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Prior research has documented anomalous profits as high as 9% from participating in stock repurchase tender offers. The trading strategy is to buy shares in the market just before offer expiration and tender; it involves a trading horizon of just a few days. The large profits given a short...
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Standard contingent claims models of the levered firm examine capital structure choices with the assumption that full offsets of corporate losses are allowed. However, restrictions on tax loss carry-forwards (TLCF) are the rule rather than the exception. The EBIT model of Goldstein et al. (2001)...
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We examine the impact of the U.S. bankruptcy procedure on the valuation of corporate securities and capital structure decisions. We provide closed-form solutions for corporate debt and equity values when defaulting firms can either liquidate their assets or renegotiate outstanding debt under...
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Comments by the Federal Reserve Chairman often evoked concerns about whether the government would protect bondholders in the event of default by Fannie Mae and Freddie Mac (F&F). Using a model of capital structure, we analyze the impact of this uncertainty on the value of the implicit subsidy...
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In a massive intervention designed to deter speculators, the Hong Kong Monetary Authority (HKMA) bought Hang Seng index stocks in August 1998. These stocks experienced a 24% abnormal return during the intervention period. The abnormal returns are not reversed over the next eight weeks, refuting...
Persistent link: https://www.econbiz.de/10005781525
On December 4, 2006, the side-by-side trading of Commodities Exchange (COMEX) Division’s gold and silver futures contracts was launched on Chicago Mercantile Exchange’s Globex electronic trading platform, as a fight-back against the introduction of copies of these contracts from the Chicago...
Persistent link: https://www.econbiz.de/10005553353