Gianluca Mattarocci

Gianluca Mattarocci
University of Rome Tor Vergata | UNIROMA2 · Dipartimento di Management e Diritto

PhD, MSc
Associate professor of Banking, Visiting professor of Corporate Finance, Director of the master in Real Estate Finance

About

147
Publications
22,868
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249
Citations
Citations since 2016
58 Research Items
173 Citations
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20162017201820192020202120220102030
Introduction
Gianluca Mattarocci currently works at the Dipartimento di Management e Diritto, University of Rome Tor Vergata. He is associate professor of Banking at the University of Rome Tor Vergata and visiting professor Athens University of Economics and Business. His research interests are Credit Risk Management, Real Estate, and Corporate Finance.
Additional affiliations
June 2017 - present
University of Rome Tor Vergata
Position
  • Professor (Associate)
Description
  • Main courses: Corporate Finance (undegraduate - Italian language) Corporate Finance (Master of Science - English language) Credit Portfolio Management (Master of Science - Italian language)
February 2017 - June 2017
University of Rome Tor Vergata
Position
  • Professor
October 2016 - present
LUISS Business School
Position
  • Managing Director
Education
November 2002 - June 2006
University of Rome Tor Vergata
Field of study
  • Banking and Finance
November 2001 - October 2002
University of Rome Tor Vergata
Field of study
  • Asset Management
November 1997 - November 2001
University of Rome Tor Vergata
Field of study
  • Economics

Publications

Publications (147)
Chapter
Real estate investment requires time managing the assets owned to maximize achieved results. Real estate management activities are based on the information collected, professionals and companies that can help manage the asset, and the medium- and long-term strategy defined for each asset owned.This chapter focused on proptech’s services that can be...
Chapter
Fintech companies represent the new frontier of financial intermediation worldwide. The real estate market is one of the more attractive industries in which the new players can compete with the traditional financial institutions.This chapter considers both equity and debt crowdfunding. It points out the main differences concerning traditional finan...
Chapter
Proptech companies are not comparable to traditional real estate companies due to the smaller size, the lower initial capital investment, the different business models, and the different economic and financial equilibrium.This chapter analyzes a complete set of companies active in the proptech industry and compare indexes computed for firms special...
Chapter
Real estate transactions suffer from a lack of transparency and liquidity, making the investment riskier from the investors’ point of view. Technology has radically improved the quality of the service that companies may provide for supporting real estate trades and reduced the time on the market of real estate assets.The chapter discusses the real...
Chapter
The proptech industry is a fast developing area that is radically changing one of the most important sectors in all the developed countries’ real estate. Technology innovation is not expected to slow down in the following years, so the new players will also have a higher probability of being innovative in the future.The analysis provided in the boo...
Chapter
Proptech history started in the 80s when technology and the World Wide Web entered the real estate market for the first time. During the last decades, new instruments and solutions were developed, and nowadays, the proptech segments and business models are frequently changing to adapt to the latest market scenario.This chapter presents the evolutio...
Article
Full-text available
Supply chain risk is a strategic issue for managing multinational companies, and Covid-19 has shown the relevance of this type of risk for the firm’s survival probability. The market may perceive the choice of replacing some of the main customers or suppliers as an increase or a decrease of the risk based on the features of the new supply chain mem...
Article
Despite the poor value delivered, institutional investors prefer to invest in FOHFs because of diversification opportunities they offer. During the last decade the exposure of institutional investors to FOHFs has increased strongly, inside the hedge funds industry because of diversification opportunities despite the poor value they deliver. Even th...
Article
La crisi pandemica ha stravolto il modo di vivere dei cittadini modificando l'ordine di priorità degli individui nelle loro scelte di investimento immobiliare e ha messo in evidenza i problemi dello sviluppo immobiliare degli ultimi decenni, che ha privilegiato la location rispetto alla qualità dell'immobile, spesso inseguendo modelli insediativi i...
Article
Real estate investment trusts (REITs) are frequently considered an investment opportunity for institutional investors due to their above-average returns with respect to other financial instruments. Due to the unique characteristics of the real estate market, geographically specialized (home-biased) REITs can normally benefit from higher-quality inf...
Article
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...
Article
Full-text available
Credit risk exposure evaluation is driven by the quality of the information available on the debtors and customers with multiple lending exposures, which could be evaluated differently by different lenders. The existence of an information asymmetry among lenders can be mitigated using private information sharing instruments, such as the credit regi...
Article
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 af...
Article
Starting from 2008 the real estate crisis changed the approach to the development and transformation of urban areas more than many urban planning tools, effectively regulating the development and transformation of urban areas. In the new scenario, the role of the State and public institutions for driving the transformation of cities has gradually d...
Article
Il Single Resolution Mechanism (Srm) rappresenta il secondo pilastro dell’Unione Bancaria che ha uniformato la procedura di gestione delle crisi bancarie tra i Paesi dell’Unione europea. La normativa ha previsto la creazione di un nuovo organismo sovranazionale (Single Resolution Board o Srb) che deve coordinarsi con le singole Autorità Nazionali (...
Chapter
Full-text available
The real estate industry was severely a!ected by the COVID-19 in both the residential and the commercial sectors due to travel and site-visit limitations, rent sustainability issues and a decrease of or higher uncertainty about disposable income. During the lockdown, houses became more important and were analysed in depth. It can be assumed that a...
Article
Financial intermediaries have increased the number of Npes sales in the secondary market. The sale of credits at values lower than their gross book value makes the investment appealing for high risk profile investors, with a rising number of Alternative Investment Funds and of funds specialized on indirect credit. The article proposes a snapshot of...
Article
Il mercato immobiliare negli ultimi anni ha subito profondi cambiamenti legati ai cambiamenti della domanda e dell’offerta guidati dall’utilizzo della nuova tecnologia per l’offerta di servizi alla clientela. Le innovazioni hanno interessato la fase di negoziazione, la fase di gestione degli immobili (in locazione o di proprietà) e la fase di finan...
Article
Full-text available
La política europea de los años 90 sobre la liberalización ferroviaria, para promover una red de infraestructura moderna para el transporte ferroviario, tenía como objetivo como objetivo aumentar la competición entre los actores nacionales, aprovechar de las oportunidades relacionadas con las nuevas tecnologías y hacer más fáciles y rápidas todas l...
Chapter
South Asian countries show significant differences in real estate market trends and mortgage lending dynamics that make them unique worldwide. Banks specialized in real estate loans to households in these countries could be exposed to different risks from the rest of the world that could affect their risk of bankruptcy or their policy on nonperform...
Article
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...
Article
Closed-end real estate funds (REMFs) are indirect real estate investment vehicles, traded in markets worldwide, that are considered an alternative to real estate investment trusts for indirect investments in the real estate market. REMFs are subject to a fixed time constraint that managers must consider in their portfolio management strategy to be...
Article
Using a transaction price database, in this paper we evaluate the economic effect of abandoned and derelict real estate areas on housing prices in Milan Italy from 1993 to 2016. We find that brownfields are widespread throughout Milan, with larger abandoned and derelict areas prevalent in the suburbs. Standard hedonic price models show that nearby...
Article
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...
Article
Full-text available
L’assetto della vigilanza a livello europeo sta attraversando una fase di cambiamento legata all’implementazione del Single Supervisory Model e al trasferimento di parte delle attività di vigilanza dalle Autorità nazionali alla Bce. L’adozione del nuovo modello di supervisione si differenzia rispetto alle pratiche adottate dalle Autorità nazionali...
Article
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...
Article
Full-text available
Real estate investment trusts (REITs) frequently collect new financial resources by issuing new shares and bonds or requesting for new loans to finance their investment policy. Due to the low transparency of the market, the success and the cost of financing are significantly affected by the reputation and the guarantee offered by the syndicated con...
Article
Full-text available
Real estate investment trusts (REITs) frequently collect new financial resources by issuing new shares and bonds or requesting for new loans to finance their investment policy. Due to the low transparency of the market, the success and the cost of financing are significantly affected by the reputation and the guarantee offered by the syndicated con...
Article
Full-text available
Il mercato dell’intermediazione immobiliare in Italia si caratterizza per la presenza di un numero molto elevato di operatori attivi soprattutto nel segmento residenziale e negli ultimi anni si sono affacciati sul mercato anche degli operatori indipendenti appartenenti a gruppi bancari. Gli operatori di matrice bancaria presentano caratteristiche d...
Article
Commercial real estate is growing faster in Italy and during the last years it reached the peak of € 11 billion of investments. Investors are currently looking for all the different asset classes characterised by different performance. In the last years the market has tried to satisfy the growing demand for new opportunities in not traditional asse...
Article
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...
Book
Full-text available
This book provides a complete analysis of the logistic market, with a special focus on performance and risk characteristics, demand and supply, and diversification strategy. The authors offer cutting-edge research and detailed case studies from countries in Europe, evaluating the market features of the logistic sector and its differences to alterna...
Chapter
Logistic real estate has unique features with respect to the other sector of real estate and it includes different type of assets that typically fit into distribution and storage purposes. This chapter presents a definition of logistic real estate market and provides the main differences among distribution centers, fulfilment centres, warehouses an...
Chapter
Focused REITs represent a significant share of the world REIT market and nowadays managers are moving from the investment only in the key sectors (like office, retail and residential) into new segments of the real estate market. The chapter considers REITs specialized in one type of real estate asset and compares the performance of those focused on...
Chapter
Diversified REITs invests in assets with performance not significantly correlated in order to obtain the advantages related to a diversification strategy. Logistics does not represent the main asset class in the portfolio of diversified real estate investment vehicles but a lot a REITs have an exposure on such asset class. This chapter considers di...
Chapter
On the basis of the international standards the value of logistic real estate can be measured following the cost approach, the sales comparison (market) approach, the income capitalization approach and the discounted cash flow. This chapter presents the standard criteria adopted for every type of real estate asset and describes the key issues relev...
Chapter
Logistics has unique features that distinguish it from other real estate assets and have an impact on the performance and the risk of the investment. Direct real estate investments in this type of assets have different performance with respect to other real estate asset classes and there are opportunities related to a diversification strategy. Indi...
Chapter
Inter-sector diversification in real estate is useful when different segments of the industry show performances that are not strictly correlated. Logistic real estate shows significant differences in the income return and the capital growth that may justify the inclusion of this asset class in a portfolio diversification strategy. The chapter studi...
Chapter
Real Estate Investment trust is currently moving from traditional real estate sectors (like office, retail and residential) to more specialized sectors that offer new investment opportunities characterized by a different risk-return profile with respect to standard asset classes. The interest for the logistic sector is increased over time for both...
Chapter
Cross selling is a standard approach adopted in the banking industry in order to maximize the expected revenues related to a banking relationship and residential real estate loans are one of the the main instruments used in order to look for new customers and establish a medium-long term relationship. This chapter compares trends in cross selling a...
Article
Purpose The paper aims to analyse 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 paper evaluate their us...
Article
Full-text available
The literature primarily focuses on the effect of changes on property prices in terms of macrovariables and monetary aggregates. Only a few studies have taken into account bank characteristics when considering the effects of real estate market trends on bank lending policies and performance, and there is no study that controls for the type of bank...
Article
Due to the unique features of each real estate investment opportunity, real estate investment trust (REIT) asset managers generally prefer to focus on domestic investments, for which they have more available information. While there is evidence of this trend in the U.S. market, there is little evidence in the rest of the world. In this paper, we ex...
Article
Full-text available
The Italian construction sector is characterised by a high exposure to the default risk and the last real estate crisis showed the usefulness of new and more complete risk evaluation methodologies for this type of real estate firms. The article aims to evaluate the sector’s risk using the rating methodology proposed by Moody’s in order to underline...
Article
Banking group affiliation could affect both the asset and liability side of the interbank exposure of a bank due to the strict relationship between all of the group’s members. Considering a representative sample of all of the main European banks for 2005-2010 timeframe, we study the relationship between interbank exposure (asset side, liability sid...
Article
Opaque assets can affect the stock price dynamics of banks due to the lower amount of information available in the market. Real estate is considered an opaque asset but there is no evidence of the impact of real estate exposure on stock price dynamics. In this paper, we evaluate the effect of real estate exposure on bank price synchronicity for len...
Chapter
The Markowitz theory (Markowitz, 1952) is the standard framework considered in the asset management industry, and the literature has already evaluated the usefulness of these approaches for the real estate industry. Due to the lack of normality of returns, the mean-variance approach used in the Modern Portfolio theory does not work properly in the...
Chapter
Portfolio investment choices can have a direct impact on the performance of any type of real estate investment vehicles (hereinafter REIV), and the effect could be even more important than other financial ratios of the instrument (like leverage, efficiency, etc.) (Redman and Manakyan, 1995). Literature focuses the attention on the role of different...
Chapter
Real estate is a heterogeneous market in Europe that displays significant differences among countries, cities and sectors. The analysis of the market data, for all types of assets, shows that the demand and the supply are different, at least on the basis of the population characteristics, the role of core assets/areas, and the lending opportunities...
Article
Full-text available
I fondi immobiliari in Italia sono stati caratterizzati, negli ultimi anni, da una forte evoluzione che ne ha modificato le strategie di investimento e le performance. Anche sul piano normativo e fiscale si sono succeduti diversi interventi volti a favorire lo sviluppo del settore. Il mercato dei fondi è destinato a evolversi ulteriormente, anche i...
Article
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 article aims to measure the impact of two sources of funds’ performance...
Article
Full-text available
Literature focuses primarily on the effect of changes in property prices on macrovariables and monetary aggregates. Only few studies take into account bank characteristics when considering the effects of real estate market trends on bank lending policies and performance and no studies control for the type of bank or loan purpose. The paper studies...
Article
Full-text available
La misurazione del contributo del gestore alla performance del fondo viene solitamente realizzata considerando indicatori di mercato che permettono di approssimare il rendimento atteso dal fondo sulla base della performance storica. Nel caso del mercato immobiliare indiretto esistono numerosi contributi sulla realtà dei Reits focalizzati sui mercat...
Article
Full-text available
Le Sgr immobiliari italiane stanno affrontando nuove e importanti sfide competitive in un mercato sempre più concorrenziale. La crescita dei patrimoni gestiti e dei ricavi, l’efficienza operativa delle strutture interne e l’adeguatezza degli assetti organizzativi sono gli obiettivi prioritari per poter competere in un contesto internazionale.
Chapter
Due to the unique features of each new available real estate investment, real estate investment trust (REIT) asset managers generally prefer to focus on domestic investments. While there is evidence of this trend in the US market, where out-of-state real estate asset buyers pay a premium due to the higher search and transaction costs, there is no e...
Book
Calendar anomalies are recursive trends in the price of securities, and their relevance is affected by the characteristics of the market in which the financial instrument is traded. Calendar anomalies attract the attention of practitioners and academics because they open up the possibility of predicting, at least in part, the dynamics of financial...
Chapter
The return distribution of any security does not necessarily have to be equal for all the days of the week and the assumption of the absence of any recurrent trend on some days of the week is only a simplified statistical assumption that is not required, even in a market equilibrium scenario (Gibbons and Hess, 1981).
Chapter
Seasonality in financial market returns is not only limited to the day of the week effect; calendar anomalies recur periodically on particular days of the month for both price dynamics and trade volumes (Pettengill and Jordan, 1988). The most important anomalies on a monthly time horizon relate to the existence of special closing days (holidays) or...
Chapter
The yearly seasonality of financial market returns exists in almost all countries and the difference between months is widely studied in the literature to provide useful guidelines for investment strategies (e.g., Gultekin and Gultekin, 1983). The empirical analysis of seasonality identified in any market is affected by the time horizon, the approa...
Chapter
Normally, positive performance achieved in a given month is focused on the first days of the month and calendar anomalies are more relevant for smaller REITs (Redman, Manakyan, and Liano, 1997). The differences in returns at the turn of the month and during the rest of the month are driven more by the capital yield than the dividend yield. Even if...
Chapter
The comparison between REITs and other financial instruments demonstrates that the January effect is even stronger for other investment opportunities, especially when riskier REITs are taken into account (Liu and Mei, 1992).
Chapter
Irrationality in the REIT industry is analyzed by constructing models for identifying abnormal price behavior that is not explainable on the basis of fundamentals, and results obtained demonstrate that the relevance of the phenomenon is affected by the type of security under consideration (Waters and Payne, 2007). The existing irrationality in REIT...
Chapter
While the first REITs, as we know them today, were only created in 1961, after the promulgation of the Real Estate Investment Trust Act (Bailey, 1966), the current real estate investment trusts (REITs) originated from the business trust that first appeared in Massachusetts around 1850. The great market success of REITs can be ascribed to their low...
Chapter
Holidays are special scheduled closing days in a stock exchange, which can cause abnormal price trends in the REITs; empirical evidence demonstrates that returns related to holidays are significantly higher than those for the other days of the year.
Chapter
The birth of the REIT industry could be assigned to the 19th century, but only in the late 20th century was there significant growth in the market. Nowadays the REIT regime has been adopted by many countries, although there are still significant differences in legal status, tax laws, and asset and liability constraints. Given the alternative soluti...
Chapter
The time of the month effect is normally analyzed by considering the performance on days around the turn of the month, in order to identify if there is any recurrent trend in the performance achieved by the REIT industry (Compton, Johnson, and Kunkel, 2006). The assumption behind the time of the month effect that is tested is the existence of diffe...
Chapter
The US market is the larger and older market for Real Estate Investment Trusts (REITs) that defines the guidelines for the worldwide development of this instrument. Many countries have instituted a similar real estate structure to facilitate the development of their domestic real estate industries and — except for the Netherlands, which started in...
Chapter
The day of the week effect is one of most frequently studied calendar anomalies in the REIT market and predominantly focuses on the US experience. Empirical evidence demonstrates that the relevance of the calendar anomaly affects index performance and normally plays a larger role in equally weighted portfolios than in value-weighted portfolios, due...
Chapter
The seasonality of REITs is frequently discussed in the literature and empirical evidence indicates that the REIT market cannot ignore the existence of calendar anomalies (Connors, Jackman, Lamb, and Rosenberg, 2002).
Chapter
Undertakings for Collective Investment in Transferable Securities (UCITS) funds of hedge funds (FoHFs) are a fast-growing investment opportunity because of their distinctive characteristics with respect to other financial instruments. Constraints applied on UCITS FoHF investment selection can affect performance and risk and make these instruments d...
Book
The Independence of Credit Rating Agencies focuses on the institutional and regulatory dynamics of these agencies, asking whether their business models give them enough independence to make viable judgments without risking their own profitability. Few have closely examined the analytical methods of credit rating agencies, even though their decision...
Article
Purpose – The paper aims to investigate the relationship between different investor attention proxies for different types of funds (retail vs institutional ones) looking at a sample of real estate funds. Design/methodology/approach – The authors collect data about searching frequency on Google and all the news published in Italian specialized news...
Article
The returns of real estate investments trusts (REITs) in the United States are not normally distributed and should therefore not be analyzed using the standard mean-variance approach. In this paper, we compare REIT performance rankings based on the Sharpe ratio with those using risk-adjusted performance (RAP) measures that do not assume the normali...
Book
During the crisis the asset management is affected by a lack of investors' confidence and an increase of risk exposure for all financial instruments traded and investor need more efficient solution for constructing and managing their investment portfolio. The real estate market was the source of the financial crisis development and the main limits...
Article
Full-text available
The market for Italian real estate funds has been characterized in recent years by fluctuations affecting both the number of new products and their performance. It is therefore important to establish criteria for measuring the funds’ performances, based on the income return and capital growth and on the analysis of the performance achieved by the...
Chapter
There has been much academic debate on the effectiveness of intra-asset diversification and on how to optimally apply it. Sectorial provenience and the location of real estate assets were initially the most valid segments for an efficient diversification (Miles and McCue, 1982). By this time, more sophisticated methods had been elaborated to provid...
Chapter
Return distribution of some financial instruments (like hedge funds) does not fit with the hypothesis of normality of returns and so, for those instruments, new and more complex Risk Adjusted Performance measures (hereinafter RAP) are proposed. The rankings based on these new measures are not always coherent with those defined using more simple one...

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Project (1)
Project
A detailed analysis of the Logistic sector characteristics and the main features that affect real estate estate valuation. The project will also analyse the role of this type of asset class in the REITs portfolio and its impact on the performance of the real estate investment vehicles.