Description: Description: Description: Description: uni_logo.gif                                                                                          Department of Finance

Maria Chiara Iannino






Universität Wien

Department of Finance

Oskar-Morgernster Platz 1, 1090,  Vienna






Research interests

Empirical Finance, Behavioural finance, Herding, Financial Econometrics.


Most recent papers

Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?

(with Thomas Gehrig)

This paper analyses the evolution of the resiliency of the European banking sector after the implementation of the Basel Capital Accord. In particular, by analysing SRISK and CoVaR we trace systemic risk and measures of systematic risk as the Basel process unfolds. We observe that, though systematic risk for European banks has been decreasing over the last three decades, systemic risk has heightened especially for the largest systemic banks. While the Basel process has succeeded in containing systemic risk of small banks, it has been less successful for the larger institutions. The latter ones opportunistically exploited the option of self-regulation by employing internal models and effectively increasing SRISK. Hence, the sub-prime crisis found the largest and more systemic banks ill-prepared and lacking resiliency. This condition was even aggravated during the European sovereign crisis.



Acquirers Gains from Earnouts in High vs. Low Periods of EMVCs

(with Leonidas G. Barbopoulos)

We examine the wealth effects of earnouts (i.e., contingent payments) on a comprehensive sample of US deals, comparing booming versus depressed market periods. Previous literature has accommodated the impact of earnouts in foreign deals and yet, the impact of Equity Market valuation Condition (EMVCs) within the same context has been overlooked. Our results convey that the payment method chosen to finance foreign deals matters, and earnouts create value for the acquirer only in deals announced during periods of high-EMVCs. We argue that earnouts offer a great alternative in the financing process of foreign deals during high-EMVCs by reducing the extent of high valuation risk in foreign deals and also by diminishing the home-bias in foreign assets. Our results offer an important contribution to the workings and valuation effects of earnouts in foreign deals, the participation of which has been tripled since 1990s.



Signaling through Timing of Stock Splits

(with Sergey Zhuk)

The paper proposes a dynamic structural model of stock splits, which allows us to estimate the preferences of investors about nominal share price levels from stock split announcements data. The split announcement premium depends not only on such preferences, but also on the degree of asymmetric information between managers and investors. If information is symmetric there is no announcement

premium. Our model allows us to decompose the effect of these factors. We estimate the model with a generalized method of moments, and our results are consistent with non-trivial nominal share price preferences. When prices decrease by 50% from the optimal level, investors require an additional premium of 23 basis points.



Analysts' Forecast Dispersion and Stock Split Announcements

This paper is an empirical investigation of the relation between the dispersion on analysts' earnings forecasts and the future performance following a change in the nominal price of shares. On a sample of US splits occurred from 1993 to 2013, we observe a change in the distribution of analysts' forecasts after the announcement of the event. In particular, we observe an increase in forecasts' dispersion. We distinguish the two components of private and common information, and we find that asymmetric information significantly increases after the announcement of stock splits, while no change is evinced in uncertainty. While we do not observe any relationship between dispersion and future returns in our sample of stocks, we shed light on the literature on disagreement observing a negative relation between asymmetric information and both future returns and cumulative abnormal returns post-split. We conclude observing that stock splits have a stronger positive effect on future performance for shares with lower prior asymmetric information.



Stock splits and Herding

The relation between institutional herding and stock splits is being examined. Using data on buying and selling activity of US institutional investors I compared the abnormal correlation of trades in a sample of companies that have announced at least a stock split, with the rest of the market. The results show a significant level of convergence in both groups, slightly higher for splitting companies between 1998 and 2001, and a stabilizing effect of herding in the future returns of splitting companies. Decomposing the correlation of trades into the contributions of several types of herding, there is evidence of a significant impact of informational-based herding for companies under analysis.








Teaching at the University of Vienna (Dept. Finance)

·         Empirical Finance,  MSc

·         Behavioural Finance, MSc

·         International Financial Management, UG and MSc

·         Advanced Empirical Finance, MSc (SS 2012)


Previous teaching

·   Finance area: Investment Analysis, Financial Markets and Institutions, Financial Statement Analysis, Risk Management for Banks, Empirical Finance (Queen Mary University of London), Financial Institutions (Università degli Studi di Brescia)

·   Econometrics and Quantitative Methods area: Introductory Econometrics, Statistical Methods for Economics (QMUL, School of Economics and Finance), Quantitative Research Methods (QMUL, School of Business and Management), Applied Econometrics (City University London)