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Article
Publication date: 13 May 2021

Lucia Gibilaro and Gianluca Mattarocci

This paper aims to examine the relevance of cross-border activity in the European banking sector, evaluating the role of differences in regulation to explain the level of…

Abstract

Purpose

This paper aims to examine the relevance of cross-border activity in the European banking sector, evaluating the role of differences in regulation to explain the level of interest in entering foreign markets.

Design/methodology/approach

The sample considers all banks in the European Union (EU 28) existing at year-end 2017, and information about the ultimate owners’ nationality to classify local and foreign banks is collected. The analysis provides a mapping of regulatory restrictions for foreign banks and evaluates how they impact the role of foreign players in the deposit and lending markets.

Findings

Results show that the lower are the capital adequacy requirements, the higher are the amounts of loans and deposits offered by non-European Economic Area banks and, additionally, the higher the probability of having a foreign bank operating in the country.

Originality/value

This paper provides new evidence on regulatory arbitrage opportunities in the EU and outlines differences among EU countries not previously studied.

Details

Journal of Financial Regulation and Compliance, vol. 29 no. 3
Type: Research Article
ISSN: 1358-1988

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Article
Publication date: 30 March 2020

Lucia Gibilaro and Gianluca Mattarocci

The paper aims to study the performance of crowdfunding REITs with respect to traditional REITs in order to evaluate the differences in the risk–return profile and their…

Abstract

Purpose

The paper aims to study the performance of crowdfunding REITs with respect to traditional REITs in order to evaluate the differences in the risk–return profile and their usefulness for a diversification strategy within the indirect real estate investments.

Design/methodology/approach

The paper considers the crowdfunding REITs introduced after the JOBS act in the United States and evaluates their performance and risk during the time period 2016–2018. Performance achieved by crowdfunding REITs is compared with other types of REITs in order to evaluate their usefulness for constructing an optimal portfolio strategy based on a standard mean variance approach.

Findings

Results show that the performance of crowdfunding REITs is more stable over time with respect to other REITs and the lack of correlation with traditional REITs may be exploited for constructing a more efficient diversified portfolio of indirect real estate investments.

Practical implications

Crowdfunding REITs have different performance with respect to standard REITs and, especially individual investors, may benefit from including this new investment opportunity in their portfolio.

Originality/value

The paper is the first study on the performance of the crowdfunding REITs that is evaluating their usefulness for a diversification strategy within the real estate sector.

Details

Journal of Property Investment & Finance, vol. 39 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

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Article
Publication date: 30 October 2018

Lucia Gibilaro and Gianluca Mattarocci

This paper aims to collect data from a unique database provided by LendInvest and to study the key differences in the lending features for the two types of lending solutions.

Abstract

Purpose

This paper aims to collect data from a unique database provided by LendInvest and to study the key differences in the lending features for the two types of lending solutions.

Findings

Peer-to-peer (P2P) loans are prevalently short-term financing solutions (bridge financing), and the size of the loan is above average of the market. The loan portfolio is normally more geographically concentrated with respect to the average for the overall market and the main geographical areas for P2P lending are not just the main markets served by traditional lenders. Areas served by P2P lending have a lower population income than the national average and are characterized by below-average real estate price performance.

Research/limitations/implications

The results support the hypothesis of a complementary relation between conventional and P2P lending, showing that the latter represents a solution that is servicing areas that, because of the lower value of the collateral and lower average income, do not have easy access to the traditional mortgage market.

Originality/value

The paper is a first empirical contribution on the analysis of the market served by P2P real estate lending financing solution.

Details

Journal of European Real Estate Research, vol. 11 no. 3
Type: Research Article
ISSN: 1753-9269

Keywords

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Article
Publication date: 12 February 2018

Lucia Gibilaro and Gianluca Mattarocci

This paper aims to analyse the exposure at default (EAD) in the event of multiple banking relationships to understand the differences with respect to solo banking…

Abstract

Purpose

This paper aims to analyse the exposure at default (EAD) in the event of multiple banking relationships to understand the differences with respect to solo banking relationships and forecast the banks risk exposure.

Design/methodology/approach

The paper uses a unique database provided by the Italian public credit register representative of the full Italian market before the financial crisis. The analysis compares different EAD risk proxies for debtors with unique and multiple banking relationships to underline the main differences among the two groups.

Findings

Results show that EAD forecast could be improved considering the existence of exposures with other lenders and banks that consider such type of information can reduce the risk of underestimating the risk exposure of a debtor.

Originality/value

The paper is the first attempt to model the EAD on the basis of the existence of multiple lending exposures. Results demonstrate a different lender’s risk exposure for debtors with multiple credit risk exposure and show the usefulness of the information about the overall system exposure in evaluating the risk exposure related to this type of customers.

Details

Journal of Financial Regulation and Compliance, vol. 26 no. 1
Type: Research Article
ISSN: 1358-1988

Keywords

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Article
Publication date: 8 May 2019

Lucia Gibilaro and Gianluca Mattarocci

The aim of the study is to provide evidence on the distress in the supply chain and its impact on the trade credit policy, firms’ performance and risk and their growth…

Abstract

Purpose

The aim of the study is to provide evidence on the distress in the supply chain and its impact on the trade credit policy, firms’ performance and risk and their growth opportunities. Trade credit creates a strict relation between suppliers and customers that cannot be easily substituted over time. The linkages established between firms in a supply chain are a key value added for all members that could represent a competitive advantage over independent market players. In the event of a supply chain disruption, all members could suffer from a decrease in profitability and an increase in risk. Nonetheless, no empirical evidence exists on the expected economic and financial effects on pertinent suppliers and customers.

Design/methodology/approach

This paper examines the US market and evaluates the impact of a supply chain member’s default on the other members, looking at both the customers’ and suppliers’ default. The sample considers all firms in the USA disclosing entry into bankruptcy proceedings through EDGAR filings that were not classified as financial intermediaries between 2012 and 2016. The analysis considers the effect of distress on the supply chain (suppliers or customers) on the trade credit policy, performance, risk and growth perspectives of connected firms.

Findings

The results show that a supply chain disruption not only modifies the trade credit policy but also affects firm risk and profitability and the financing sources available to support firm growth. Empirical evidence shows that the bankruptcy of a member of the supply chain affects the trade credit policy of all the other members. The costs related to default are economically and financially relevant to all supply chain members and affect the resiliency of the supply chain beyond the short term.

Originality/value

This paper uses an original and innovative database to empirically test the impact of corporate distress on supply chain financing, performance, risk and growth opportunities.

Details

Supply Chain Management: An International Journal, vol. 24 no. 4
Type: Research Article
ISSN: 1359-8546

Keywords

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Article
Publication date: 3 October 2016

Lucia Gibilaro and Gianluca Mattarocci

This article aims to analyze the performance and risk of landmark building in the housing sector and to evaluate their usefulness for a diversification strategy.

Abstract

Purpose

This article aims to analyze the performance and risk of landmark building in the housing sector and to evaluate their usefulness for a diversification strategy.

Design/methodology/approach

After comparing summary statistics on the performance of landmark building with respect to other types of housing investments, the article evaluates their usefulness for a diversification strategy. The role of landmark buildings is studied using the modern portfolio theory and evaluating the role of this type of asset in the optimal asset allocation. The analysis is performed considering both the risk/return trade-off in a one-year and a multiple-year time horizon.

Findings

The results show that a landmark building can be a good investment opportunity, especially for high-risk/return investors. A not perfect correlation of the returns of this asset class with other types of housing investments implies the existence of a minimum investment in this asset class for almost all portfolios on the efficient frontier. Results are robust with respect to the length of the investment time horizon.

Originality/value

The article presents a unique analysis of intra-housing market diversification opportunities focusing on the role of landmark building in the portfolio construction. Empirical evidence supports the hypothesis that real estate investors can take advantage of investing in landmark buildings in the residential sector as well because there are no reasons to limit such investments to trophy buildings in the office and commercial sectors.

Details

International Journal of Housing Markets and Analysis, vol. 9 no. 4
Type: Research Article
ISSN: 1753-8270

Keywords

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Article
Publication date: 17 August 2018

Umberto Filotto, Claudio Giannotti, Gianluca Mattarocci and Xenia Scimone

The purpose of this paper is to evaluate the impact of macroeconomic condition and real estate price trend on the amount of residential loan.

Abstract

Purpose

The purpose of this paper is to evaluate the impact of macroeconomic condition and real estate price trend on the amount of residential loan.

Design/methodology/approach

The paper using a sample of 16 European Countries for the time period 2007–2015 evaluates the impact of change in the gross domestic product (GDP) growth and the inflation rate on the amount of residential loans. The analysis is performed by using a vector autoregressive (VAR) and generalized VAR approach for the full sample and for each country considered.

Findings

For a short-term horizon, shocks to mortgages, the house price index (HPI) and the GDP have a positive effect on the GDP, a shock to the amount of mortgages has a positive effect on the mortgage supply and a shock to the GDP has a negative effect on HPI. The main results for the long-term horizon are that a GDP shock has a positive and persistent effect on the amount of mortgages, a shock to HPI has a negative and persistent effect on mortgages and a shock to the amount of mortgages seems to have no persistent effect on the GDP or the HPI. Moreover, the analysis shows that a spillover risk among countries exists and a GDP shock in a European area has an effect on the GDP, real estate prices and residential mortgages in almost all European countries.

Practical implications

Results obtained show that both macroeconomic and housing prices shocks matter for the real estate lending and the effect are different in the short- and in the medium–long-term horizon. Results are also different country by country and they are affected by the level of financial development of the country.

Originality/value

The paper studies a lending crisis period and evaluates for the European market the impact of shock on macro-variables for mortgages focusing the attention for the first time only on residential mortgages.

Details

Journal of Property Investment & Finance, vol. 36 no. 6
Type: Research Article
ISSN: 1463-578X

Keywords

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Article
Publication date: 5 May 2015

Gianluca Mattarocci and Georgios Siligardos

The overall performance of real estate funds can be ascribed to capital appreciation and/or income return. The Italian property funds market has grown significantly over…

Abstract

Purpose

The overall performance of real estate funds can be ascribed to capital appreciation and/or income return. The Italian property funds market has grown significantly over the past few years; however, little is known about the key drivers of property fund performance. The purpose of this paper is to measure the impact of two sources of funds’ performance and identify their relevance during the financial crisis.

Design/methodology/approach

The paper considers the Italian market in the last decade and analyses the annual reports of public real estate funds, separating appraisal returns from income returns. By considering a wide time horizon, it evaluates if the roles of income returns and capital gains with respect to overall performance are more or less influenced by fund characteristics, such as asset diversification, concentration, and leverage.

Findings

The contribution of income return and capital growth are not strictly related to the overall performance of Italian real estate funds, with a significantly lower correlation during the global financial crisis. Furthermore, the main drivers of the two income sources are not strictly comparable.

Originality/value

The paper presents the first analysis on the source of income return for the Italian real estate funds and it represents one of the few studies that considers the effect of the financial crisis on European indirect real estate investments, capital appreciation and income return.

Details

EuroMed Journal of Business, vol. 10 no. 1
Type: Research Article
ISSN: 1450-2194

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Article
Publication date: 17 July 2009

Claudio Giannotti and Gianluca Mattarocci

The purpose of this paper is to define an approach useful to evaluate real estate funds on the specific characteristics of the Italian market and on the basis of…

Abstract

Purpose

The purpose of this paper is to define an approach useful to evaluate real estate funds on the specific characteristics of the Italian market and on the basis of international best practices.

Design/methodology/approach

The first step is to identify specific factors and portfolio construction choices that could impact directly on the variability of inflows and outflows related to real estate fund. The analysis is realised constructing standard measures of financial and downside risk and identifying a panel model that allows to explain risk measure dynamics on the basis of some investments and portfolio characteristics. Results obtained are tested with an out of sample procedure in order to evaluate the type of misclassification risk related to each model. The second step is to evaluate the impact of debt policy on the risk assumed by a real estate funds. After an analysis of debt sustainability for each real estate unit on the basis of deadlines and amount of flows related to each investment, the study proposed looks directly at the debt policy of listed real estate funds: the analysis is aimed to evaluate the relationship between leverage choice and inflows/outflows variability and the coherence between declared results and expected results for high‐leveraged funds respect to the others.

Findings

The results stemming from the use of a real estate database supplied by Beni Stabili Gestioni Società di Gestione del Risparmio showed that the portfolio's construction choice impacts strongly on the variability of results of a real estate fund. The strict linkage between characteristics of debt and type of property makes difficult to evaluate the additional risk related to debt choice but on the basis of Italian market data are possible to point out the higher difficulties for high‐leveraged funds to achieve the result communicated to the market (the so‐called target IRR).

Originality/value

The value added of the paper is to study the relevance of specific risk factors respect to portfolio's ones in the evaluation of risk exposure for a real estate portfolio and the impact of the leverage choices on the variability of inflows and outflows related to the real estate investments.

Details

Journal of European Real Estate Research, vol. 2 no. 2
Type: Research Article
ISSN: 1753-9269

Keywords

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Article
Publication date: 27 April 2010

Claudio Giannotti, Gianluca Mattarocci and Luca Spinelli

The purpose of the paper is to compare the role of the sector and geographical features in explaining the performance of a hotel structure.

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Abstract

Purpose

The purpose of the paper is to compare the role of the sector and geographical features in explaining the performance of a hotel structure.

Design methodology/approach

The paper constructs a measure of net profit for available room (GOPPAR) for a representative sample of Italian hotels and uses a constrained linear regression model in order to identify the role of sectoral and geographical features. The analysis is released adopting a multiple cross sectional approach and considering not only the average role of sectoral and geographic characteristic, but also the time trend of relation inspected.

Findings

Results obtained show that the overall national trend is not significant for explaining the performance of each hotel. Considering geographical and sectoral features, the first of these explain better the disalignment of the performance respect to the national average.

Research limitations/implications

The paper proposes an analysis of the hotel industry using a standard geo‐sectoral classification. More data about the characteristics of the firms considered in the sample could allow to define a more detailed model that consider also other hotel features that could impact on the demand and supply of the service.

Practical implications

Results could be useful for the hotel chains and for institutional investors specialized in the hotel sector, in order to define a first guideline for the property selection process and diversification portfolio strategy.

Originality/value

The paper represents the first work that analyse the role of regional and sectoral factors in explaining the performance of the hotel industry and supports the thesis proposed with and empirical evidence on world leading market (Italy).

Details

Journal of Property Investment & Finance, vol. 28 no. 3
Type: Research Article
ISSN: 1463-578X

Keywords

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