Using a unique, hand-collected data set of actual daily share repurchases from the Athens Stock Exchange, we examine the stock market reaction around the disclosure date of actual share repurchases, the factors that affect the size of that reaction, and the motives behind share acquisitions. We...

This paper re-examines the impact of the EU Market Abuse Directive (MAD) on the market reaction around share repurchase announcements. We use a unique hand-collected dataset of firms listed on the Athens Stock Exchange, and we find evidence that contrasts with previous conclusions for large...

This study reexamines Dubofsky's (1992) limit order adjustment hypothesis via an intraday analysis of minute-by-minute trade and quote data recorded on the ex-dividend days of common stocks listed on the NYSE, AMEX, and NASDAQ. According to Dubofsky's (1992) model, the asymmetric adjustment of...

This paper introduces serial defaults in the structural model of Jeanneret (2015. Journal of Financial and Quantitative Analysis 50, 963-985). We consider a government that can default multiple times, deciding endogenously the default thresholds and the optimal leverage. Under the extended...

In the barrier option model of corporate security valuation, the firm’s creditors impose a default-triggering barrier on the firm value to protect their claim. Two disputed issues in the literature are whether the implied default barrier is positive, and whether it is above or below the book...

We develop a structural model that accounts for guarantor risk and state-dependent withdrawals that induce liquidity funding costs for the bank. The severity of these costs increases near the default barrier, where depositors run on the bank for fear of a costly recovery. The introduced...

We infer the asset value dynamics of European firms during the Russia-Ukraine war via the structural model of Merton (1974). Using high-frequency stock price data, we find that the war led to lower corporate security prices and higher asset volatility, eventually shifting asset values closer to...

The barrier options theory of corporate security valuation is applied to the contingent claims of a regulated bank. The regulator/insurer of a bank owns a down-and-in call option on the bank assets which can be balanced against the expected coverage cost. Raising the regulatory barrier (critical...

Option models of deposit insurance pricing view assessment rates as put option premiums. However, such models ignore the risk of guaranty fund default. This paper attempts to link risk-based premiums with guaranty fund reserves in a partial equilibrium setting, by employing a methodology based...

The paper shows how the traditional credit model based on contingent claims analysis can be adjusted when the capital structure includes a short position in a call or put option. The stochastic features of the asset underlying the option introduce additional risk elements into the analysis of...