Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D...

We analyze a model of informed trading where an activist shareholder accumulates shares in an anonymous market and then expends costly effort to increase the firm value. We find that equilibrium prices are affected by the position accumulated by the activist, because the level of effort...

This paper examines relationships between theory of financial risk and size. Based on the work of Makridakis / Taleb [2009] and Taleb / Tapiero [2009], presents the problems of excessive risk and imbalances caused by the size of firms. Markets mixed on firm growth traps externalities can...

The recent as well as precedent market crashes has increased a number of already existing biases when estimating a forward looking cost of capital for company’s stakeholders. With cost of capital being essential in corporate valuation and decision making the following paper analyzes the...

Purpose: It is worth mentioning that mergers and acquisitions (M&As) have become a popular vehicle for emerging-markets firms to rapidly access new opportunities and market capabilities. Indeed, privatization and multi-nationalization have given a greater shore up in raising global and domestic...

The 4 th European Retail Investment Conference was hosted at Boerse Stuttgart, Germany, from May 17 th to 19 th 2017. The conference chairs invited academics and practitioners to participate and discuss empirical and theoretical research that investigates retail investor products and services,...

Theoretical and empirical research has shown that a sound and effective financial system is critical for economic development and growth. The financial system, however, is also subject to boom and bust cycles and fragility, with negative repercussions for the real economy. Further, the political...

A growing share of the world's trading activity is generated by algorithmic investment strategies. Algorithms require development, backtesting, and investors that assume the initial performance risk. Evaluating the likelihood that backtested strategies will maintain their risk return profile in...

Calibrating a trading rule using a historical simulation (also called backtest) contributes to backtest overfitting, which in turn leads to underperformance. In this paper we propose a procedure for determining the optimal trading rule (OTR) without running alternative model configurations...

Mean-Variance portfolios are optimal in-sample, however they tend to perform poorly out-of-sample (even worse than the 1/N naïve portfolio!) We introduce a new portfolio construction method that substantially improves the Out-Of-Sample performance of diversified portfolios.The full paper is...