Attilio Gardini

A Reduced Rank Regression Approach to Tests of Asset Pricing

Both the Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) place restrictions of the cross sectional variation of conditional expectations of asset returns and of macro-indicators. The authors show that these restrictions imposed on the reference statistical models lead to special cases of the reduced rank regression model. The maximum likelihood problem is solved by canonical correlation analysis. Likelihood ratio tests about the number of factors underlying stock returns are straightforward to calculate, thus allowing to discriminate between competing financial theories. Moreover LR tests on the relevance of each macroeconomic indicator within a chosen model can be implemented. Some of the tests are illustrated by an application to Italian stock market data. Copyright 1997 by Blackwell Publishing Ltd

Benchmark in the conference hospitality industry.

Abstract Congress hospitality industry is one of the most dynamic segments in hospitality sector. This leads an increasing competition among conference centres. This paper presents a benchmarking analysis of international conference industry with the aim to analyse organisational and productive practices allowing to obtain the best performance. Benchmarking contributes to selecting the best practices characterising the best international conference centre. We analyse a sample of conference centres operating in international market. Information on productive capacity, services supplied and economic performance are used to define relevant benchmarking indicators and the Global Performance Index (GPI), obtained as statistical synthesis of the previous indicators. The results of benchmarking analysis show the relevance of three main factors for the best performance of conference companies: (1) flexibility of the building structure; (2) vertical integration of production and completeness of conference service supply; and (3) commercial organisation and market positioning of the conference centre.

A new approach to stock price modelling and the efficiency of the Italian stock exchange

In this paper, we propose a new model of asset prices which takes account of the investment strategies of three different kinds of agents: the market-makers, who operate rationally on the basis of the asset fundamentals, the smart buy-and-sell agents, who intervene when the prices reach particular levels and the non-smart buy-and-sell agents, who trade infrequently, mainly following psychological motivations. The different behavior of these groups of agents can determine temporary inefficiences on financial markets and we show that, by considering these inefficiences, it is possible to improve forecasting of asset prices.

Disequilibria and contagion in financial markets: Evidence from a new test

This paper provides an analysis of contagion by measuring disequilibria in risk premium dynamics. We propose to test financial contagion using an econometric procedure where we first estimate the preference parameters of the consumption-based asset pricing model (C-CAPM) to measure the equilibrium risk premia in different countries and then we consider the difference between empirical and equilibrium risk premia to test cross-country disequilibrium episodes due to contagion. Disequilibrium in financial markets is modeled by the multivariate DCC-GARCH model including a deterministic crisis variable. Our approach allows to identify the disequilibria generated by increases in volatility that is not explained by fundamentals but is endogenous to financial markets and to evaluate the existence of contagion effects defined by exogenous shifts in cross-country return correlations during crisis periods. Our results show evidence of contagion from the U.S. to U.K., Japan, France, and Italy during the crisis started in 2007–08.

Timely Indices for Residential Construction Sector

We propose search engine query data-based indices for the Italian residential construction production. On-line data management tools and filters are described and a cointegrated vector autoregressive model is estimated in order to establish statistical significant relationships between Internet indicators and target series by official agencies. The proposed methodology can therefore fill the temporal gap in released publications and provides timelier indices for current unobserved trend-cycle dynamics.