Financial Markets, SME Financing and Emerging Economies

166 Pages·2017·2.631 MB·English

by  Giusy Chesini, Elisa Giaretta, Andrea Paltrinieri (eds.)

PALGRAVE MACMILLAN STUDIES IN
BANKING AND FINANCIAL INSTITUTIONS
SERIES EDITOR: PHILIP MOLYNEUX
Financial Markets,
SME Financing and
Emerging Economies
Edited by Giusy Chesini,
Elisa Giaretta and Andrea Paltrinieri
Palgrave Macmillan Studies in Banking
and Financial Institutions
Series Editor
Philip Molyneux
Sharjah University
Sharjah, UAE
The Palgrave Macmillan Studies in Banking and Financial Institutions
series is international in orientation and includes studies of banking sys-
tems in particular countries or regions as well as contemporary themes
such as Islamic Banking, Financial Exclusion, Mergers and Acquisitions,
Risk Management, and IT in Banking. The books focus on research and
practice and include up to date and innovative studies that cover issues
which impact banking systems globally.
More information about this series at
http://www.springer.com/series/14678
Giusy Chesini · Elisa Giaretta
Andrea Paltrinieri
Editors
Financial Markets,
SME Financing
and Emerging
Economies
Editors
Giusy Chesini Andrea Paltrinieri
Department of Business Administration Department of Economics and Statistics
University of Verona University of Udine
Verona, Italy Udine, Italy
Elisa Giaretta
Department of Business Administration
University of Verona
Verona, Italy
Palgrave Macmillan Studies in Banking and Financial Institutions
ISBN 978-3-319-54890-6 ISBN 978-3-319-54891-3 (eBook)
DOI 10.1007/978-3-319-54891-3
Library of Congress Control Number: 2017936038
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Acknowledgements
First of all, we would like to thank all the contributors, the most
important resource for this edited book. We would like to thank also all
the participants of the 2016 Wolpertinger Conference organized by the
European Association of University Teachers of Banking and Finance
in August–September 2016 for their invaluable comments about all the
papers included in this volume and all the other referees. We would like
to express our gratitude to Prof. Philip Molyneux (Professor of Banking
and Finance and Dean of the College of Business, Law, Education and
Social Sciences), Editor-in-Chief for the Palgrave Macmillan Studies in
Banking and Financial Institution Series, for approving our proposal
and for his support during the publication process. Finally, our thanks
go to the Palgrave Macmillan team, Aimee Dibbens and Natasha Denby
for their support during the process.
v
Contents
1 Introduction 1
Giusy Chesini, Elisa Giaretta and Andrea Paltrinieri
2 Access to Bank Credit: The Role of Awareness
of Government Initiatives for UK SMEs 5
Raffaella Calabrese, Claudia Girardone and Mingchen Sun
3 Earnings Quality and the Cost of Debt of SMEs 21
Federico Beltrame, Josanco Floreani and Alex Sclip
4 Demand and Supply Determinants of
Credit Availability: Evidence from the Current
Credit Crisis for European SMEs 41
Paola Brighi and Valeria Venturelli
5 What Is and What Is not Regulatory Arbitrage?
A Review and Syntheses 71
Magnus Willesson
vii
viii Contents
6 Forecasting Models and Probabilistic Sensitivity Analysis:
An Application to Bank’s Risk Appetite Thresholds
Within the Risk Appetite Framework 95
Maurizio Polato, Josanco Floreani, Giuseppe Giannelli
and Nicola Novielli
7 The Determinants of CDS Spreads: The Case of Banks 121
Maria Mazzuca, Caterina Di Tommaso and Fabio Piluso
Index 157
List of Figures
Fig. 2.1 Bank debt rejection rates by sub-periods 12
Fig. 2.2 Overdraft rejection rates by awareness of government
initiatives 15
Fig. 2.3 Loan rejection rates by awareness of government
initiatives 15
Fig. 4.1 Distribution of credit demand, weakly and strongly
rationed firms 48
Fig. 4.2 R&D, collateral and credit rationing 52
Fig. 5.1 Number of regulatory arbitrage articles by year
and ABS ranking 76
Fig. 6.1 Total capital ratio distribution, an example 107
Fig. 6.2 TCR probability distribution in a high absolute
risk environment 108
Fig. 6.3 TCR probability distribution within a zero
absolute risk environment 109
Fig. 6.4 Introducing thresholds 109
Fig. 6.5 A synthesis of RAF thresholds: the total capital ratio 110
Fig. 6.6 A synthesis of RAF thresholds: the ROE 114
Fig. 7.1 Time-series plot of the average of year-end CDS
spreads by rating classes 133
ix
List of Tables
Table 2.1 Awareness of government initiatives by waves 13
Table 2.2 Tests for differences 16
Table 3.1 Descriptive statistics 30
Table 3.2 Correlation matrix 31
Table 3.3 Accruals quality and the cost of debt 32
Table 3.4 Accruals quality and the cost of debt: two-stage regressions 35
Table 4.1 Summary statistics for the full sample 53
Table 4.2 The demand side 58
Table 4.3 The weak credit rationing 59
Table 4.4 The strong credit rationing 60
Table 5.1 Summary of sampled article characteristics 77
Table 6.1 The forecasting model 104
Table 6.2 A list of RAF parameters and thresholds as defined
with a probabilistic approach (2015) 113
Table 7.1 Sample distribution by ratings classes
(number of banks in each rating class and the frequency) 132
Table 7.2 Description of variables 135
Table 7.3 Summary statistics of full sample and divided
by rating classes 141
Table 7.4 Results of OLS regression 143
Table 7.5 Results of the normalised beta of the OLS regression 147
xi