Giacomo Nocera

Audencia Business School | AUDENCIA · Department of Finance

Banks are expected to play a key role in assisting the real economy with the green transition process. One of the tools used for this purpose is the issuance of green bonds. We analyze the characteristics of banks that issue green bonds to understand: (i) which banks are more likely to resort to these funding instruments, and (ii) if the issuance o...

Theories suggest that asset encumbrance, the ring-fencing of certain assets for protected debtholders, can affect banks’ risk-taking and lead to funding instability. We test these hypotheses using a unique, hand-collected dataset on outstanding covered bonds issued by a sample of listed European banks. Our results suggest that the effect of asset e...

Our hand-collected sample of 298 U.S. SPACs reveals that the modal SPAC CEO is a 50-year-old male MBA graduate with substantial financial expertise. In accordance with signaling theory, greater reputation gained through prior CEO experience in public companies is linked to larger SPACs. As the IPO process continues, the CEO’s financial expertise be...

Using data on Italian pension funds, we investigate the impact on investment performance of some relevant features of the way the investment activity is organized. We find that a higher degree of specialization of the investment mandates increases active risk, but a corresponding increase in active return occurs only when plan sponsors are inclined...

The European insurance market has undergone major changes over the past couple of decades, which have created new opportunities but also a lot of challenges and threats for insurers in Europe. In this study, we focus on non-life insurance companies in Europe, over the period 2000–2012, and employ a data-driven multidimensional approach to assess th...

In this chapter, we summarize the main results of a recent empirical research concerning European banks. We first explore the main drivers of the differences in risk-weighted assets (RWAs) across a sample of fifty large European banking groups. We then assess the impact of RWA-based capital regulations on those banks' asset allocations in 2008-14....

Focusing on the art market, where auction houses act as brokers between art sellers and buyers, we investigate whether more experienced brokers achieve better performance as information providers and matchmakers. We use a unique data set of auctions of Italian paintings in various houses around the world, and we measure experience as the number of...

Population-wide increase in life expectancy is a source of aggregate risk. Longevity-linked securities are a natural instrument to reallocate that risk. This paper extends the standard Campbell–Viceira (2005) strategic asset allocation model by including a longevity-linked investment possibility. Model estimation, based on prices for standardized a...

Focusing on the art market, where auction houses act as brokers between art sellers and buyers, we investigate whether more experienced brokers achieve better performance as information providers and matchmakers. We find that houses with artist‐specific experience are more likely to achieve a sale and provide more precise pre‐sale estimates. These...

Using data on more than 5,000 mutual funds domiciled in four European countries in 2006, we investigate whether distribution costs embedded into the expense ratio can be held responsible for the differences of expense ratios of mutual funds in different countries. We confirm the existence of relevant country effects in the pricing of mutual fund ma...

This paper proposes a framework to evaluate the impact of longevity-linked securities on the risk-return trade-off for traditional portfolios. Generalized unexpected raise in life expectancy is a source of aggregate risk in the insurance sector balance sheets. Longevity-linked securities are a natural instrument to reallocate these risks by making...

Using data on more than 5,000 mutual funds domiciled in four European countries in 2006 we investigate whether distribution costs embedded into the expense ratio can be held responsible for the differences of expense ratios of mutual funds in different countries. We confirm the existence of relevant country effects in the pricing of mutual fund man...

We use cross-country data on a sample of large European banks to evaluate the impact of government ownership on bank risk. We distinguish between default risk (likelihood of creditors’ losses) and operating risk (likelihood of negative equity). Our analysis is based on the joint use of issuer ratings, a synthetic measure of a bank’s probability of...

One of the most relevant information sources in the art market is the price estimate provided by auction houses, Art experts are regarded as providing additional valuable information to market participants: pre-sale estimates could be useful reference points for any art valuation process and should drive operators’ investment and divestment decisio...

We use cross country data on a sample of 210 large Western European banks during the ten year period from 2000 to 2009 to evaluate the impact of government ownership on bank risk and lending activity across the economic and political cycles. Three main results emerge from our analysis. First, government-owned banks have a lower default risk but hig...

We investigate how the link between bond spreads and credit ratings is affected by the credit cycle. Using a simple model of the credit assessment process, we show that when the debt market is more opaque, the information content of ratings becomes poorer, creating an incentive for investors to increase the amount spent on private information. We t...

We use cross country data on a sample of 210 large Western European banks during the ten year period from 2000 to 2009 to evaluate the impact of government ownership on bank risk and lending activity across the economic and political cycles. Three main results emerge from our analysis. First, government-owned banks have a lower default risk but hig...

We empirically examine the impact of ownership concentration on risk-taking in an international sample of large listed banking firms from 28 countries over the 2001-2008 period. We find a non-linear relationship between the fraction of shares held by the first shareholder and various risk measures (z-score, CDS spread, stock price volatility, resid...

We evaluate the impact of government ownership on the issuer and individual ratings of a sample of 224 large European banks over the 1999-2004 period. Individual ratings differ from traditional ones in that they focus on banks' economic and financial conditions and do not take into account any external support from banks' owners, local or national...

As the size of the art market increases and a growing number of investors are attracted by the high returns, the amount and quality of information available to market participants becomes increasingly relevant, especially for less experienced investors. One of the most relevant information sources in the art market is the price estimate provided by...

We compare the performance and risk of a sample of 181 large banks from 15 European countries over the 1999–2004 period and evaluate the impact of alternative ownership models, together with the degree of ownership concentration, on their profitability, cost efficiency and risk. Three main results emerge. First, after controlling for bank character...