Fabrizio Palmucci

IPO Underpricing: A Liquidity Based Explanation

The underpricing of initial public offerings (IPOs) is a deeply investigated phenomenon, commonly explained with asymmetric information and risk. Ellul and Pagano (2006) first linked the underpricing with liquidity proxies like liquidity risk and effective spread. In this paper I propose a different liquidity based framework which compares an IPO to a large sell-initiated block trade, and the underpricing to the price pressure effect of the trade itself, which means the price for the liquidity “bought” by the seller. As a result, we should expect this price to be lower (higher) for more (il)liquid stocks. The framework is supported by empirical results for a sample of Italian IPOs, where underpricing is negatively related with several liquidity measures after controlling for the oversubscription level and other usual explanatory variables in IPO studies.

Analisi di sensitività al tasso di cambio: un’informazione utile per gli investitori?

Il lavoro analizza gli effetti dell’entrata in vigore dell’IFRS 7, emanato dallo IASB con lo scopo di aumentare l’informazione sull’esposizione delle imprese ai rischi di mercato. La nostra ricerca indaga l’utilita per gli investitori dell’analisi di sensitivita al rischio di tasso di cambio fornita dalle societa quotate italiane. I risultati mostrano che prima dell’introduzione dell’IFRS 7 il mercato stimava erroneamente l’esposizione al tasso di cambio, mentre successivamente la sensitivita dei rendimenti al tasso di cambio sembra allinearsi con le esposizioni dichiarate. Dall’analisi, inoltre, emerge che l’informazione sull’esposizione riduce la sensitivita dei volumi al tasso di cambio. I nostri risultati integrano la letteratura statunitense fornendo evidenze di come un’analisi di sensitivita anche backward-looking sia utile al mercato.

MEASURES OF MARKET REACTION IN MERGERS AND ACQUISITIONS IN ITALY

This paper presents an event study on mergers and acquisitions (M&A) between publicly listed Italian banks. Our study suggests that previous literature may have only partially captured the market reaction by choosing the announcement date as the event date. In less efficient markets the announcement date can be too late to allow the market reaction to be recorded, especially where information has been previously leaked. Using the rumour date and other event windows we can show that there is a portion of market reaction which has not been captured by previous research. Moreover, we are also able to present evidence of other characteristics affecting market reaction to M&A in the Italian banking sector.