New drivers of performance in a changing financial world PDF
Preview New drivers of performance in a changing financial world
New Drivers of Performance in a Changing World A. Carretta; F. Fiordelisi; G. Mattarocci ISBN: 9780230594814 DOI: 10.1057/9780230594814 Palgrave Macmillan Please respect intellectual property rights This material is copyright and its use is restricted by our standard site license terms and conditions (see palgraveconnect.com/pc/info/terms_conditions.html). If you plan to copy, distribute or share in any format, including, for the avoidance of doubt, posting on websites, you need the express prior permission of Palgrave Macmillan. To request permission please contact [email protected]. New Drivers of Performance in a Changing Financial World Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci 9780230_205024_01_prexvi.tex 15/10/2008 10:41 Pagei PalgraveMacmillanStudiesinBankingandFinancialInstitutions SeriesEditor:ProfessorPhilipMolyneux PalgraveMacmillanStudiesinBankingandFinancialInstitutionswillbeinterna- tionalinorientationandincludestudiesofbankingwithinparticularcountriesor regions,andstudiesofparticularthemessuchasCorporateBanking,RiskManage- ment,MergersandAcquisitions,etc.Thebookswillbefocuseduponresearchand practice,andincludeup-to-dateandinnovativestudiesoncontemporarytopics inbankingthatwillhaveglobalimpactandinfluence. Titlesinclude: YenerAltunbas,BlaiseGadaneczandAlperKara SYNDICATEDLOANS AHybridofRelationshipLendingandPubliclyTradedDebt YenerAltunbas,AlperKaraandÖslemOlgu TURKISHBANKING BankingunderPoliticalInstabilityandChronicHighInflation ElenaBeccalli ITANDEUROPEANBANKPERFORMANCE SantiagoCarbó,EdwardP.M.GardenerandPhilipMolyneux FINANCIALEXCLUSION AlessandroCarretta,FrancoFiordelisiandGianlucaMattarocci(editors) NEWDRIVERSOFPERFORMANCEINACHANGINGFINANCIALWORLD ViolaineCousin BANKINGINCHINA FrancoFiordelisiandPhilipMolyneux SHAREHOLDERVALUEINBANKING HansGenbergandCho-HoiHui THEBANKINGSECTORINHONGKONG Competition,Efficiency,PerformanceandRisk ElisabettaGualandriandValeriaVenturelli(editors) BRIDGINGTHEEQUITYGAPFORINNOVATIVESMEs MunawarIqbalandPhilipMolyneux THIRTYYEARSOFISLAMICBANKING History,PerformanceandProspects KimioKaseandTanguyJacopin CEOsASLEADERSANDSTRATEGYDESIGNERS ExplainingtheSuccessofSpanishBanks M.MansoorKhanandM.IshaqBhatti DEVELOPMENTSINISLAMICBANKING TheCaseofPakistan 10.1057/9780230594814 - New Drivers of Performance in a Changing World, Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci 9780230_205024_01_prexvi.tex 15/10/2008 10:41 Pageii MarioLaTorreandGianfrancoA.Vento MICROFINANCE PhilipMolyneuxandMunawarIqbal BANKINGANDFINANCIALSYSTEMSINTHEARABWORLD PhilipMolyneuxandEleuterioVallelado(editors) FRONTIERSOFBANKSINAGLOBALWORLD AnastasiaNesvetailova FRAGILEFINANCE Debt,SpeculationandCrisisintheAgeofGlobalCredit DominiqueRambureandAlecNacamuli PAYMENTSYSTEMS FromtheSaltMinestotheBoardRoom AndreaSchertler THEVENTURECAPITALINDUSTRYINEUROPE AlfredSlager THEINTERNATIONALIZATIONOFBANKS NoelK.Tshiani BUILDINGCREDIBLECENTRALBANKS PolicyLessonsforEmergingEconomies PalgraveMacmillanStudiesinBankingandFinancialInstitutions SeriesStandingOrderISBN978-1–4039–4872–4 Youcanreceivefuturetitlesinthisseriesastheyarepublishedbyplacingastand- ingorder.Pleasecontactyourbookselleror,incaseofdifficulty,writetousatthe addressbelowwithyournameandaddress, thetitleoftheseriesandtheISBN quotedabove. Customer Services Department, Macmillan Distribution Ltd, Houndmills, Bas- ingstoke,HampshireRG216XS,England 10.1057/9780230594814 - New Drivers of Performance in a Changing World, Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci 9780230_205024_01_prexvi.tex 15/10/2008 10:41 Pageiii New Drivers of Performance in a Changing Financial World Editedby AlessandroCarretta,FrancoFiordelisi, GianlucaMattarocci 10.1057/9780230594814 - New Drivers of Performance in a Changing World, Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci 9780230_205024_01_prexvi.tex 15/10/2008 10:41 Pageiv ©AlessandroCarretta,FrancoFiordelisi,GianlucaMattarocci2009 Individualchapters©contributors2009 Allrightsreserved.Noreproduction,copyortransmissionofthis publicationmaybemadewithoutwrittenpermission. Noportionofthispublicationmaybereproduced,copiedortransmitted savewithwrittenpermissionorinaccordancewiththeprovisionsofthe Copyright,DesignsandPatentsAct1988,orunderthetermsofany licencepermittinglimitedcopyingissuedbytheCopyrightLicensing Agency,SaffronHouse,6-10KirbyStreet,LondonEC1N8TS. Anypersonwhodoesanyunauthorizedactinrelationtothispublication maybeliabletocriminalprosecutionandcivilclaimsfordamages. Theauthorshaveassertedtheirrightstobeidentifiedastheauthorsof thisworkinaccordancewiththeCopyright,DesignsandPatentsAct1988. Firstpublished2009by PALGRAVEMACMILLAN PalgraveMacmillanintheUKisanimprintofMacmillanPublishers Limited,registeredinEngland,companynumber785998,ofHoundmills, Basingstoke,HampshireRG216XS. PalgraveMacmillanintheUSisadivisionofStMartin’sPressLLC,175 FifthAvenue,NewYork,NY10010. PalgraveMacmillanistheglobalacademicimprintoftheabove companiesandhascompaniesandrepresentativesthroughouttheworld. Palgrave®andMacmillan®areregisteredtrademarksintheUnitedStates, theUnitedKingdom,Europeandothercountries. ISBN-13:978–0230–20502–4 ISBN-10:0230–20502–X Thisbookisprintedonpapersuitableforrecyclingandmadefromfully managedandsustainedforestsources.Logging,pulpingand manufacturingprocessesareexpectedtoconformtotheenvironmental regulationsofthecountryoforigin. AcataloguerecordforthisbookisavailablefromtheBritishLibrary. AcatalogrecordforthisbookisavailablefromtheLibraryofCongress. 10 9 8 7 6 5 4 3 2 1 18 17 16 15 14 13 12 11 10 09 PrintedandboundinGreatBritainby CPIAntonyRowe,ChippenhamandEastbourne 10.1057/9780230594814 - New Drivers of Performance in a Changing World, Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci 9780230_205024_01_prexvi.tex 15/10/2008 10:41 Pagev Contents ListofTables vii ListofFigures ix Preface xi Acknowledgements xiii NotesontheContributors xiv PartI NewFinancialProductsandApproaches:Focus onPerformance 1 1 EuropeanExchanges,Investors’BehaviourandAsset AllocationsCriteria:CountryApproachvsIndustryApproach 3 AlessandroCarrettaandGianniNicolini 2 ThePerformanceEvaluationofHedgeFunds:aComparison ofDifferentApproaches 14 AlessandroCarrettaandGianlucaMattarocci 3 RealEstateInvestments:theCaseoftheItalianMarket 30 ClaudioPorzioandGabrieleSampagnaro 4 RealEstateSelectionandthePortfolioConstructionModel: DataAnalysisfromtheItalianMarket 51 ClaudioGiannottiandGianlucaMattarocci 5 FundsofFundsPortfolioCompositionanditsImpacton Performance:EvidencefromtheItalianMarket 69 AlessandroCarrettaandGianlucaMattarocci 6 MarketCharacteristicsandChaosDynamicsinStock Markets:anInternationalComparison 89 GianlucaMattarocci PartII DeterminantsofValueCreationinBanking 107 7 TheProfitGenerationProcessinBanking 109 FrancoFiordelisi v 10.1057/9780230594814 - New Drivers of Performance in a Changing World, Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci 9780230_205024_01_prexvi.tex 15/10/2008 10:41 Pagevi vi Contents 8 TheImpactofMergersandAcquisitionson ShareholderWealthinEuropeanBanking 131 MarcelloPallotta 9 DoesCorporateCultureAffectShareholderValue?Evidence fromEuropeanBanking 149 AlessandroCarretta,VincenzoFarina,FrancoFiordelisiand PaolaSchwizer PartIII RegulationandChangeinBanks’and Customers’Behaviour 177 10 TheConsumer’sFinancialCapability:aRegulatory Perspective 179 GianniNicolini 11 TransparencyBetweenBanksandTheirCustomers: InformationNeedsandPublicIntervention 199 MassimoCaratelli 12 CorporateDisclosureDeterminants:ACross-Country Investigation 220 VincenzoFarina 13 SingleEuroPaymentArea:Opportunitiesfor ConsumersandCorporates 235 LuciaLeonelli 14 CoordinationandCooperationinFinancialRegulation: DoRegulatorsComplywithBankingCulture? 250 AlessandroCarretta,VincenzoFarinaandPaolaSchwizer NamesIndex 275 SubjectIndex 283 10.1057/9780230594814 - New Drivers of Performance in a Changing World, Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci 9780230_205024_01_prexvi.tex 15/10/2008 10:41 Pagevii List of Tables 1.1 Concentrationoftheindustrialsectorindexesbasedon theclusteranalysisresults,1995–2006 10 2.1 Topdatavendorsforhedgefundsonthebasisoffunds’ coverage 21 2.2 RAPmeasuresasinstrumentstoforecasthedgefunds’ performance 22 2.3 RAPanalysisinbullandbearmarket 24 2.4 Percentageofupgrade/downgradesinthesubgroups usingdifferentRAPclassifications 25 3.1 DistributionalcharacteristicofItalianassetclasses returns(monthly,1997–2004) 33 3.2 Correlationsamongassetclasses 36 4.1 Expectedcashflowsassociatedwithaproperty investment 52 4.2 Aspectsconsideredtoassignriskclassestothevarious estateunits 58 4.3 Efficientfrontierandleverage 62 4.4 Clusteranalysisandcomparisonofqualitative diversification 63 5.1 PerformanceofFundsofFunds 75 5.2 PerformanceofFundsofFundsandincentivefees 76 5.3 RAPforFundsofFundsclassifiedonthebasisoffeesand portfoliocomposition 77 5.4 RAPforFundsofFundsclassifiedonthebasisof geographicalandsectoralconcentration 78 5.5 RAPforFundsofFundsonthebasisoflinkageand concentration 81 5.6 RAPforFundsofFundsonthebasisoftheportfolio’s compositioncriterion 82 5.7 PerformancepersistencefordifferenttypesofFoFs 83 6.1 BDSstatisticsforeachcountry 100 6.2 Hurstindexandscrambledhurst 101 7.1 Numberofbanksinsamplesusedforestimating shareholdervaluedriversinEuropeanbanking 114 7.2 Descriptivestatisticsofvariablesusedtoanalysethe sampleofEuropeanlistedandnon-listedbanks overtheperiod1999–2002 115 vii 10.1057/9780230594814 - New Drivers of Performance in a Changing World, Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci 9780230_205024_01_prexvi.tex 15/10/2008 10:41 Pageviii viii ListofTables 7.3 Themultiple-variablerelationshipbetweenprofitsand itsdeterminantsinEuropeanbanking 117 7.4 Themultiple-variablerelationshipbetweenshareholder valueanditsdeterminantsinEuropeanbanking 118 7.5 Themultiple-variablerelationshipbetweenprofitsand itsdeterminantsindomesticEuropeanbankingindustries 120 7.6 Themultiple-variablerelationshipbetweenshareholder valueanditsdeterminantsindomesticEuropean bankingindustries 122 8.1 M&AoperationsinEuropebetween1999and2004 134 8.2 SCARtargetFirm 144 8.3 SCARBidderFirm 145 8.4 SCARcombinedeffect 145 9.1 Sampledescriptivestatistics(102Europeancommercial banksbetween2001and2003) 165 9.2 Therelationshipbetweenprofitsandcorporateculture forEuropeanbanks,respectively 166 9.3 Therelationshipbetweenshareholdervaluecreationand corporatecultureforEuropeanbanks,respectively 167 11.1 Generalneedsandfinancialrequirementsbasedon Maslow’shierarchyofneeds 201 12.1 RelationamongvariablesasidentifiedbyGrayand Hofstede 226 12.2 Relationsidentifiedbythevariousstudies 227 12.3 Resultsoftheclusteranalysis 231 12.4 Resultsoftheregressionanalysis 231 12.5 Synthesisofthemodel 231 12.6 ANOVA 232 14.1 Keyconceptsforthecultureofbothintermediariesand supervisorybodies 263 14.2 Themaincategoriesformeasuringculturalorientations 264 14.3 Finalresultsondisclosure,customer,innovation, change,riskmeasuredonbanks,onBaselIIand ontheBankofItaly 267 10.1057/9780230594814 - New Drivers of Performance in a Changing World, Edited by Alessandro Carretta, Franco Fiordelisi and Gianluca Mattarocci
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