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This article examines the market discounts and announcement effects of private equity placements in China. We find that, on average, Chinese firms have about 30% market discounts for private placements, which is higher in number than those of US firms. Firms experience positive announcement...
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The paper studies the cooperative hedging problem of contingent claims in an incomplete financial market. Firstly we give the characterization of the optimal cooperative hedging strategy for the Black-Scholes model and the Volatility Jump model explicitly, then we consider the problem of...
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We propose a new measure of market liquidity based on the investors' optimal searching behaviour. Thus, we add a wealth filter on Pagano (1989)'s measure of liquidity to build the strong tie between endogenous market participation and investor wealth, as has been documented by empirical works.
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