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ICFAS 3rd Best Dissertation Prize

ICFAS Best Dissertation Prize, together with the CFA Institute Investment Research Challenge, represents the effort of our Society to build a bridge between universities and practitioners that have chosen the highest standards of the profession and ethics embodied in the CFA Program ®.

Italian CFA Society is sponsoring a competition for the best dissertations in the following Master of Science courses: Scienze dell’Economia (classe LM-56), Scienze Economico-Aziendali (classe LM-77), Ingegneria Gestionale (classe LM-31) and similar (ex DM 270/04).

Awards: 1st prize: € 1,000 - 2nd prize: € 500 - 3rd prize: € 300

In addition, each university mentor presenting the student who will receive the prize will be granted a Scholarship of € 500,00 which he/she will choose to assign to a student of his/her faculty for the enrollment as a candidate to the June 2012 CFA Level 1 Exam ®.

For further information and application click here

Deadline is 30 May 2011.

Winners will be notified via phone call and e-mail by 25 October 2011.
All other participants will receive e-mail communication by 28 October 2011.

Winners of the 3rd Edition

Congratulations to the winners of the third competition:

1st prize - Valentina Gorgoglione e Alessandra Maccalli - Politecnico di Milano
University mentor: Prof. Fabio Bertoni
Investimenti dei fondi sovrani: reazione del mercato e effetto certificazione

Abstract
When a Sovereign Wealth Fund (SWF) invests in a company, the market generally has a positive reaction. Our analysis aims to evaluate whether this is due to the “Certification Effect”. This Certification Effect involves the market treating such investments as a form of security relevant to the company’s future solvency, support for which can be found in the empirical case studies of UniCredit and Barclays. Based on a sample of 1,043 investments made by SWFs between 1984 and March 2010, we have conducted an event-study on the first investment of a SWF in a company, which revealed a positive and equal to 0,8% of the average Cumulated Abnormal Return (CAR) in the 10 days following the announcement. We have also noted that both origin of the SWF as well as the existence of a financial crisis at the time of the investment can result in different CARs. A multivariate regression on the calculated CARs against some features of transactions and target companies also confirms that the market reaction is stronger as Expected Default Frequency of the target company increases. Furthermore, focusing on the second investment of a SWF in a company, we have noticed positive CARs only when the investment is made by a fund that is already shareholder. The obtained results confirm our hypothesis regarding the “Certification Effect”.

2nd prize - Elena Chiesa - Università Cattolica del Sacro Cuore - Milano
Un’analisi empirica dell’illegal insider trading
University mentor: Prof. Giovanni Petrella

Abstract
The premise that my analysis start is the confidence that every investor needs to have in the functioning of the market, so that it can participate in the process of overall growth, through the exchange of money from surplus units to those in deficit. Illegal conducts, specifically insider trading, undermine this confidence, making investor wary and damaging, therefore the entire market.
Market authorities will seek to identify the anomalies behind which hides the insider. My research starts from cases that have occurred between 2006 and 2009 in the United States, France and the United Kingdom. My analysis has shown how the insider obtain profits "playing" forward of other traders, who are unaware of inside information. The analysis has also revealed many interesting elements, and sometimes unexpected, such as the collocation of the insider, the connection with certain corporate events, how they are identified insiders and more.
I hope that this iceberg of which we see only the tip, but it definitely has larger dimensions, is gradually brought to light and, consequently, reduced.
All this in defence of market efficiency, but above all in the interest of investors who have placed in their investments their just expectations.

3rd prize - Matteo Paolini - Università degli Studi di Modena e Reggio Emilia
Strategie basate su indicatori fondamentali e di volatilità: un’applicazione al mercato europeo degli ETF settoriali
University mentor: Prof.sa Sandra Paterlini

Abstract
One of the most discussed issues in investment management is the so-called value premium puzzle, which relies on the observation that the risk-adjusted returns of value stocks are larger than the growth stocks ones.
The aim of the thesis is to contribute to the debate on the value premium by comparing different investment strategies developed by using value and growth indicators.
Twenty investment strategies have been proposed and empirically tested on sectoral data from Eurostoxx and Eurostoxx50Volatility. Using a rolling window approach, we compare the in-sample and out-of-sample performance.
Empirical results show that most strategies beat the benchmark and that the investment strategies so-called “low-volatility” are those that achieve the best results. Finally, we notice that the value investing isn’t superior investment style when compared with the other strategies.


We wish to thank all participants and the Professors who sponsored them and also the panel of 14 exceptional volunteers, who served as Judges for the contest.