Francesco PATTARIN - personale UniMoRe

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Francesco PATTARIN

Professore Associato
Dipartimento di Economia "Marco Biagi"

Pubblicazioni

2023 - Institutional Drivers of Voluntary Carbon Reduction Target Setting—Evidence from Poland and Hungary [Articolo su rivista]
Doś, Anna; Błach, Joanna; Lipowicz, Małgorzata; Pattarin, Francesco; Flori, Elisa
abstract

Governments worldwide have launched climate policies to mitigate greenhouse gas emissions (GHG). These policies aim to enhance businesses to be active actors in the process of decarbonisation. Therefore, the main objective of this paper is to identify the drivers of voluntary corporate decarbonisation illustrated by climate target-setting practices. In particular, this paper aims at diagnosing whether European Union (EU)-wide and country-level policies foster material corporate commitment to mitigating the carbon footprint in two countries that are exceptionally heavily dependent on fossil fuels: Poland and Hungary, which are characterised by a specific political-economic situation. This analysis focuses on policies related to the EU sustainable finance initiative that enhances companies to voluntarily reduce their GHG emissions: (1) sustainable financial sector, (2) corporate disclosure, and (3) corporate governance policy. At the country level, the national policies for state-owned enterprises (SOEs) are analysed. The empirical research is conducted based on the financial and economic data for a group of Polish and Hungarian publicly listed companies exposed to these regulations. The exposure to certain policies is approximated through selected corporate characteristics. Logistic regression analysis is applied to firm-level data gathered from Refinitive and corporate reports. The dataset covers the period 2014 to 2021, with 214 data-points. The response variable is a binary indicator of whether a company sets emission targets. The empirical research proved that state ownership, belonging to the financial sector, and performance-oriented corporate governance factors have a significantly negative impact on the probability of a company setting target emissions. On the other hand, the company’s size and leverage have a strong positive impact on the probability of setting emission targets. Also, it was confirmed that after 2020 the frequency of corporate target-setting in Poland and Hungary increased. Additionally, it was observed that Polish firms are more willing to set climate targets than Hungarian ones. Therefore, from the analysed policies, only the corporate sustainability disclosure policy proved to have a positive impact on the practices of setting climate targets in Polish and Hungarian firms. The policies related to the sustainable financial sector and to state-owned enterprises proved to have a negative impact on the probability of setting climate targets, while for the corporate governance policy, the results are mixed. In this vein, it was shown that, by a majority, policies to stimulate voluntary corporate commitment to decarbonisation are counter-effective in countries characterised by exceptional fossil fuel dependence and particular institutional features. The original value of this study stems from the applied methodology focusing on a mix of policies addressing the deep decarbonisation process in the specific country settings. The presented research contributes to an on-going debate on the drivers of voluntary corporate decarbonisation, in particular the impact that policy mixes framed under the sustainable finance agenda may have on material commitments to GHG emission reduction targets. In this context, the main findings are important for policymakers who are responsible for creating and implementing policy measures devoted to the deep decarbonisation process. It is recommended that policymakers should consider national specificities while designing policies for a Europe-wide net-zero transition and account for potential tensions arising from different goals as they may have impact on the effectiveness of the decarbonisation process. Future research may focus on the verification of the observed relationships between variables on a larger sample of the European firms to identify the key drivers of deep corporate decarbonisation.

2023 - Spread of Perturbations in Supply Chain Networks: The Effect of the Bow-Tie Organization on the Resilience of the Global Automotive System [Capitolo/Saggio]
Flori, Elisa; Zhu, Yi; Paterlini, Sandra; Pattarin, Francesco; Villani, Marco
abstract

Many real-world systems are subject to external perturbations, damages, or attacks with potentially ruinous consequences. The internal organization of a system allows it to effectively resist to such perturbations with more or less success. In this work, we study the resilience properties of the global automotive supply-chain by considering the bow-tie structure of the directed network stemming from customer-supplier relationships. Data have been retrieved by Bloomberg supply chain database between 2018 to 2020. Our analysis involves 3,323 companies connected by 11,182 trade links and spanning 135 economic sectors. Our results indicate that the size of propagation of a perturbation depends on the area of the bow-tie structure in which it initially originates. Also, it is possible to identify resistance structures within some bow-tie areas. Thus, we provide insights into the fragility and resilience of different network components and the diffusion paths of perturbations across the system. Interestingly, the level of abstraction used allows our results to generalize beyond the case in question to many systems that can be represented through directed graphs.

2021 - Drivers of CSR anchoring in transition economies: Evidence from Poland. [Abstract in Rivista]
Dos, Anna; Pattarin, Francesco
abstract

We examine the drivers of corporate social responsibility anchoring in Poland, a country that has undergone a profound transition from a command economy to a free market system. We use a fine-grained theoretical framework to understand the influence of the interactions between regulative, normative, and cultural-cognitive aspects of institutions with firm organizational factors on the diffusion of corporate social responsibility. We show that, in Poland, companies use their slack resources to adopt corporate social responsibility only when facing strong normative or regulative institutional pressures in their organizational fields. When such pressures are absent, companies prefer value-enhancing functions of their resources other than investing in corporate social responsibility. We propose a multilevel approach for studying drivers of corporate social responsibility and show how the importance of organizational-level drivers emerges clearly only if the interactions with institutional-level features are considered. The main policy implication of our study is that corporate social responsibility may establish in Poland, as well as in other Eastern Europe countries, provided that designed and formalized institutional processes reach relevant organizational fields. Furthermore, we find that, for business managers, employing financial slack for social responsibility projects may be perceived as institutionally legitimate or not depending on the type of institutional pressures prevailing in each organizational field.

2021 - Platforms' partner networks: the missing link in crowdfunding performance [Articolo su rivista]
Cosma, S.; Grasso, A. G.; Pattarin, F.; Pedrazzoli, A.
abstract

Purpose: A network of partners helps and assists a crowdfunding platform (CFP) in scouting, assessing and selecting projects. This cooperation increases the number of successful projects by attracting a sizable number of investors, proponents and attracting marginal investors when a campaign falls short of the threshold for success. This study examines the role of partner networks in a platform ecosystem, specifically in terms of number of different partners and their diversity in the performance of the crowdfunding campaign. Design/methodology/approach: Using logistic and linear regressions, we analyze a sample of 233 projects, both funded and not funded, launched by 10 Italian equity CFPs between 2014 and 2018. Findings: Our findings indicate that the variety of partners in a platform's network influence the probability of campaign success and how much capital the proponent company raises. CFPs are resource-constrained new ventures, and a network with a wider variety of partners ensures the strategic resources and competencies that are required in an early stage market, thus facilitating campaign funding. Practical implications: The variety of partner networks could help CFPs to offer unique and strategic value propositions and define the competitive positioning of platforms. Originality/value: This study provides a deeper understanding of the determinants of equity crowdfunding campaign performance by emphasizing the role of CFP's network of partners on the entire crowdfunding ecosystem and its underlying organizational elements.

2020 - Banche, modelli di business e Open Banking [Articolo su rivista]
Cosma, Stefano; Pattarin, Francesco; Pennetta, Daniela
abstract

According to Psd2, banks are required to open up access to customers’ account data to authorized third parties. In order to comply with the new legislation, banks may decide to align only to minimum requirements or to adopt an active approach, moving from a model of forced collaboration to a model of voluntary collaboration. Assuming that the active approach to Psd2 requires a greater willingness to open up to external parties, contributing to the emergence of Open Banking ecosystems and platforms, the article studies the current attitude to partnership of Italian banks and its structural, economic and capitalization determinants. Results reveal a low attitude to partnership, especially for larger and highly capitalized banks and for those that are mainly oriented to traditional credit activity.

2020 - Business Models in Lending-Based Crowdfunding Industry [Capitolo/Saggio]
Cosma, Stefano; Pattarin, Francesco; Pennetta, Daniela
abstract

Lending-Based Crowdfunding (LBCF) facilitates the matching of credit demand and supply through a specific marketplace, managed through online platforms. In recent years, the LBCF phenomenon has been analysed from different perspectives. In particular, many studies focus on lenders’ and borrowers’ behaviour, companies’ operating mechanisms and network effects, since these are widely considered to be critical points for the growth and stability of market operators.However, there has been little discussion about the strategies and business models adopted by LBCF companies. The aim of this study is to arrive at a more insightful categorization of LBCF companies’ business models by simultaneously considering, in addition to their intermediation function, their strategic choices concerning customer segments (borrowers and lenders) and the additional services they provide. Specifically, we identify four main business models in the LBCF industry: diversified, business specialized, consumer specialized and peer-to-peer. This classification provides a more effective, realistic description of LBCF companies’ strategies at a global level and can be a useful tool for future analysis on the performance of LBCF companies, as well as for their market positioning and for benchmarking their activities.

2019 - Regole e risoluzione alternativa delle controversie: quali riflessi sul credito ai consumatori [Articolo su rivista]
Cosma, Stefano; Pattarin, Francesco; Vezzani, Paola
abstract

The article analyses the effects of consumer protection rules starting from the adoption of 248/2008 UE Directive and the introduction of an ADR system. In particular, this study aims to assess the effects on volumes of loans and on interest rates applied to customers. Furthermore, through the analysis of data related to customer complaints and appeals to the Banking and Financial Arbitrator (ABF), the purpose is to assess the effects on the behaviour of customers and financial intermediaries and on the quality of their relationship. The effects on volumes of credit and interest rates are positive. There are not evidence of restrictions on credit supply. Furthermore, we did not identify cost increases directly imputable to new regulation. The same positive result emerges with reference to the ADR system. Consumers are increasing the use of this system to solve their disputes with financial intermediaries. In particular, there is an improvement of the complaints’ management by financial intermediaries and a positive learning effect is attributed to ABF’ activity.

2019 - Risk and Pricing on the Italian Minibond Market [Capitolo/Saggio]
Grasso, Alessandro Giovanni; Pattarin, Francesco
abstract

The Italian Minibond market was born in 2013 and was expected to ease debt financing of SMEs as a complementary channel to bank credit. In this chapter, we investigate what were the determinants of the issuing prices of Minibonds in the ExtraMotPro market from 2013 to 2016, with a special focus on small listings by nonfinancial issuers and on default risk. We find evidence that the rating of Minibond issuers by credit rating agencies did not help investors reduce information asymmetries about their creditworthiness. Investment grade. Minibonds had credit-risk premia similar to speculative grades’ and higher than those of non-rated issues. We evaluate the credit standing of issuers through a statistical and a financial approach. In both cases, we find that issuers rated as investment grade by agencies are generally riskier than those rated speculative grade. Furthermore, the premia related to our credit-risk assessment are higher for riskier firms than for safer firms. However, we also find evidence that safer borrowers might have signaled their quality to investors through underpricing. Our evidence calls for interventions aimed at improving the information efficiency of the Italian Minibond market.

2018 - Spending Policies of Italian Banking Foundations [Working paper]
Pattarin, F.
abstract

Italian banking foundations are important institutional investors and not-forprofit institutions in Italy. Foundations finance their activities with the returns they get by investing their endowments on the financial markets. The financial management of foundations has to meet two conflicting aims: maintaining a consistent and sufficient spending level in the short run and preserving the real value of the endowment fund in the long run. During the financial crisis, the tension between these aims has strongly emerged. This paper is about the results of an analysis of the spending decisions of ten main foundations, from 2004 to 2016, based on balance sheet and market value data. We propose an error-component model that allows to evaluate the relative importance of spending stability versus preserving the endowment value. Our estimates reveal that, on average, foundations followed stable spending policies across the financial crises, as they did not change their long-term rate of consumption of assets but gradually started to smooth spending over the short term. Because their granting activity sharply declined from 2008 to 2012, the joint effect of these decisions was to persistently reduce spending until 2016. This conservative stance, if carried over beyond the short-term, may violate intergenerational neutrality.

2018 - The Forcasting Performance of Dynamic Factor Models with Vintage Data [Working paper]
Di Bonaventura, Luca; Forni, Mario; Pattarin, Francesco
abstract

We present a comparative analysis of the forecasting performance of two dynamic factor models, the Stock and Watson (2002a, b) model and the Forni, Hallin, Lippi and Reichlin (2005) model, based on vintage data. Our dataset contains 107 monthly US "first release" macroeconomic and financial vintage time series, spanning the 1996:12 to 2017:6 period with monthly periodicity, extracted from the Bloomberg database. We compute real-time one-month-ahead forecasts with both models for four key macroeconomic variables: the month-on-month change in industrial production, the unemployment rate, the core consumer price index and the ISM Purchasing Managers' Index. First, we find that both the Stock and Watson and the Forni, Hallin, Lippi and Reichlin models outperform simple autoregressions for industrial production, unemployment rate and consumer prices, but that only the first model does so for the PMI. Second, we find that neither models always outperform the other. While Forni, Hallin, Lippi and Reichlin's beats Stock and Watson's in forecasting industrial production and consumer prices, the opposite happens for the unemployment rate and the PMI.

2018 - The Forecasting Performance of Dynamic Factor Models with Vintage Data [Working paper]
Di Bonaventura, L.; Forni, M.; Pattarin, F.
abstract

We present a comparative analysis of the forecasting performance of two dynamic factor models, the Stock and Watson (2002a, b) model and the Forni, Hallin, Lippi and Reichlin (2005) model, based on vintage data. Our dataset that contains 107 monthly US “first release” macroeconomic and financial vintage time series, spanning the 1996:12 to 2017:6 period with monthly periodicity, extracted from the Bloomberg database† . We compute real-time one-month-ahead forecasts with both models for four key macroeconomic variables: the month-on-month change in industrial production, the unemployment rate, the core consumer price index and the ISM Purchasing Managers’ Index. First, we find that both the Stock and Watson and the Forni, Hallin, Lippi and Reichlin models outperform simple autoregressions for industrial production, unemployment rate and consumer prices, but that only the first model does so for the PMI. Second, we find that neither models always outperform the other. While Forni, Hallin, Lippi and Reichlin’s beats Stock and Watson’s in forecasting industrial production and consumer prices, the opposite happens for the unemployment rate and the PMI.

2018 - The Forecasting Performance of Dynamic Factor Models with Vintage Data [Working paper]
Di Bonaventura, L.; Forni, M.; Pattarin, F.
abstract

We present a comparative analysis of the forecasting performance of two dynamic factor models, the Stock and Watson (2002a, b) model and the Forni, Hallin, Lippi and Reichlin (2005) model, based on vintage data. Our dataset that contains 107 monthly US “first release” macroeconomic and financial vintage time series, spanning the 1996:12 to 2017:6 period with monthly periodicity, extracted from the Bloomberg database† . We compute real-time one-month-ahead forecasts with both models for four key macroeconomic variables: the month-on-month change in industrial production, the unemployment rate, the core consumer price index and the ISM Purchasing Managers’ Index. First, we find that both the Stock and Watson and the Forni, Hallin, Lippi and Reichlin models outperform simple autoregressions for industrial production, unemployment rate and consumer prices, but that only the first model does so for the PMI. Second, we find that neither models always outperform the other. While Forni, Hallin, Lippi and Reichlin’s beats Stock and Watson’s in forecasting industrial production and consumer prices, the opposite happens for the unemployment rate and the PMI.

2016 - Can an unglamorous non-event affect prices? The role of newspapers [Articolo su rivista]
Ferretti, Riccardo; Cipollini, Andrea; Pattarin, Francesco
abstract

Our paper offers evidence that the print media can affect stock prices by covering public information. After price-to-book value figures of Italian listed shares were first published on the major national financial newspaper, the prices of value stocks did, on average, show a positive reaction. The price reaction was limited to small caps stocks and disappeared within three weeks. Over the period of analysis, we could not find any abnormal behaviour of the returns of small and value stocks on other European markets. These findings support the view that newspapers play a role in disseminating information to small investors and grabbing their attention, even if news are continuously realeased by faster and more sophisticated media.

2012 - Attitudes, personality factors and household debt decisions: A study of consumer credit [Working paper]
Cosma, S.; Pattarin, F.
abstract

A fairly extensive literature from the field of empirical psychology has provided evidence that personality factors and attitudes toward credit may influence individuals' debt financing decisions. This paper investigates the importance of these factors by analysing the results of an original survey about the recourse to consumer credit, conducted on a wide sample of Italian households. Three main research questions are addressed. Is there any relationship between personality, attitude and recourse to consumer credit? Are there any differences in psychological profiles of credit users and non-users that can be associated with the motivations for using consumer credit? Does the psychological profile affect the preferred way of financing consumption? According to our analyses, the influence of psychological factors on consumer credit decisions cannot be rejected. Attitudes toward debt appear to play an important role and are significantly related to motivations for using credit and to the preferred form of financing. Personality factors do not emerge as having a clearcut effect on the decision to taking on debt. While this is in line with some previous research findings, when personality's features make a difference this is in the opposite direction of what is commonly found, as more fatalistic individuals are less likely to use consumer credit.

2012 - Le risposte al questionario: Appendice 2 [Capitolo/Saggio]
Ferretti, Riccardo; Pattarin, Francesco
abstract

L'appendice contiene la descrizione della metodologia seguita per la composizione di un capione d'imprese rappresentativo dell'universo provinciale e il testo del questionario somministrato.

2012 - Psychological determinants of consumer credit: the role of attitudes [Articolo su rivista]
Cosma, Stefano; Pattarin, Francesco
abstract

Purpose – Consumer credit as a proportion of household debt has grown considerably during the last 20 years across many developed countries. A fairly extensive literature from the field of empirical psychology has provided evidence that personality factors and attitudes may influence individuals’ debt financing decisions. The purpose of this paper is to investigate the importance of attitude to credit and three main research questions are addressed. Is there any relationship between attitude and use of consumer credit? Are there any differences between the attitudes of credit users and non-users that can be associated with motivations for using consumer credit? Does attitude towards credit affect preferences for the financing of consumption? Design/methodology/approach – The authors provide answers based on the results of an original survey of the use of consumer credit conducted on a wide sample of Italian households, which allowed the authors to asses the respondents’ attitudes towards credit and to examine them with respect to credit decisions, controlling for several socio-economic variables. Findings – The findings indicate that the influence of attitude on consumer credit decisions cannot be ruled out. Attitude toward credit appears to play an important role and is significantly related to motivations for using credit and to the method of choice for financing consumption. Originality/value – This study improves on most existing research on these topics in the particularly large size and scope of the sample, and also because several studies from the psychological field lack a thorough assessment of household economic conditions and expectations

2012 - Risposte ai questionari: informazioni generali sulle imprese [Capitolo/Saggio]
Cosma, Stefano; Pattarin, Francesco
abstract

Il contributo analizza le caratteristiche economico-finanziarie delle imprese oggetto dell'analisi

2012 - Strategie di crescita, internazionalizzazione e esportazione: risposte al questionario [Capitolo/Saggio]
Cosma, Stefano; Pattarin, Francesco
abstract

Il contributo analizza le strategie di crescita e di internazionalizzazione delle imprese oggetto dell'indagine, approfondendo il ruolo e gli effetti di tali strategie per l'equilibrio economico-finanziario

2011 - Attitudes, Personality factors and household Debt decision: A study of consumer credit [Capitolo/Saggio]
Cosma, Stefano; Pattarin, Francesco
abstract

Il contributo analizza l'influenza dei fattori caratteriali, degli atteggiamenti e dei fattori della personalità sulla propensione all'indebitamento dei consumatori

2011 - Il “contratto di rete” nel supporto alla competitività e all’innovazione delle imprese: il ruolo delle associazioni imprenditoriali [Working paper]
Cosma, Stefano; Fabbri, Tommaso; Mucciarelli, Federico Maria; Pattarin, Francesco
abstract

Il paper, avvalendosi di due casi empirici che gli autori hanno supportato lungo un percorso di aggregazione strategica, delinea le peculiarità dell'organizzazione reticolare e ne mostra le ricadute pratiche in termini di formalizzazione giuridica (contratto di rete), dinamiche finanziarie e rapporto con le banche.

2010 - Attività ed efficienza allocativa dei Consorzi fidi [Capitolo/Saggio]
Cosma, Stefano; Landi, Andrea; Pattarin, Francesco; Venturelli, Valeria
abstract

Il contributo analizza il ruolo dei consorzi di garanzia collettiva (Confidi) nel finanziamento delle piccole e medie imprese al fine di contrastare i fenomeni di razionamento del credito e migliorare le condizioni finanziarie (interessi, commissioni e servizi finanziari accessori).La ricerca analizza l’attività di alcuni importanti Confidi provinciali con l’obiettivo di valutare la loro efficienza allocativa, con particolare riguardo alla capacità di indirizzare le risorse finanziarie (soprattutto di natura pubblica) verso quelle imprese che si caratterizzano per buone prospettive economiche e di sviluppo ma che al contempo risultano più deboli sotto il profilo finanziario e quindi più vincolate dal punto di vista della disponibilità e del costo del credito.

2010 - M&As and Equity Risk in the EMU Financial Sector [Capitolo/Saggio]
Ferretti, Riccardo; Pattarin, Francesco; Venturelli, Valeria
abstract

Over the past decade mergers and acquisitions in the financial sector have been very frequent. In Europe the pace of M&As has been rapid. This process has been driven by the consolidation of market-oriented policies in the EU member countries, as well as by the expansion of the common market environment and the introduction of the euro since 1999. The opening of new markets in former Communist countries has also played a prominent role.We survey a large, comprehensive and original list of M&A operations concluded from 1997 to 2007 by banks and insurance companies from EMU countries; a selection of exchange-listed firms is then examined to assess whether M&As changed the market risk profile of the acquirers, and to investigate whether any variations can be traced to the cross-border or cross-industry character of the operation. To this purpose, we first estimate market risk differentials between different segments of the financial sector and across EMU countries over several different periods of the decade, and make an assessment of the opportunities for risk reduction. Then, we use daily data to estimate market risk for individual acquirers before and after the completion of M&A operations and we test for any variations induced by the characteristics of the deal.

2010 - Rischio di insolvenza e congiuntura economica nell'industria della provincia di Modena [Capitolo/Saggio]
R., Giardino; Grasso, Alessandro Giovanni; Pattarin, Francesco
abstract

Si presenta un modello di rating per valutare il rischio di insolvenza delle imprese industriali italiane, sviluppato su un ampia casistica relativa al periodo 2003-07. Il modello è applicato a un campione di imprese della manifattura modenese, in cui sono presenti molte PMI. Si produce una valutazione storica del rischio e una previsione per il 2009. I risultati sono interpretati alla luce della struttura dell'industria locale e della congiuntura recente.

2009 - Solvibilità dell'industria: quali prospettive per il 2009? [Articolo su rivista]
Pattarin, Francesco; Grasso, Alessandro Giovanni; R., Giardino
abstract

Fluttuazioni cicliche e repentini sbalzi di produzione hanno caratterizzato gli ultimi anni: una dettagliata analisi delle motivazioni porta alla formulazione di uno scenario prospettico in cui sono evidenziati rischio di insolvenza e punti di forza e debolezza delle industrie modenesi

2008 - Is public information really public? The role of newspapers. [Working paper]
Ferretti, R.; Pattarin, F.
abstract

Our paper offers evidence that printed media can affect stock prices by covering public news (nonevents) even without resorting to spin or emphasis. However, the price reaction is limited to small caps, suggesting that small investors still obtain public information mainly through newspapers. The absence of spin or emphasis is the core element that differentiates our study from existing evidence, making it unique, to the best of our knowledge, in the financial literature on the media and asset pricing.

2006 - I fallimenti in Italia: quali sono le imprese a rischio? [Articolo su rivista]
Pattarin, Francesco; G. R., Grasso
abstract

Il rischio di fallimento delle imprese italiane è dell’uno percento, ma è caratterizzato da forti differenze geografiche, settoriali e dimensionali.Le imprese piccole falliscono più spesso di quelle grandi, ma se l’indebitamento è un fattore di rischio importante, lo è ancora di più la debolezza della gestione operativa.

2006 - La gestione previdenziale nella prospettiva di ALM [Capitolo/Saggio]
D., Squarzoni; Pattarin, Francesco
abstract

n.d.

2006 - Le reazioni di mercato alle operazioni di raggruppamento e frazionamento: il caso italiano [Relazione in Atti di Convegno]
Ferretti, Riccardo; Pattarin, Francesco
abstract

Questo articolo presenta i risultati delle analisi condotte su un campione di 52 split di azioni quotate alla Borsa Italiana tra il 1989 e il 2002. Lo scopo della ricerca è duplice. Da un lato, arricchire la scarsa evidenza empirica relativa ai mercati europei analizzando il caso Italiano; a questo riguardo va sottolineato come spesso siano emerse differenze fra le risultanze empiriche dei mercati Statunitensi e quelle dei mercati di altri paesi. Dall’altro, il campione si presta ad approfondire l’ipotesi di illusione monetaria suggerita dalla behavioral finance, sia perché comprende operazioni tanto di frazionamento quanto di raggruppamento, sia perché una parte di esse è priva di contenuto informativo essendo legata alla semplice conversione in euro del valore nominale dell’azione. Su un periodo che si estende da un anno prima della data ex e fino ai sei mesi successivi, si confrontano le variazioni giornaliere di prezzo, le volatilità e i volumi scambiati. Le analisi rivelano la tendenza dei prezzi a crescere prima delle operazioni di frazionamento e a calare prima di quelle di raggruppamento, ma la sostanziale assenza di effetti sulle quotazioni nei mesi successivi. I frazionamenti sono caratterizzati dalla riduzione degli scambi e dall’aumento di volatilità dopo la data ex; i raggruppamenti mostrano una rilevante riduzione nella volatilità, tanto maggiore per i casi legati al passaggio all’Euro che si distinguono altresì per la diminuzione degli scambi. L’evidenza empirica supporta le spiegazioni basate sulla teoria dell’optimal price range e l’ipotesi che su volumi e volatilità, oltre a fattori di carattere microstrutturale, agiscano fenomeni di illusione monetaria.

2006 - Le strategie di investimento core-satellite [Capitolo/Saggio]
Pattarin, Francesco; Nanni, A.
abstract

n.d.

2005 - Le reazioni di mercato alle operazioni di raggruppamento e frazionamento: il caso italiano [Articolo su rivista]
Ferretti, Riccardo; Pattarin, Francesco
abstract

2004 - Clustering financial time series: an application tomutual funds style analysis [Articolo su rivista]
Pattarin, Francesco; Paterlini, Sandra; Minerva, Tommaso
abstract

Classification can be useful in giving a synthetic and informative description of contextscharacterized by high degrees of complexity. Different approaches could be adopted to tacklethe classification problem: statistical tools may contribute to increase the degree of confidencein the classification scheme. A classi#cation algorithm for mutual funds style analysis is proposed,which combines di3erent statistical techniques and exploits information readily availableat low cost. Objective, representative, consistent and empirically testable classification schemesare strongly sought for in this field in order to give reliable information to investors and fundmanagers who are interested in evaluating and comparing di3erent #nancial products. Institutionalclassi#cation schemes, when available, do not always provide consistent and representative peergroups of funds. A “return-based” classi#cation scheme is proposed, which aims at identifyingmutual funds’ styles by analysing time series of past returns. The proposed classificationprocedure consists of three basic steps: (a) a dimensionality reduction step based on principalcomponent analysis, (b) a clustering step that exploits a robust evolutionary clustering methodology,and (c) a style identification step via a constrained regression model first proposed byWilliam Sharpe. The algorithm is tested on a sample of Italian mutual funds and achieves satisfactoryresults with respect to (i) the agreement with the existing institutional classi#cation and(ii) the explanatory power of out of sample variability in the cross-section of returns.

2004 - The Mib30 index and futures relationship: econometric analysis and implications for hedging [Articolo su rivista]
Pattarin, Francesco; Ferretti, Riccardo
abstract

The interactions between the Mib30 stock market index and its future contract are examined. Using daily data for the 1994–2002 period, it is found that the cost-of-carry model holds as an equilibrium relationship between spot and futures prices. Deviations from equilibrium are corrected by movements in the spot market, but cross-market dynamics are also important in the short run. We model the time varying volatility of daily returns’ as an autoregressive conditional heteroscedastic process; this model used to estimate minimum-variance hedge ratios. In- and out-ofsample comparisons with static hedging show that, by carefully choosing the ARCH specification, a significant improvement in variance reduction can be achieved.

2002 - Performance and Growth of Italian Mutual Funds [Articolo su rivista]
Pattarin, Francesco
abstract

In questo articolo si studia un campione di 56 fondi comuni di investimento azionari italiani osservato fra il 1996 e il 2000, alla ricerca di riscontri empirici sull’importanza di fattori di prezzo e di qualità nel determinarne la crescita del patrimonio gestito. Il tasso di crescita di ciascun fondo, espresso come rapporto tra la raccolta netta e il patrimonio gestito alla fine dell’anno precedente, è posto in relazione all’incidenza delle commissioni di gestione sul net asset value e alla performance conseguita in un modello di regressione lineare, controllando per l’effetto dellarischiosità complessiva degli investimenti e della dimensione. L’analisi preliminare dei dati mostra come i tassi di crescita osservati nel quinquennio dipendano positivamente dalle performance pregresse solamente per i fondi migliori del campione. In ragione di ciò e dell’evidenza empirica in tal senso riportata nella letteratura in materia relativa al mercato statunitense, la performance entra nel modello di regressione attraverso una funzione lineare a tratti, consentendo di identificare differenze nell’effetto della qualità dei fondi sul tasso di crescita tra diversi livelli di performance. I risultati della stima del modello, condotta sulle variabili espresse in scarti dalle proprie medie annuali, non consentono di rifiutare né l’irrilevanza dei costi né quella della qualità sul tasso di crescita. Come atteso, miglioramenti nella performance relativamente ai concorrenti comportano incrementi nel tasso di crescita dell’anno successivo, ma solamente tra i fondi migliori; la relazione tra performance e crescita risulta infatti non significativa per i fondi che si posizionano al di sotto della metà della classifica. Il valore puntuale stimato per il coefficiente del cost ratio implica che una riduzione delle commissioni di gestione del 1% si rifletta mediamente in un incremento del tasso di raccolata netta del 20% circa. L’evidenza empirica raccolta conferma che ci siano incentivi per i gestori a ridurre i costi a carico della clientela e a migliorare la qualità del processo di investimento per aumentare le proprie quote di mercato, sostenendo quindi la presenza di condizioni per un aumento dell’efficienza complessiva del settore. Di fatti, verifiche statistiche ulteriori conducono a non rifiutare ’ipotesi che la performance dei gestori presenti nel campione sia persistente tra un anno e il successivo; in altri termini, scegliendo un fondo azionario sulla base dei risultati conseguiti nel passato recente si possano ottenere rendimenti superiori a quelli medi della categoria. Dunque, l’investimento in fondi con track records eccellenti premierebbe effettivamente i gestori migliori. E` viceversa da sottolineare come l’asimmetria della relazione fra crescita e performance che emerge dall’analisi di regressione costituisca un ostacolo all’eliminazione dal mercato dei fondi peggiori che, pur crescendo meno rapidamente dei propri concorrenti virtuosi, non registrerebbero significativi decrementi del tasso di raccolta netta. L’individuazione delle ragioni di tale asimmetria costituisce un tema interessante di ricerca ulteriore.

2001 - Time Series and Data Clustering with Evolutionary Approaches [Working paper]
Paterlini, S.; Pattarin, F.; Minerva, T.
abstract

2001 - Unemployment duration: An analysis of incomplete, completed, and multiple spells in Emilia-Romagna [Articolo su rivista]
Lalla, Michele; Pattarin, Francesco
abstract

Sets of incomplete and completed spells of unemployment were obtained from the Italian Quarterly Labour Force Survey, carried out by ISTAT in Emilia-Romagna (1993:1-1995:1). The data were analysed through a proportional hazards model with a Weibull specification of the baseline hazard, including both unobserved heterogeneity applied to the scale parameter of the duration distribution, and telescoping effect to account for spikes in the distribution of unemployment spells. They were compared formally also with a non-proportional hazard model based on a log-logistic distribution of duration. The estimation of the parameters was carried out separately on both completed spells and quarterly incomplete spells to ascertain differences and to envisage the potential seasonal effect. The results showed that the shape parameters changed over time. The parameters of each covariate proved to be statistically stable over time and were also equal to the parameters of the completed spells model. Therefore, the analysis of incomplete spells is fairly feasible when an even (closed form) baseline hazard function is suitable for data.

1999 - Alcuni modelli per l’analisi delle durate complete e incomplete della disoccupazione: il caso Emilia-Romagna [Working paper]
Lalla, Michele; Pattarin, Francesco
abstract

Sets of incomplete and completed spells of unemployment were obtained from the Italian Quarterly Labour Force Survey, carried out by ISTAT in Emilia-Romagna (1993:1--1995:1). The data were analysed through a proportional hazards model with a Weibull specification of the baseline hazard, including both unobserved heterogeneity applied to the scale parameter of the duration distribution, and telescoping effect to account for spikes in the distribution of unemployment spells. They were compared formally also with a non-proportional hazard model based on a log-logistic distribution of duration. The estimation of the parameters was carried out separately on both completed spells and quarterly incomplete spells to ascertain differences and to envisage the potential seasonal effect. The results showed that the shape parameters changed over time. The parameters of each covariate proved to be statistically stable over time and were also equal to the parameters of the completed spells model. Therefore, the analysis of incomplete spells is fairly feasible when an even (closed form) baseline hazard function is suitable for data.

1999 - Analisi della durata della disoccupazione su dati longitudinali e trasversali: il caso Emilia-Romagna [Relazione in Atti di Convegno]
Lalla, Michele; Pattarin, Francesco
abstract

he paper presents the analysis of unemployment duration data gathered by ISTAT in Emilia Romagna, from 1st quarter 1993 to 1st quarter 1995. Exploiting the 2-2-2 rotating scheme of the survey, a set of completed spells was obtained from the nine originally available samples of incomplete ones. Both data sets were modelled by the Weibull distribution. Therefore, referring to the incomplete spells, it was assumed that the unobserved completed spells were Weibull distributed. The empirical distributions of spell durations showed pronounced spikes, which suggest the presence of a considerable telescopic effect. This effect was modelled by an exponential heaping function. Heterogeneity was controlled for by adding a suitable set of covariates. The full model was estimated separately on the completed spells data and for each quarter of the incomplete spells data, to control for potential seasonal effect.

1999 - Gaddy an d Ickes M od el of Russian Barter Economy: Some Criticisms and Considerations [Working paper]
Caselli, G. P.; Bruni, G.; Pattarin, F.
abstract

1997 - Alcuni modelli per l’analisi univariata delle durate della disoccupazione: il caso dell’Emilia-Romagna [Altro]
Lalla, Michele; Pattarin, Francesco
abstract

Il lavoro presenta le prime elaborazioni di un gruppo di indagini o rilevazioni trimestrali sulle forze di lavoro condotte dall’Istat nella regione Emilia-Romagna (1993:1--1995:1). In particolare si sono considerati i periodi di disoccupazione, analizzate con i modelli di durata, utilizzando il modello dei rischi proporzionali e la specificazione della distribuzione di Weibull per le durate e il rischio di base. L’eterogeneità non osservabile è stata applicata al parametro di scala della distribuzione delle durate. La stima dei parametri è stata condotta sia sulle durate complete sia sulle durate incomplete.

Università degli studi di Modena e Reggio Emilia

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