Aprile, profumo di primavera ... con la sessione straordinaria delle lauree. Ecco gli argomenti trattati con il relativo "abstract". Congratulazione ai neo dottori Luca Bianchi e Andrea Trevisan. Nella sito trovate le relative presentazioni
Equity Duration: a comprehensive theoretical and practical analysis
Luca Bianchi
The equity duration is an important parameter used by investors to choose between different investment opportunities in financial economics. While the concept of duration is usually associated with fixed incomes assets, its expansion to the equity assets is becoming more relevant in the recent period, with the increase of riskfree rates and the consequent rising discount factors. The thesis aims to calculate and compare different types of equity duration, investigate the changes in prices and equity values, and identify whether it exists a relationship between duration fluctuations and enterprise values in equity indexes. The dataset covers roughly 30 years of data up to the end of 2021. Provided by Bloomberg analysts, it includes weekly last prices, best long-term growth for the earning per share, best calculated free cash flows, and 10-year and 30-year US risk-free rates. Goldman Sachs provided the equity risk premium. The analysed equity indexes belong to the US market, four of them refers to the general us market while the others to the first-level and secondlevel sectors, with the price of S&P500 used as the benchmark for beta computation in the CAPM discount factor formula. The analysis uses several methods to calculate the duration between 21/12/2007 and 01/10/2021, each one aiming to find the most accurate and consistent. The first method is the benchmark for the subsequent computations and uses the dividend discount model; the second method uses the discounted cash flows model over four years; and the last one implements an HModel to the discounted cash flows over nine years. The last chapters analyse the relationship between debt and duration fluctuations and present a new method to compute the duration in continuous time. The results suggest that each subsequent model starting from the simpler improves the duration calculus, by distinguishing between high-duration and low-duration indexes and sectors. Furthermore, data show a relation between debt and duration fluctuations, which could help investors’ decisions in asset allocation.
The Gamestop Case: similarities and differences with past economic bubbles
Andrea Trevisan
In the course of the working week going from the 25th to the 29th of January 2021, the price of GameStop (GME) shares reached the all-time high closing price of $347,51 and it even hit $480 during the intraday negotiations. These aren’t particularly impressive numbers on their own, but they become so if we consider that the first trading day of the year recorded a market valuation of $17,25, which was already a sharp increase compared to the price of $4,34 six months earlier. The objectives of this thesis are to explain why the stocks of the video game retailer went through such a price surge, with the help of the speculative bubble theory, and to contextualize why we are quite confident that the whole GameStop saga is still far from its true end. We firstly analyze the academic literature about economic bubbles and the mechanisms behind the operation of short selling, to then proceed with a summary of the most relevant historical bubbles both from the points of view of the impact on the economy and the novelties brought. The core of the thesis is dedicated to the GameStop case, starting with the narration of the episode in detail and successively trying to quantify the size of the overestimation and the contribution of short squeeze and gamma squeeze mechanisms. We conclude our study with some personal considerations regarding the various issues that have been raised throughout the entire analysis, hoping to have been able to provide a simple but effective point of view on the whole event. We find concrete evidence about the fact that the GameStop share price is still in a bubble state, a condition which has characterized it since the incredible market rally of late January 2021. We are also able to identify some peculiar features which clearly distinguish this one from the other asset bubbles of the past. Finally, we delineate some possible future scenarios and we try to hypothesize some practices and regulatory changes which could somehow limit the frequency and the intensity of similar phenomena in the years to come, since a more common occurrence of them could contribute to the deterioration of the overall stability of the financial markets.