Finally, we show that, in a setting where the firm's initial owner sells his stake in the firm over the course of two periods, with disclosures of estimates of the firm's value occurring prior to each sale of shares, if the precisions of the estimates are public, the equilibrium precisions of...

Extreme losses caused by leverage and financial derivatives highlight the need to backtest Value-at-Risk (VaR) based on sizes of tail losses, for the risk measure disregards losses beyond the VaR boundary and there is no formal statistical analysis required for stress testing. While Basel II...

The US dollar is the most widely held currency in the world. In recent years, however, it suffered huge depreciation. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile measure, VaR disregards valuable information conveyed by...

I propose a model of IPO discounts with an issuer facing a variety of costs and benefits from an IPO that are proportional to issuer market capitalization in an oligopolistic IPO market as a lens to focus on the relationship between IPO underpricing and fraction of the firm sold during the IPO....

We construct a comprehensive panel data of 96 publicly traded European utilities over the period 1994-2005 in order to study the relationship between the capital structure of regulated firms, regulated prices, and investments, and examine if and how this interaction is affected by ownership...

This work develops an integrated model for optimal asset allocation in commercial banks that incorporates uncertain liquidity constraints that are currently ignored by RAROC and EVA models. While the economic profit accounts for the opportunity cost of risky assets, what may even incorporate a...

Actually determining the value of liquidity is one of the unsolved problems in finance. Firms hold liquidity for a variety of different reasons. Generally, liquidity balances held in a firm can be called considered, precautionary, speculative, transactional and intentional. The first are the...

This study tests whether underpricing is subject to the controlling shareholder group's discretion in a sample of German IPOs from 1997 to 2002. This question is important since previous researchers (Allen and Faulhaber (1989), Welch (1998), Grinblatt and Hwang (1989), Brennan and Franks (1997)...

The Financial Accounting Standards Board (FASB) and the International Accounting Standards Board (IASB) are currently working together towards a comprehensive standard of accounting for financial instruments with characteristics of equity, liability, or both. An important facet of this project...

This paper examines the effect of financial restatements on the firm's source of debt financing, contractual debt covenants and cost of debt, both in the public and the private debt markets. Using a sample of public debt issued, we find evidence of higher treasury-spreads post restatement, which...