Bachelor Program in Business and Management

The course is intended to familiarize students with some specialized empirical methodologies for addressing research questions in banking and finance. The course will be structured along three main topics.

The first topic is focused on the informative content that financial investors may derive from different sources. In particular, we will discuss:

• the meaning and impact of credit rating on bond pricing,
• the meaning and impact of financial analysts’ reports and opinions on equity pricing,
• the drivers of the probability of default implied in credit default swap premia.

The second topic is focused on the main trends and challenges of the banking industry and the asset management industry. In particular, we will discuss:

• The banking lending activity and its impact on banks profitability in times of negative interest rates era
• The welfare system: from public pension systems to private schemes
• The asset management industry. From market to clients: how a portfolio selection process works

The third topic is focused on household saving and financial decisions. In particular you will learn:

• household wealth management decisions: objective and subjective drivers 
• household choice: saving and portfolio
• risk aversion and risk premium
• Insurance, risky asset and risk free demand by households
• Social Savngs. The demand Side 

Understand that:

• the prices of financial instruments incorporate information that may be analyzed by investors to make decisions;
• a change in the information set available to investors will inevitably affect the pricing of financial instruments;
• negative interest rates and economic recession weaken banks profitabily and change their business models;
• public pension benefits will decline in the near future urgently requiring a strategic wealth planning

Lectures and exercise classes (included Empirical Methods using STATA)

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https://elearning.unito.it/sme/course/view.php?id=3374

Assessment methods:

- Analyses of scientific papers

- Oral presentation 

- Written exam: open and mutiple-choice questions

Only the exam immediately after the course will be made up the three separate module scores. Each module exam is worth 10 points. 

In all the retake session,  exams will be in written form and consist in questions/exercises on the three modules.

Teaching Assistance

The course is designed around three main topics:

• The role of information in financial markets:
  • Analyst's forecast: features, strenghts, weakenesses and evidence from empirical research;
  • Credit ratings: features, strenghts, weakenesses and evidence from empirical research;
  • Probability of default implied in credit default swaps: features, strenghts, weakenesses and evidence from empirical research;
• Banking industry and asset management
• Household finance: savings and portfolio choices. Behavioral Finance

• Malkiel B.G., The efficient market hyphothesis and its critics, in Journal of Economic Perspectives, 2003.
• CONSOB, Discussion papers, Credit default swaps, 2011.
• Partnoy F. (2006). How and why credit rating agencies are not like other gatekeeper, Legal studies research papers, University ot San Diego.
• De Vincentiis P. (2010). Accuracy and bias of equity analysts in an environment characterised by higher disclosure. Empirical evidence from the Italian market, in Working Papers Adeimf.
• De Vincentiis P., Pia P. (2015). Aftermath of the subprime crisis: reputational damages suffered by major and minor rating agencies, in International Review of Business Research Papers.
• De Vincentiis P., Pia P. (2017). Small Is Beautiful? A Comparison of Major and Minor Credit Rating Agencies Credibility, in International Journal of Business Administration, 2017.
• Bongiovanni A., De Vincentiis P., Isaia E. (2016). The VIX index: forecasting power and performance in a risk management framework, in Journal of Financial Management, Markets and Institutions, n.4
• Miskin - Eakins, Financial Markets and Institutions, Chapter: "Banking and the management of Financial Institutions", Prentice Hall.
• De Vincentiis P., Isaia E., Zocchi P. (2017). Institutional disparities and asset allocation homologation in Italian defined contribution (DC) pension funds. How do they affect the guarantee commitment?, in Journal of Pension Economics and Finance, Cambridge University Press.
• Jacob A. Bikker, Dirk W. G. A. Broeders, David A. Hollanders, Eduard H. M. Ponds,(2012) PENSION FUNDS’ ASSET ALLOCATION AND PARTICIPANT AGE: A TEST OF THE LIFE-CYCLE MODEL, The Journal of Risk and Insurance,  Vol. 79, No. 3, 595-618.
• Phil Molyneux, Alessio Reghezza, John Thornton, Ru Xie, (2020), Did Negative Interest Rates Improve Bank Lending?, Journal of Financial Services Research  57:51–68.
• Riikka Sieva¨nen, Hannu Rita, Bert Scholtens, (2013),The Drivers of Responsible Investment: The Case of European Pension Funds, Journal of Business Ethics  117:137–151.

Further readings:

• Stiglitz J., Information and capital markets, NBER WP, 1981
• Fama E., Efficient capital markets: a review of theory and empirical work, in The Journal of Finance, 1970
• Norden, Weber (2004), Informational efficiency of credit default swap and stock markets
• Brown L.D., Call A.C., Clement W.B., Sharp N.Y, Inside the black box of sell side financial analysts, in Journal of accounting research, 2014
• Barber B., Lehavy R., McNichols M., Trueman B., Can investors profit from the prophets? Security analysts recommendations and stock returns, in The Journal of Finance, 2001
• Hong H., Kubik J.D., Analysing the analysts: career concerns and biased earnings forecasts, in The Journal of Finance, 2003
• Goh C.J., Ederington L.H., Is a bond rating downgrade bad news, good news or no news for stockholders? in The Journal of Finance, 1993
• Norden L., Weber M., Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements, in Journal of Banking and Finance, 2004
• Xia H., Can investor-paid credit rating agencies improve the information quality of issuer-paid rating agencies?, in Journal of Financial Economics, 2014
• Kiff J., Nowak S., Schumacher L., Are rating agencies powerful? An investigation into the impact and accuracy of sovereign ratings, IMF WP, 2012
• Ljungquivst A., Malloy C, Marston F., Rewriting history, in The Journal of Finance, 2009

 

Household Finance Readings

Books

1.Economic and Financial Decisions under Risk,  Louis Eeckhoudt, Christian Gollier, Harris Schlesinger - Princeton University Press - January 2005

2.Wealth and Homeownership.Women, Men and Families. Rossi, Mariacristina, Sierminska, Eva

Paper:

3.Household preferences for socially responsible investments, Journal of Banking & Finance, Elsevier, vol. 105(C), pages 107-120. Rossi, Mariacristina & Sansone, Dario & van Soest, Arthur & Torricelli, Costanza, 2019.

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