New drivers of performance in a changing financial world

305 Pages·2009·4.331 MB·English

by  Fiordelisi, Franco, Mattarocci, Gianluca, Carretta, Alessandro

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