We show that the post earnings announcement drift (PEAD) is stronger for conglomerates thansingle-segment firms. Conglomerates, on average, are larger than single segment firms, so it isunlikely that limits-to-arbitrage drive the difference in PEAD. Rather, we hypothesize that marketparticipants...

In this study we investigate how bankruptcy affects the market behaviour of prices of stocks on Warsaw’s Stock Exchange. As the behaviour of prices can be seen in a myriad of ways, we investigate a particular aspect of this behaviour, namely the predictability of these price formation...

We formulate a Cournot-type market equilibrium model of simultaneous trading in the CDS and Loan CDS (LCDS) markets. We use novel formulations of two-market demand functions that include trading costs and margins. The equilibrium identifies a relation between premiums, elasticities and recovery...

This paper investigates the determinants of six different lottery-like stock return definitions that have been analyzed separately in prior literature. While we focus on information uncertainty as captured by accounting information, mispricing, institutional ownership and default risk as main...

This paper examines the unique ability of The Model: a structural credit risk model proposed in Buellesbach (2015), to match the market in ways unmatched by other well-known structural models. The Model demonstrates the capacity to accurately value firms' equity and debt across the entire credit...

This relatively simple model attempts to capture and integrate four widely held views about financial crises. [1] Interconnectedness among financial institutions (banks) can play a major role in precipitating systemic financial crises. [2] Lack of information about the quality of bank portfolios...

This paper shows that the optimal leverage decreases with asset volatility risk in a trade-off framework. Thus, the paper relates the asset volatility risk premium to the underleverage puzzle. In models without volatility risk, the paper empirically documents that underleverage increases with...

The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity and solvency on the rates of return on the shares of companies listed on the Warsaw Stock Exchange. In the context of developing countries, the relationship between liquidity...

In this paper, we revisit a frequently employed simplification within the WACC approach that company cost of capital kV is supposed to be invariant to the debt ratio and therefore equal to the unlevered cost kU . Even though we know from Miles and Ezzell (1980) that kV formally differs from kU ,...

We study the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the period 1973-2007 in a regime switching model. In one regime, liquidity shocks have mostly insignificant effect on bond prices, whereas in another regime, a rise in illiquidity...