Gregory Nini

Gregory Nini
  • Adjunct Assistant Professor

Contact Information

  • office Address:

    3006 Steinberg Hall-Dietrich Hall
    Philadelphia, PA 19104

Research Interests: applied econometrics, contract theory, financial intermediation

Links: CV

Overview

EDUCATION

The Wharton School, University of Pennsylvania July 1997 – May 2002 Ph.D., Managerial Science and Applied Economics Huebner Foundation Doctoral Fellow Dissertation: "Essays in Insurance Economics" Advisors: David Cummins, Neil Doherty, Gary Gorton, Richard Herring, Kent Smetters

Swarthmore College September 1990 – May 1994 B.A. in Economics and Mathematics

Continue Reading

Research

  • David Musto, Gregory Nini, Krista Schwarz (Working), Notes on Bonds: Liquidity at all Costs in the Great Recession.

    Abstract: We relate market stress to asset pricing by analyzing a large and systematic discrepancy among off-the-run Treasury securities:  bond prices traded as much as five percent below otherwise identical notes, orders of magnitude more than we find concurrent special repo rates to explain.  The relatively low lending revenue from holding the note begs the question of why its current holders would not trade it for cheaper yet identical cash flows.  The pricing discrepancy persisted for months.  We find that liquidity characteristics of Treasury securities explain a large share of the Treasury pricing anomaly.  We relate insurers’ transactions in Treasuries to their characteristics.  We find that the most highly levered insurers and those that transact most frequently tended to demand notes over bonds during the crisis, contributing to the anomaly.   

  • Gregory Nini, David Smith, Amir Sufi (2009), Creditor Control Rights and Firm Investment Policy, Journal of Financial Economics, 92(3) 400-420.

  • Gregory Nini and Mark Carey (2007), Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle, Journal of Finance, 62(6) 2969-3001.

    Abstract: We offer evidence that interest rate spreads on syndicated loans to corporate borrowers are economically significantly smaller in Europe than in the United States, other things equal. Differences in borrower, loan, and lender characteristics do not appear to explain this phenomenon. Borrowers overwhelmingly issue in their natural home market and bank portfolios display home bias. This may explain why pricing discrepancies are not competed away, though their causes remain a puzzle. Thus, important determinants of loan origination market outcomes remain to be identified, home bias appears to be material for pricing, and corporate financing costs differ across Europe and the United States.

  • Gregory Nini, David Smith, Amir Sufi (Working), Creditor Control Rights and Firm Investment Policy.

    Abstract: We present novel empirical evidence that conflicts of interest between creditors and their borrowers have a significant impact on firm investment policy. We examine a large sample of private credit agreements between banks and public firms and find that 32% of the agreements contain an explicit restriction on the firm’s capital expenditures. Creditors are more likely to impose a capital expenditure restriction as a borrower’s credit quality deteriorates, and the use of a restriction appears at least as sensitive to borrower credit quality as other contractual terms, such as interest rates, collateral requirements, or the use of financial covenants. We find that capital expenditure restrictions cause a reduction in firm investment and that firms obtaining contracts with a new restriction experience subsequent increases in their market value and operating performance.

  • Gregory Nini (Working), Ex-post Behavior in Insurance Markets.

    Abstract: We study an automobile insurance market where the quantity of insurance purchased has a large impact on the resulting frequency and severity of claims. Policyholders who purchase insurance against increases in future premiums because of at-fault claims experience a roughly 40 percent increase in reported claims. Although consistent with differences in accident rates due to adverse selection or exante moral hazard, the evidence suggests that changes in claim reporting behavior can account for nearly all of the increase in claims. After controlling for differences in observable characteristics, we show that the increase in claim frequency is concentrated in relatively small claims and claims where the policyholder is at-fault, suggesting that consumers without premium protection strategically choose not to report such claims to the insurance company. The frequency of large claims and claims where the policyholder is not at fault are nearly identical across the two groups. Using this reduced form evidence to reject the endogeneity of premium protection with underlying accident rates, we estimate a structural model with latent accidents and claim reporting thresholds to explain the observed pattern of claim frequencies and severities. The estimated differences in underlying accident rates are quite small and suggest at most a minor role for adverse selection or ex-ante moral hazard. However, the estimated differences in reporting thresholds, identified by differences in the shapes of the claim severity distributions, are large and lead to significant differences in reported claims. This result highlights a novel source of information asymmetries in automobile insurance and illustrates the importance of accounting for differences in claim reporting behavior when studying insurance markets.

  • Gregory Nini and Paul Kofman (Working), Learning to Share: Evidence on the Value of Relationships in Insurance.

  • Gregory Nini and John David Cummins (2002), Optimal Capital Utilization by Financial Firms: Evidence from, Journal of Financial Services Research, 21(1-2), 15-53.

    Abstract: Capitalization levels in the property-liability insurance industry have increased dramatically in recent years-the capital-to-assets ratio rose from 25% in 1989 to 35% by 1999. This paper investigates the use of capital by insurers to provide evidence on whether the capital increase represents a legitimate response to changing market conditions or a true inefficiency that leads to performance penalties for insurers. We estimate “best practice” technical, cost, and revenue frontiers for a sample of insurers over the period 1993-1998, using data envelopment analysis, a non-parametric technique. The results indicate that most insurers significantly over-utilized equity capital during the sample period. Regression analysis provides evidence that capital over-utilization primarily represents an inefficiency for which insurers incur significant revenue penalties.

Teaching

Past Courses

  • BEPP305 - RISK MANAGEMENT

    The last financial crisis and subsequent recession provide ample evidence that failure to properly manage risk can result in disaster. Individuals and firms confront risk in nearly all decisions they make. People face uncertainty in their choice of careers, spending and saving decisions, family choices and many other facets of life. Similarly, the value that firms create by designing and marketing good products is at risk from a variety of sources. The bankruptcy of a key supplier, sharp rise in cost of financing, destruction of an important asset, impact of global warming, or a liability suit can quickly squander the value created by firms. In extreme cases, risky outcomes can bankrupt a firm, as has happened recently to manufacturers of automobile parts and a variety of financial service firms. The events since the Global Financial Crisis also offer stark reminders that risk can impose significant6 costs on individuals, firms, governments, and society as a whole. This course explores how individuals and firms assess and evaluate risk, examines the tolls available to successfuly mange risk and discusses real-world phenomena that limit the desired amount of risk-sharing. Our focus is primarily on explaining the products and institutions that will serve you better when making decisions in your future careers and lives.

  • BEPP805 - RISK MANAGEMENT

    The last financial crisis and subsequent recession provide ample evidence that failure to properly manage risk can result in disaster. Individuals and firms confront risk in nearly all decisions they make. People face uncertainty in their choice of careers, spending and saving decisions, family choices, and many other facets of life. Similarly, the value that firms create by designing and marketing good products is at risk from a variety of sources. The bankruptcy of a key supplier, sharp rise in cost of financing, destruction of an important asset, impact of global warming, or a liability suit can quickly squander the value created by firms. In extreme cases, risky outcomes can bankrupt a firm, as has happened recently to manufacturers of automobile parts and a variety of financial service firms. The events since the Global Financial Crisis also offer stark reminders that risk can impose significant costs on individuals, firms, governments, and societ6y as a whole. This course explores how individuals and firms assess and evaluate risk, examines the tools available to successfully manage risk, and discusses real-world phenomena that limit the desired amount of risk-sharing. Our focus is primarily on explaining the products and institutions that will serve you better when making decisisions in your future careers and lives.

Activity

Latest Research

All Research

In the News

Where Does the Occupy Movement Go from Here?

Can Occupy Wall Street succeed beyond the park? Experts from the University of Pennsylvania and a spokesperson from the New York Occupy group discussed possible next steps for the movement.

Knowledge @ Wharton - 2011/11/18
All News