Abstract We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of commonality in definition (i) characteristics, (ii) attributes (iii) standards defining E, S G components. provide evidence heterogeneity can lead to have opposite opinions on same evaluated companies agreement across those providers substantially low. Those alternative definitions also affect sustainable investments leading identification different investment universes consequently...

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The recent COVID-19 pandemic represents an unprecedented worldwide event to study the influence of related news on financial markets, especially during early stage when information new threat came rapidly and was complex for investors process. In this paper, we investigate whether flow had impact forming market expectations. We analyze 203,886 online articles dealing with published three platforms (MarketWatch.com, NYTimes.com, Reuters.com) in period from January June 2020. Using machine...

Abstract We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and equity shortfall triggered by COVID-19 lockdown. A 3-month lockdown generates an aggregate yearly about 10% GDP, 17% firms, which 8.8% sample’s employees, become financially distressed. Distress is more frequent for small medium-sized enterprises, with high pre-COVID-19 leverage, belonging Manufacturing Wholesale Trading sectors. Listed companies are less likely enter distress, whereas...

Abstract We derive three testable predictions from a bank-P2P lender model of competition: (a) P2P lending grows when some banks are faced with exogenously higher regulatory costs; (b) loans riskier than bank loans; and (c) the risk-adjusted interest rates on lower those loans. test these against data consumer credit market in Germany find empirical support. Overall, our analysis indicates that lenders bottom fishing, especially shocks create competitive disadvantage for banks. (JEL G21)

We derive three testable predictions from a bank-P2P lender model of competition: (a) P2P lending grows when some banks are faced with exogenously higher regulatory costs; (b) loans riskier than bank loans; and (c) the risk-adjusted interest rates on lower those loans. test these against data consumer credit market in Germany find empirical support. Overall, our analysis indicates that lenders bottom fishing, especially shocks create competitive disadvantage for banks.

We study the many implications of Eurosystem collateral framework for corporate bonds. Using data on evolving eligibility list, we identify first inclusion dates bonds and issuers use these events to find that increased supply demand pledgeable following (a) increases activity in securities lending market, (b) lowers eligible bond yields, (c) affects liquidity. Thus, relaxes constraint limited thereby improves market functioning.

This paper empirically analyses whether post-global financial crisis regulatory reforms have created appropriate incentives to voluntarily centrally clear over-the-counter (OTC) derivative contracts. We use confidential European trade repository data on single-name sovereign credit default swap (CDS) transactions and show that both seller buyer manage counterparty exposures capital costs, strategically choosing when the is riskier. The clearing seem particularly responsive risk, which in...

At the fifth annual CFA Institute European Investment Conference on 19 October 2012 in Prague, Robert C. Merton gave a presentation analyzing and managing macrofinancial risk. This article is based his talk research he carried out with coauthors.

This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for major eurozone countries. By emphasizing use of two econometric approaches based on quantile regressions (standard regression Bayesian with heteroskedasticity) we find that shocks euro's shows almost no presence shift-contagion. All increases correlation have witnessed over last years come from larger propagated higher intensity across Europe.

Why do retail consumers look for P2P financial intermediation? Are internet-based peer-to-peer (P2P) loans a substitute or complement to bank loans? In this study we answer these questions by comparing lending with the non-construction consumer credit market in Germany. We show that is servicing slice of neglected banks, namely high-risk and small-sized loans. Nevertheless, when accounting risk differential, interest rates are very similar. Our conclusion substituting banking sector since...

We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of commonality in definition (i) characteristics, (ii) attributes (iii) standards defining E, S G components. provide evidence heterogeneity can lead to have opposite opinions on same evaluated companies agreement across those providers substantially low. Those alternative definitions also affect sustainable investments leading identification different investment universes consequently creation...