
Stefano LugoUtrecht University | UU · School of Economics (USE)
Stefano Lugo
PhD, CFA
About
31
Publications
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255
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Introduction
Additional affiliations
November 2018 - present
Utrecht University
Position
- Professor (Associate)
September 2012 - October 2018
Publications
Publications (31)
The Palgrave Handbook of Sovereign Wealth Funds aims to provide a comprehensive analysis of SWFs from a multidimensional perspective. It spans the gamut from theoretical to practical while offering the right balance of detailed and user-friendly coverage. Discussion of relevant research permeates the handbook. This volume helps fill the gap by show...
Increasing the cost associated with gathering information can hamper the monitoring activity of the market even when information remains public. Using the 2015 US money market funds (MMFs) reform as a quasi-natural experiment, I find a positive effect of removing information requirements over credit ratings on the allocation by MMFs toward securiti...
We study the timing of the European Corporate Sector Purchase Program and its direct effect on corporate financing decisions. Consistent with the goal of reducing credit premia, more timely purchases are observed for eligible bonds characterized by higher credit risk. Firms effectively targeted increase their relative use of market debt and the mat...
Focusing on investments by US money market mutual funds (MMFs) in nonfinancial commercial paper, this study shows that the demand for corporate short-term securities by preferred-habitat investors is positively associated with the use of short-term debt by firms. Consistent results are found when using a longitudinal dataset with a monthly frequenc...
This paper investigates the gap-filling explanation for corporate debt maturity choices in a multi-country setting. We argue that companies adjust their debt maturity in response to shocks in government debt maturity both at home and abroad; the difference between the two effects depends on the markets’ relative size and level of integration. Focus...
Agency theory predicts that the incentives for insiders to extract private benefits at the expense of creditors are negatively related to the level of ownership retained by insiders. However, the ability of insiders to effectively control the resources of the firm and engage in such activities is positively related to their level of ownership. Usin...
This study addresses the timing and the direct effect on corporate financing decisions of corporate bond purchases operated under the European Corporate Sector Purchase Program (CSPP). Consistent with the goal of reducing credit premia, more timely purchases are observed for eligible bonds characterized by higher credit risk. The choice of which bo...
This paper investigates the gap-filling explanation for corporate debt maturity choices in a multi-country setting. We argue that companies adjust their debt maturity in response to shocks in government debt maturity both at home and abroad; the difference between the two effects depends on the markets' relative size and level of integration. Focus...
We evaluate the size and power of different statistical tests and adjustment methods for matching-portfolio models to detect abnormal changes in credit default swap (CDS) spreads. The sign-test generally dominates the signed-rank test in terms of size, and dominates both the t-test and the signed-rank test in terms of power. Traditional adjustment...
The decline in the issuance of asset-backed securities (ABSs) since the financial crisis and the
comparative advantage of covered bonds (CBs) as a funding alternative to ABSs raise the
question of whether banks still issue ABSs as a way to receive funding. By applying double-
hurdle regression models to a dataset of 134 European banks observed duri...
We evaluate the size and power of different statistical tests and adjustment methods for matching-portfolio models to detect abnormal changes in credit default swap (CDS) spreads. The sign-test generally dominates the signed-rank test in terms of size, and dominates both the t-test and the signed-rank test in terms of power. Traditional adjustment...
In this paper we document the use of debt capital by Sovereign Wealth Funds (SWFs). According to our estimates, as of 2014 there are 10 levered SWFs with outstanding debt around USD 180 billion. We identify three main reasons why SWFs may decide to resort to debt capital, namely: i) increasing their size and diversify their sources of funding; ii)...
Agency theory predicts that the incentives for insiders to extract private benefits at the expense of creditors are negatively related to the level of ownership retained by insiders. However, the ability of insiders to effectively control the resources of the firm and engage in such activities is positively related to their level of ownership. Usin...
This article examines how credit rating agencies (CRAs) react to rating decisions on mortgage-backed securities by rival agencies
in the aftermath of the subprime crisis. While Fitch is on average the first mover, Moody’s and S&P perform more timely downgrades
given a downgrade or a more severe evaluation by a CRA other than Fitch, and they also in...
We study how sovereign wealth fund (SWF) investments affect the credit risk of target companies. We compute an adjusted measure of credit default swap (CDS) spread decrease (ADS ) for 1 year and 5 year maturities on a sample of 371 SWF investments between 2003 and 2010. Target company's credit risk decreases significantly after the investment event...
Using a dataset of Home Equity Loan securities issued up to June 2007 and rated by Moody’s and/or S&P, this paper investigates how discretionary ratings are priced by the market. To this end, a measure of relative rating inflation (Rating Bias) observable at issuance is proposed. The way Rating Bias is priced changes significantly between Investmen...
None of the models that have been developed to determine the optimal strategic asset allocation (SAA) of stabilization sovereign wealth funds (SWFs) has received direct empirical validation, primarily because there is a lack of transparency regarding some of the key parameters that characterize the problem. In this paper, building on a mean-varianc...
This paper compares conflict of interest incentives and reputational concerns of credit rating agencies (CRAs) in the context of the subprime crisis. We argue that, during up-market periods, ratings levels are affected by both a strong tendency for alignment across CRAs and ratings “shopping” by issuers, while, during periods of economic slowdown,...
None of the models that have been developed to determine the optimal strategic asset allocation (SAA) of stabilization sovereign wealth funds (SWFs) has received direct empirical validation, primarily because there is a lack of transparency regarding some of the key parameters that characterize the problem. In this paper, building on a mean-varianc...
Sovereign wealth funds: opportunities, threats, hopes and illusions - In this work we provide a critical summary of the debate about sovereign wealth funds (SWFs). We start by explaining what a SWF is and what it is not according to the various definitions that have been proposed. We then present the main concerns and hopes which SWFs have raised a...