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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

Content available
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

Keywords

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Article
Publication date: 8 March 2011

Claudio Giannotti, Lucia Gibilaro and Gianluca Mattarocci

The purpose of this paper is to compare banks specialised on real estate lending with the overall market in order to the test if they are more or less exposed to liquidity risk.

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Abstract

Purpose

The purpose of this paper is to compare banks specialised on real estate lending with the overall market in order to the test if they are more or less exposed to liquidity risk.

Design/methodology/approach

Following the approach proposed by the Basel Committee in order to evaluate the bank liquidity exposure, the paper compares the value of these measures between the real estate lending banks (REBs) and all other banks for the Italian market. A panel regression analysis is also performed in order to identify the main drivers of the liquidity risk measures for the two types of banks.

Findings

The paper finds that no significant differences exist between REBs and the overall system if liquidity risk measures used by regulators in order to supervise the banking system are taken into account. Normally liquidity exposure by this type of bank is significantly affected by interbank market dynamics.

Research limitations/implications

The paper considers only one market in order to test the fitness of the regulatory approach for the REBs and does not take into account the off balance sheet exposure.

Practical implications

Even if REBs suffer from a misalignment between the asset and liability duration, the supervisory authority selects measures that do not penalise them.

Originality/value

The paper represents one of the first empirical analyses on the impact of regulatory requirements for liquidity management by the Basel Committee in order to test if the rules proposed could penalise banks specialised in real estate loans.

Details

Journal of Property Investment & Finance, vol. 29 no. 2
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 14 June 2011

Lucia Gibilaro and Gianluca Mattarocci

The aim of the paper is to study the degree of independence of customers' portfolio concentration measure from the pricing policy adopted by rating agencies.

Abstract

Purpose

The aim of the paper is to study the degree of independence of customers' portfolio concentration measure from the pricing policy adopted by rating agencies.

Design/methodology/approach

The paper tests different measures of customers value (revenues or profits and customer lifetime value) and different concentration measure (top customer or Herfindahl‐Hirschman index) on the customers' portfolio of rating agencies in the time period 1999‐2008. Simulating different pricing models, the paper tests the sensitivity of these measures to discounted fees applied to best customers and identifies measures that are more and less sensitive to the discount applied.

Findings

Concentration measures that consider all the customers' portfolios and look at both cost and revenues related to the service on a multi‐period time horizon (CLV) are less sensitive to the discount policy respect to the others.

Research limitations/implications

Results point out some opportunities related to apply more complete approaches defined by marketing science on the financial service industry in order to construct better measures for the economic independence. The paper works only with publicly available data and more details about the fee applied to each customer could increase the significance of the results achieved.

Practical implications

The paper contributes to the current debate on the economic independence of rating agencies stressing the opportunity of rethinking the measures on economic independence that are currently considered by supervisory authorities.

Social implications

The paper is the first empirical application of standard marketing concepts of customers' concentration measure to the rating industry.

Originality/value

The paper studies the pricing policies adopted by ratings agencies.

Details

International Journal of Bank Marketing, vol. 29 no. 4
Type: Research Article
ISSN: 0265-2323

Keywords

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Article
Publication date: 23 October 2009

Claudio Giannotti and Lucia Gibilaro

The minimization of financial losses and costs stemming from the credit recovery process is strictly connected with the time necessary to complete the procedure: in real…

Abstract

Purpose

The minimization of financial losses and costs stemming from the credit recovery process is strictly connected with the time necessary to complete the procedure: in real estate credits, it depends on the liquidity and the efficiency of the enforcement procedures. The purpose of this paper is to test the relevance of the economic cycle in Italy on the determinants of the recovery process both at national and regional level.

Design/methodology/approach

The first step is to identify the determinants of the real estate loans recovery process duration by the means of the review of the existing literature. The second step develops an empirical analysis to appraise the relevance of the economic cycle on the liquidity of the real estate market and efficiency of real estate enforcement proceedings. The relevance of the economic cycle is verified through, first, a correlation analysis of the selected indexes with the national and regional gross domestic product (GDP) and, second, a regression analysis of the selected indexes on the current and lagged GDP. As it concerns the liquidity of the real estate market, a turnover index is considered stratified both at sectoral and geographical level, while for the real estate enforcement procedures the paper analyzes indexes based on both the turnover of ended and filed proceedings and the pending proceedings outstanding at the year‐end.

Findings

The empirical results demonstrated that, in some sectors and geographic areas, the market liquidity is influenced by the national and the regional economic cycles, both expressed at current values and, moreover, the sign of the relationship is frequently negative. As it concerns the enforcement procedures efficiency, empirical evidence does not support the direct influence of the current or past economic cycle on it, leaving room for the relevance of the competent court specific features.

Originality/value

The paper considers the Italian market, that is featured by a moderate level of the average loan to value and, above all, by lengthiness administrative procedures. The paper contributes to the existing literature through the integrated examination of the relationship between the recovery process determinants and the national and regional economic cycles over different geographic areas.

Details

Journal of European Real Estate Research, vol. 2 no. 3
Type: Research Article
ISSN: 1753-9269

Keywords

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