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Working Papers

This section includes Carefin's working papers and research reports, as well as papers and reports produced by the centre's predecessors (Newfin, Cerap and Pension Forum).

To access details for a working paper you need to register to our site. Registration is free and fast: just click on "Registration" under the "Registered Users" headline in the right-hand column of this page and fill in a short form as requested. If you have already registered with Carefin, just make sure you are logged in before you try to access details for working papers.

Please note that the most recent paper's are reserved to Sponsors for the first six months. Six months and one day after their release, they will become publicly available on this site. However, all users can access the "Sponsors Only" section to view an abstract of the most recent papers.

The Exchange Industry Evolution And The Impact Of Mifid II
Author: M. Geranio
This work aims to illustrate the strategies played by major world exchanges in recent years. Furthermore, it attempts to prospect the possible evolution of the exchange industry in the near future, as the implementation of new regulations will lead to new threats and opportunities for all types of trading venues active on all kinds of asset classes.
Money Doctors
Author: N. Gennaioli, A. Shleifer, R. Vishny
We present a new model of investors delegating portfolio management to professionals based on trust.
Bailouts And Moral Hazard: How Implicit Government Guarantees Affect Financial Stability
Author: M. Mariathasan, O. Merrouche, C. Werger
The recent crisis has shown that systemically relevant banks in distress are likely to benefit from governmental support. This reduces their downside risk and leads to moral hazard, i.e. to incentives for these banks to assume excessive risks. In this paper we show empirically that implicit guarantees lead to more leverage and to a lower quality of bank capital; furthermore, we investigate which institutional characteristics are associated with a reduction in moral hazard. Our analysis combines bank balance sheet information from 92 countries with Fitch Support Ratings and World Bank survey data on governance and regulation.
Deleveraging and derisking strategies of European banks: business as usual?
Author: S. Caselli, S. Gatti, F. Querci
Using a multi-country panel of banks observed over the 2008-2012 period, we study the measures adopted by European banks to improve their capital ratios.
Maintaining Adequate Bank Capital: An Empirical Analysis of European Banks
Author: M. J. Flannery, E. Giacomini
During the recent financial crisis, many large banks’ losses were absorbed by their sponsoring governments, despite the fact that these banks complied with Basel standards for “adequate” capital. We illustrate a serious supervisory problem by demonstrating that large European banks’ reported regulatory capital measures often far exceeded their loss-absorbing capacity during 1997-2011.
Corporate Restructuring through Asset Sales:Does it Create Value for Selling Shareholders? Empirical Evidence from European Data
Author: S. Gatti, L. Spotorno
This paper aims at establishing if asset sales in a sample of listed Continental European sellers create or destroy value for their shareholders by linking the sale proceeds, the declared use of them by the seller’s management and the consequences of that on shareholders’ value.
Competition, Efficiency and Soundness in European Life Insurance Markets
Author: M. Rubio-Misas, D. Vencappa
This paper provides cross-country evidence on the association between soundness and competition in the life insurance industry where competition is measured by the Boone indicator.
"Know Thy Competitor, Know Thyself?" First Evidence from Banks in Emerging Europe
Author: R. De Haas, L. Lu, S. Ongena
We use unique data from face-to-face interviews with over 350 bank CEOs in emerging Europe to provide evidence on the drivers of competition between individual banks and its impact on firms’ access to credit.
Can Founding Liquidity and Market Spillovers Help Forecast the Dynamics of Implied Volatility Surfaces? Evidence from Equity Index Options
Author: M. Guidolin, L. Longo, F. Saita
We investigate whether funding liquidity and market spillover variables can improve predictions of implied volatility surfaces.
The Impact of Rating Changes on Stock Markets: Evidence from U.S. Insurance and Reinsurance Firms
Author: M. Guidolin, A. Milidonis, S. Paci
This paper analyzes the reaction of U.S. listed insurance and reinsurance companies to Insurer Financial Strength rating changes.

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