Bankrupt firms' stock displays unique lottery-like characteristics: for only a few cents per stock one can engage in an investment strategy that offers a low probability of huge future reward, and a very high probability of a small loss. Kumar (2009 a) shows that this type of stock is likely to...

The reaction of stock prices to bankruptcy filing has been frequently analysed in the financial literature. In this paper we adopt a different approach to that of traditional study, and endeavour to determine whether the reaction of markets is conditioned by the orientation of bankruptcy law....

This study empirically analyzes the effect that the bankruptcy law has based on the firm's financial situation. In order to do this, we have considered the different types of efficiency and their influence on the firm's value. The study was carried out for Germany, Spain, the United States,...

The current financial reporting model requires dichotomous classification of financial claims as either liabilities or equity. Classifying financial claims is challenging when instruments have attributes of both liabilities and equity (i.e., hybrid instruments). In this study, we examine under...

We develop a credit-risk model to study how information acquisition affects the liquidity in a secondary bond market. In our model, the creditors of a firm can acquire costly information about the firm and exploit the information advantage by selling their bonds to uninformed buyers. When a...

Using a large sample of collateralized loan obligation (CLO) portfolios, we examine the role of borrowers' accounting quality in corporate loan securitization. We find that loans from companies with higher ex-ante accounting quality are more likely to be purchased and securitized by CLOs....

Recent regulation, mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has rendered it's possible failure a serious threat to global nancial stability. This work investigates the potential failure of a CCP initiated by the default of a large dealer...

We show that tests of market efficiency are sensitive to the inclusion of delisting firm-years. When included, trading strategy returns based on anomaly variables can increase (for strategies based on earnings, cash flows and the book-to-market ratio) or decrease (for a strategy based on...

The market valuation of corporate insolvency problems is conditioned by the attributes of bankruptcy laws, with different codes traditionally being oriented toward protecting the debtor or the creditor. Nevertheless, it is also necessary to address the objective of each concrete measure...

We examine the pricing of initial public offering (IPO), seasoned equity offering (SEO) and post-Chapter 11 firms using a stochastic frontier methodolgy. The stochastic frontier framework allows us to model quot;inefficiencyquot; or the difference between a firm's maximum predicted and its...