Marina Brogi

Critical Mass Theory and Women Directors' Contribution to Board Strategic Tasks

In this article we offer an empirical test of the critical mass arguments in the discussion of women on corporate boards. The literature in the women on corporate board debate concludes that there must be at least three women on a board before the women really make a difference. These arguments are frequently used in the public debate about the understanding the impact of women on corporate boards, but they have never really been empirically tested on a large sample. In this paper we use a sample of 317 Norwegian firms. Our dependent variable is board strategic involvement. The findings support the critical mass arguments. This study offers useful insights to policy-makers interested in defining legislative measures mandating the presence of women directors in corporate boards by showing that “at least three women” may be particularly beneficial in terms of contribution to board strategic tasks.

Bank Profitability and Capital Adequacy in the Post-crisis Context

Bank capital adequacy is the key driver of a resilient banking system that is capable of absorbing shocks. Consequently, Basel III regulation raised the quality and quantity of the regulatory capital base. But are better capitalized banks perceived as less risky by the market? In other words, how do banks’ capital bases impact the riskiness of their equity? Does the market also consider leverage, asset quality and profitability? In our work, we aim to address these issues, analysing a sample of large European listed banks (those under ECB supervision) for the 2007–2013 period. We expect to find that bank equity return riskiness is influenced by capital adequacy and, in turn, by how higher capital ratios have been achieved: through profitability, retained earnings, new share issues or deleveraging (i.e., lower total assets and/or risk weighted assets).

SME Sources of Funding: More Capital or More Debt to Sustain Growth? An Empirical Analysis

This chapter investigates funding sources available to SMEs as a means of understanding whether difficulties in accessing bank credit stem from the characteristics of the SMEs applying for financing. Based on creditworthiness measures applied to over 500,000 yearly financial statements of euro area SMEs in the 2006–2014 period, we find that the credit crunch experienced by SMEs stems from excessive leverage requirements. However, our analysis shows that more equity is necessary for growth and confirms that an expansionary monetary policy, even based on extremely low or negative interest rates, may not lead to more credit being extended to smaller companies if they are already highly geared; and that a successful policy must be complemented by interventions aimed at improving SME’s access to equity finance.

Option Implied Measures of Systemic Risk in the US Financial Sector: Operator and Quadrature Measures of Extreme Events

Eigenfunction and quadrature methods have been extensively used in asset pricing to define forward looking pricing measures. In contrast, their use in generating systemic risk measures has been limited. Most uses of forward looking volatility models in systemic risk calculations have focused on using at-the-money Black-Scholes implied volatilities or eschewed derivatives based measures completely for parametric and semi-parametric models such as those from the GARCH family. With the advent of high frequency options panels we document a battery of measures that could be constructed and applied to the measurement of systemic risk, these include computationally intensive measures of cubic and quartic correlations. We outline the calculation of each measure and then present a useful library of statistical properties and stylized facts to allow macro-prudential policy makers to complement their existing risk measures.