In this paper we use the tools and frameworks from Oxford University’s postgraduate diploma in financial strategy to study the performance and benefits of algorithmic trading strategies (algos), and specifically those that use artificial intelligence (AI) and machine learning (ML).We discover...

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

We consider bankruptcy announcements of large financial institutions in the US and examine their impact on an international sample of 66 stock market indices. Employing an event-study methodology, we find that stock markets exhibit strong adverse reaction in the aftermath of such announcements....

Consistent with the incentive implication of inside debt, I show that active equity mutual funds invest less in companies whose CEOs are awarded with higher debt-like compensation, whereas corporate bond mutual funds invest more in such companies. This finding persists after accounting for...

This paper examines the relation between share pledging and corporate risk-taking in an environment featured by strong government intervention and high information opacity. We find that during the years 2005 through 2015, the level of share pledging is associated with less volatile earnings and...

This paper provides empirical evidence of a clientele effect between institutional holdings and debt maturity structure. Using a new measure of debt maturity that captures the refinancing and underinvestment risks associated with the timing of cash flows, I find that institutional equity holders...

Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000 transactions by 303,000 households in Finland, this paper shows that individual investors with longer holding periods choose to hold less liquid stocks in their portfolios, consistent with Amihud...

This paper examines the hedge fund investment strategy of buying junior claims of Chapter 11 debtors and playing an activist role in the bankruptcy process. These hedge funds are often accused of rent-seeking by managers. I use a new methodology to conduct the first empirical study of this...

In this article, we show that only distressed firms not identified as distressed by creditors are able to transfer wealth from creditors to shareholders. Using the number of years to future bankruptcy as a proxy for genuine distress and measures based on observable firm characteristics as...

A growing class of investors specializes in funding distressed firms. Specialization allows these investors to develop valuable expertise, which in principle can contribute to overall economic efficiency. Notwithstanding this argument, we show that specialized distress investors (SDIs) can...