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Short selling activities and convertible bond arbitrage : empirical evidence from the New York stock exchange
Werner, Sebastian P. - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003846505
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Short Selling Activities and Convertible Bond Arbitrage : Empirical Evidence from the New York Stock Exchange
Werner, Sebastian P. - 2010
others. This statement coincides with the increasing use of arbitrage-related hedge fund strategies whereas it collides with … Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a … difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation …
Persistent link: https://www.econbiz.de/10013522889
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Short Selling Threats and Corporate Default Risk : Evidence from the Chinese Stock Market
Ni, Xiaoran; Xu, Hongmei - 2021
Employing the staggered short-sale deregulation on the Chinese stock market as quasi-exogenous shocks, we find that short selling threats is associated with higher corporate default risk, especially for firms that are more financially constrained, with higher growth rates, and higher information...
Persistent link: https://www.econbiz.de/10013212340
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria - 2014
managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash …
Persistent link: https://www.econbiz.de/10013063851
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2021
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate …
Persistent link: https://www.econbiz.de/10013315674
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Accounting noise and the pricing of cocos
Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018
Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all...
Persistent link: https://www.econbiz.de/10011818282
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Stock market returns, corporate governance and capital market equilibrium
Parigi, Bruno; Pelizzon, Loriana; Thadden, Ernst-Ludwig von - 2013
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate …
Persistent link: https://www.econbiz.de/10010212666
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Validity of Capital Assets Pricing Model : Evidence from KSE-Pakistan
Bhatti, Uzair - 2014
Capital Assets Pricing Model (CAPM) is the widely tested, accepted and rejected model of asset pricing. From its … is to form an opinion about authenticity and validity of CAPM. Our methodology includes the beta calculation through … calculation of results. Findings suggest that CAPM gives accurate results for a limited period and for few companies only. Out of …
Persistent link: https://www.econbiz.de/10013070329
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The impact of Dieselgate on the required rate of return on equity of VW, BMW and DAIMLER
Čižinská, Romana; Matějková, Pavlína; Neset, Pavel - In: Financial internet quarterly 17 (2021) 1, pp. 8-18
Pricing Model (CAPM). Our research takes a deep dive into the developments from the turning point of the scandal (the EPA …
Persistent link: https://www.econbiz.de/10012588920
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Estimating the volatility of asset pricing factors
Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018
Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
Persistent link: https://www.econbiz.de/10011860248