Holding Companies Discounts: Some Evidence from the Milan Stock Exchange

EFMA 2001 Lugano Meetings

63 Pages Posted: 19 May 2000

See all articles by Giuseppe Alesii

Giuseppe Alesii

University of L'Aquila - Department of Information Engineering, Computer Science

Date Written: March 22, 2000

Abstract

Holding Companies (HCs) Discount/Premium (Q_i) is investigated over the period 1960-1996. In a rational pricing framework, HCs are examined as a closed end fund and a as a corporate governance tool. The main findings are that managerial contribution, extra profitability on NAV minus general overhead expenses are significant in HC evaluation. Even the HC role in stock pyramiding schemes is rationally discounted by the market. Finally, in a behavioral finance framwork, HCs discount is found as an aggregate market sentiment index for the Milan Stock Exchange. A profitable trading rule is deviced to exploit the predictive power of Q_i.

JEL Classification: G10, G32, G34

Suggested Citation

Alesii, Giuseppe, Holding Companies Discounts: Some Evidence from the Milan Stock Exchange (March 22, 2000). EFMA 2001 Lugano Meetings. Available at SSRN: https://ssrn.com/abstract=223490 or http://dx.doi.org/10.2139/ssrn.223490

Giuseppe Alesii (Contact Author)

University of L'Aquila - Department of Information Engineering, Computer Science ( email )

Via Vetoio
Coppito 1
Coppito di L'Aquila AQ, AQ 67010
Italy
0039-862-433156 (Phone)
0039-862-433180 (Fax)

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