro area crisis, which has originally been driven mainly by macroeconomic factors, has had a strong impact also on financial markets leading internationally to what is referred as contagion, that is co-movements among asset prices which have been excessive respect to fundamentals. The term “contagion,” generally used in contrast to “interdependence,” conveys the idea that during financial crisis there might be breaks or anomalies in the international transmission mechanism, arguably reflecting switches across multiple equilibria, market panics unrelated to fundamentals, investors’ herding and the like. Although there is still wide disagreement among economists about what contagion is exactly and how it should be tested empirically, a common approach consists of identifying breaks in the international transmission of shocks indirectly, inferring them from a significant rise in the correlation of asset returns across markets and countries. Our study extends on this conventional measures of contagion by directly investigating changes in the existence and the directions of causality among a sample of Euro area countries during the recent Lehman default and sovereign debt crisis. To test for contagion, we apply a three steps Granger causality/VECM methodology on sovereign bond spreads and stock returns as measures of perceived country risk. Results highlight the fact that the causality patterns have changed during the “crisis” periods compared to the pre-crisis “tranquil” periods, thus pointing out the occurrence of contagion phenomenon among Euro area countries during the last two international financial crises.

This paper analyses the determinants of sovereign spreads in the euro area from January 2002 to May 2012. The objective is to disentangle the role of country-specific fundamentals, driven by fiscal and macroeconomic factors, from what is referred to as contagion. Following the existing empirical literature, the work estimates a model of the determinants of 10-year yield spreads relative to Germany for ten euro zone countries. The results show that since the eruption of the 2007-2008 financial crisis, sovereign spreads have shown a time-dependent contagion component. On average, such a component explains almost one third of the spreads dynamic in 2009-2010 and almost 10 per cent since 2011. However, results at the country level are quite different between core and peripherals. As shown by the analysis, core countries (excluding Germany, which is our benchmark to measure spreads) were not affected by contagion till 2011; since the worsening of the sovereign debt crisis they seem to have benefited from a flight-to-quality effect. For example, in the first months of 2012, France shows spreads lower than what implied by fundamentals by an amount ranging from roughly 50 to 90 basis points, depending on the model specification, while for Netherlands such a “discount” can be as high as roughly 60 basis point. Peripheral countries, which at the onset of the European Monetary Union took advantage from a mispricing of their actual economic and fiscal fragility, since 2009 have suffered from the abrupt revision of market expectations, showing spreads on average significantly higher than what justified by macroeconomic and fiscal factors. In 2012, for most of these countries contagion has a role comparable to fundamentals in explaining the level of the spreads. For example, it accounts for an amount ranging from roughly 170 to 240 basis points for Spain, while for Italy – probably penalized by its historically highest debt to GDP ratio – contagion explains something between roughly 150 and 180 basis points of the spread, depending on the model specification.

In Italia esistono due mercati regolamentati di strumenti finanziari derivati accessibili agli investitori retail entrambi gestiti da Borsa Italiana: il SeDex, dove sono trattati covered warrant (CW) e altri strumenti derivati cartolarizzati, e l'IDEM, dove sono invece trattate opzioni su singole azioni o sull'indice azionario FtseMib. Alcuni strumenti negoziati sui due mercati sono perfettamente identici sotto il profilo economico-finanziario, trattandosi di opzioni con stesso sottostante, scadenza e strike price, ma sono scambiati a prezzi significativamente diversi. In particolare, il prezzo dei CW call plain vanilla su azioni italiane e sull'indice FtseMib e in media maggiore di oltre il 60% rispetto a quello delle opzioni negoziate sull'IDEM aventi le medesime caratteristiche. Tale fenomeno, cosiddetto overpricing, si rileva anche su mercati regolamentati di altri paesi ed e correlato con alcune caratteristiche dei singoli CW. In particolare, il lavoro mostra che, a parita di altre condizioni, i CW piu scambiati, con un prezzo unitario piu elevato, con una vita residua piu elevata e piu in-the-money presentano un overpricing minore; il lavoro mostra, inoltre, che l'overpricing e correlato positivamente con il rendimento dell'attivita sottostante il CW.Derivative warrants typically have higher prices than do otherwise identical options. Using data from the Italian market we show that the overpricing of covered warrant amounts to around 60% and this difference reflects the liquidity premium of derivative warrants over options. Empirical evidence also confirms that the overpricing of covered warrant is positively related with the maturity, the unit price and the return of underlying assets.