Enrico Onali

Aston University, Economics, Finance and Entrepreneurship, Faculty Member

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I am a Reader in Finance at Aston Business School.

My research interests lie mainly in the areas of capital markets, banking, and corporate finance.

I am a member of the editorial board of The British Accounting Review and a Fellow of the Higher Education Academy (UK).

I am currently teaching postgraduate modules on Market Microstructure and Security Analysis.

I have been a visiting scholar at the Deutsche Bundesbank and I have held visiting teaching appointments at universities in France, Italy, and China.

My research has recently been accepted for publication in leading academic journals such as the Journal of Financial and Quantitative Analysis and the Journal of Financial Intermediation. For more information on my publications, click here.

My work has been presented at global prestigious conferences, such as the annual meetings of the European Finance Association, the SFS Finance Cavalcade, the Financial Management Association, and the Royal Economic Society. Output from my research has also been disseminated in discussion papers of the Deutsche Bundesbank and the European Central Bank.

I have acted as a reviewer for the Financial Stability Working Paper Series of the Bank of England and for academic journals such as: Journal of Banking and Finance; Journal of Business Finance and Accounting; Regional Studies; Economics Letters; The Manchester School; European Journal of Finance; Emerging Markets, Finance and Trade; Journal of Management and Governance; International Journal of Banking, Accounting and Finance; Managerial Finance; Physica A: Statistical Mechanics and its Applications; Spatial Economic Analysis.

Research focus

My published research has focused on four main themes:

1. The impact of risk-taking incentives, corporate governance, and government monitoring on the dividend policy of banks. The main findings of this body of work are contrary to the theoretical and empirical literature that studies dividend policy in non-financial and unregulated firms. My research on the impact of risk-taking incentives and managerial entrenchment on bank dividend policy suggests that public guarantees (both implicit and explicit) and government monitoring may be at the root of these findings.

2. The impact of bank regulation and supervision on capital markets and economic growth. The first part of this body of research employs event study methodology to study the determinants of share price reactions to announcements related to changes in international bank liquidity regulation. The second part employs instrumental variables estimation to investigate the real effects of enforcement actions on US banks, and shows that enforcement actions impose temporary negative shocks to local economic activity.

3. The impact of International Financial Reporting Standards (IFRS) on European capital markets. This strand of research highlights the heterogeneous impact of the introduction of IFRS in the European Union. I focus on value relevance (i.e., the degree to which accounting numbers are reflected in stock prices) and the market reaction to changes in the accounting principles for financial instruments.

4. The time-series properties of equity returns, in particular long memory and multifractality. I have investigated the extent to which equity markets are informationally efficient using a range of estimators of long memory and multifractality. In the Econophysics literature, long memory (or "unifractality") and multifractality in stock market returns are believed to be negatively correlated with market efficiency. I have also investigated the properties of several estimators of long memory and multifractality.

Output from my research has been cited in policy documents of the European Commission and the European Parliament, as well as in publications of the Federal Reserve Bank of New York and the Institute of Chartered Accountants in England and Wales (ICAEW). My publication "CEO power, government monitoring, and bank dividends" has been featured in the Blue Sky Blog of Columbia Law School on corporations and the capital markets. I have also published in non-academic media such as The Conversation.

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Andrej Dujella

University of Zagreb

Hemin Koyi

Uppsala University

Jana Javornik

University of East London

Armando Marques-Guedes

UNL - New University of Lisbon

Graham Martin

University of Leicester

Gwen Robbins Schug

University of North Carolina at Greensboro

Gabriel Gutierrez-Alonso

University of Salamanca

John Sutton

Macquarie University

Eros Carvalho

Universidade Federal do Rio Grande do Sul

Kevin Arbuckle

Swansea University

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Papers by Enrico Onali

$Research paper thumbnail of Long memory and multifractality: A joint test$

Long memory and multifractality: A joint test

Physica A: Statistical Mechanics and its Applications, 2016

Investor Reaction to IFRS for Financial Instruments in Europe: The Role of Firm-Specific Factors

SSRN Electronic Journal, 2000

Paper Devalle Onali Magarini researchgate

Self-affinity in financial asset returns

ABSTRACT We test for departures from normal and independent and identically distributed (NIID) lo... more ABSTRACT We test for departures from normal and independent and identically distributed (NIID) log returns, for log returns under the alternative hypothesis that are self-affine and either long-range dependent, or drawn randomly from an L-stable distribution with infinite higher-order moments. The finite sample performance of estimators of the two forms of self-affinity is explored in a simulation study. In contrast to rescaled range analysis and other conventional estimation methods, the variant of fluctuation analysis that considers finite sample moments only is able to identify both forms of self-affinity. When log returns are self-affine and long-range dependent under the alternative hypothesis, however, rescaled range analysis has higher power than fluctuation analysis. The techniques are illustrated by means of an analysis of the daily log returns for the indices of 11 stock markets of developed countries. Several of the smaller stock markets by capitalization exhibit evidence of long-range dependence in log returns.

Sins of Omission in Value Relevance Empirical Studies

New Accounting Rules for Loan Loss Provisions in Europe: Much Ado about Nothing?

Wealth shocks, credit-supply shocks, and asset allocation: Evidence from household and firm portfolios

Monitoring matters:debt seniority, market discipline and bank conduct

We examine if debtholders monitor banks and if such monitoring constrains risk-taking. Leveraging... more We examine if debtholders monitor banks and if such monitoring constrains risk-taking. Leveraging an unexplored natural experiment in the U.S. that changes the priority structure of claims on banks' assets, we provide novel insights into the debate on market discipline. We document asymmetric effects for monitoring effort depending on whether a creditor class moves up or down the priority ladder. Conferring priority to depositors causes declines in deposit rates but increases interest rates for nondeposit liabilities, suggesting greater incentives for junior debtholders to exert monitoring effort. Consistent with the idea that senior claims require lower risk premiums, banks increasingly rely on deposit funding following changes in the priority structure. More intensive monitoring also influences conduct: subordinating non-depositor claims reduces risk taking. Our results inform the debate about bail-ins and highlight that changes in the priority structure are a complementary tool to regulation which has received little attention in prior work. 149 words

Enrico Onali

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