Alberto Dell'Acqua

Conference Calls and Stock Price Volatility in the Post-Reg FD Era

Past research has documented that the utilisation of conference calls is greater in the high tech sector than in other industries. Do high tech firms benefit from that? This study attempts to answer this question by examining the impact of ‘post-Reg FD’ conference calls on the price volatility of high tech firms listed in the US market. We find evidence that more open conference calls results in lower idiosyncratic volatility.

Corporate social performance and portfolio management

Purpose – The purpose of this paper is to assess the existence of a relationship between socially responsible behavior of companies and price trends of their stocks. Design/methodology/approach – The analysis is conducted by empirically testing data of environmental, social and governance ratings of a sample of European firms between December 2005 and December 2010. A disaggregate analysis is also performed to infer whether a specific contribution of all the different factors that make a business socially responsible can be observed in the value generation process. Findings – The results show that the application of a sustainable approach are successful in creating value, both to the investor and the issuer companies. Research limitations/implications – Findings of this work are significant with respect to portfolio management, because they suggest, on one hand, the myopia of a short-term approach (short-termism), and on the other hand, the importance of sustainable investing. Originality/value – This pap...

Investor protection and value creation in cross-border M&As by emerging economies

Previous research investigating cross-border M&As (CBM&As) by emerging economies (EEs) provided contrasting evidence on the value enhancement role of investor protection rules. We conduct a new empirical study to address the issue with an accurate sample selection of bidders from more homogeneous developing countries and transactions on developed countries only. Our analysis over the 1997–2012 period on a sample of M&A deals by companies from Brazil, Russia, India, China, and South Africa (BRICS) does not provide evidence that better institutional standards in the destination country are rewarded by the local stock market. We find that foreign governance quality is not associated with positive excess stock returns around the announcement date. Rather, these returns are affected by firm-specific and deal-specific factors, such as the relative deal size, the listed status of the target company, and the acquirer size. Comparison with other studies on excess returns for emerging markets (including BRICs) suggests that the results could be driven at least partially by country choice.

International portfolio diversification

In this paper, several empirical tests are applied to evaluate: 1) the effectiveness of international diversified stock portfolios in bull and bear markets; 2) the potential gains of diversification strategies for both developed and developing country investors. The results suggest that the correlation structure of global equity market returns is not constant over time. Correlation coefficients rise during economic crisis and decline again when the crash is over, but do not drop back to the original level as before the crisis. The total risk of foreign investment can be decomposed into the local stock return risk and the currency risk. We also find that US investors accrue potential diversification gains in terms of return enhancement. However, the decrease on return offsets the decrease on standard deviation, making the performance of international portfolios no better than that of domestic investment.

Come misurare le performance aziendali sui social media? Una proposta metodologica

italianoIn questo articolo proponiamo un indicatore di performance dell’attivita aziendale sui social media: il Social Media Index (SMI), calcolato attraverso un sistema di scoring della presenza e delle azioni delle imprese sui principali social network. Il quadro di analisi sottostante rappresenta un primo modello per rilevare l’attivita svolta sui social media e per misurare i risultati economico-finanziari conseguenti. Analizziamo inoltre la relazione tra il SMI e le performance azionarie delle 100 imprese a maggiore capitalizzazione quotate presso il London Stock Exchange nel periodo 2011-2013: dai primi dati, le imprese che investono con maggiore efficacia sui social media sono quelle con la migliore performance azionaria. EnglishIn this paper we propose a performance indicator of the business activity on social media: the so-called Social Media Index (SMI), calculated through a scoring system of firms’ presence and actions on main social networks. The underlying analytical framework is a first model to assess the activity carried out by firms on social media and to measure their economic and financial results. Furthermore, we analyse the relationship between the SMI and equity performance of the 100 largest capitalized companies listed on the London Stock Exchange from 2011 to 2013. Based on preliminary evidence, the companies that invest more effectively on social media are those with the best share performance.

Grandstanding and Spinning in VC Backed IPOs on AIM UK

We study a hand-collected dataset that includes 507 IPOs on the UK Alternative Investment Market (AIM) from FY2004 to FY2010. IPOs backed by venture capitalists registered an average underpricing of 25.8 percent; almost double that of non-venture-backed IPOs (14.6%). We provide new empirical evidence that grandstanding and spinning increase IPO underpricing. Conversely venture capitalists provide a certification role when they avoid moral hazard behaviors. Firms may strategically exploit these phenomena to accelerate growth while market regulators have to evaluate this evidence in light of stricter or more prone to laissez faire policies.