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...

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...

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.

This paper investigates the relation between dividends and investment for Chinese listed firms in a condition of cash flow uncertainty. We find that facing cash flow uncertainty, Chinese firms neither cut dividends nor cut investment, but maintain extremely high level of investment. External...

This article analyzes simple rules for dissolving a common value partnership in which one partner holds proprietary information. The winner’s bid auction and the loser’s bid auction are payoff equivalent and both favor the informed partner. If it is verifiable which partner is informed, the...

Research in behaviour finance has provided seemingly persuasive evidences that overconfidence affects asset prices. We provide a model with model uncertainty and overconfidence in which overconfidence could have no effect on asset prices.