Thinly-traded private assets do not fit into the traditional finance paradigm of a liquid and well-functioning market where trading is continuous and instantaneous. Since private assets cannot be bought and sold easily, they bear liquidity risk. Classical finance theories cannot properly gauge...

It is well documented in the literature that long-run asset prices do not follow the random walk, and their returns are not independent and identically-distributed (i.i.d.) over time. But how can this notion – long-run returns and volatilities being horizon dependent - be incorporated into...

Direct application of Modern Portfolio Theory (MPT) to the mixed-asset portfolio often suggests that allocation to real estate should be far more than what is practically acceptable. This paper reveals that the puzzling gap is caused by inappropriate application of MPT using only short-term...

We examine the impact of shareholder litigation on short selling ahead of PIPEs. We find that PIPE issuers that incurred securities class action lawsuits prior to the PIPE are shorted more heavily ahead of the PIPE issue. The case status at the PIPE date, the severity of the lawsuit, and the...