Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put option-implied volatility is an important determinant of CDS pricing. Using a large sample of firms with both...

Diversification benefits of three ldquo;hotrdquo; asset classes mdash; Commodity, Real Estate Investment Trusts (REITs), and Treasury Inflation-Protected Securities (TIPS) mdash; are well-studied on an individual basis and in a static setting. Using data from 1970 to 2010, this paper documents...

This paper addresses several questions about Chapter 11 stocks regarding their trading environment, fundamental value, and performance. First, we show that there exists active trading for Chapter 11 stocks throughout the duration of the bankruptcy process. Second, applying option theory to the...

We address questions about Chapter 11 stocks regarding their trading environment, fundamental value, and performance. First, there exists active trading for Chapter 11 stocks throughout the bankruptcy process. Second, equity value after filing is positively related to asset value, asset...

Diversification benefits of three “hot” asset classes—Commodity, Real Estate Investment Trusts (REITs), and Treasury Inflation-Protected Securities (TIPS)—are well-studied on an individual basis and in a static setting. Using data from 1970 to 2010, this paper documents both that the...

Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put option-implied volatility is an important determinant of CDS spreads. Using a large sample of firms with both...

Why has the aggregate level of hedge fund alpha (risk-adjusted return) decreased over the last decade? By studying the distribution of individual hedge fund alphas, we find that the large right tail (funds with positive alphas) that was once present has shrunk over time, while the left tail...

It is well-known that investors often react negatively to the announcements of seasoned equity offerings (SEOs). We posit that issuers can use positive discretionary (higher-than-expected) Ramp;D investments before the SEO to signal their investment prospects to mitigate the negative...