This study examines the effect of corporate liquidity and investor protection on the relation between financial distress and equity returns using a European sample over the 2002-2016 period. The results show that returns are hump-shaped and decreasing for increasing default risk. This can be rationalized by corporate liquidity indicating that higher cash holdings decrease liquidity risk. Moreov...

Managements (“insiders”) of many corporations, especially small or newly-public firms, invest considerable resources in investor relations. We develop a model to explore the incentives of insiders to undertake such costly investments. We point out that insiders may undertake such investments not necessarily to improve the share price, but to enhance the liquidity of their block of shares. This ...

This paper analyzes the portfolio decision of an investor facing the threat of illiquidity. In a continuous-time setting, the efficiency loss due to illiquidity is addressed and quantified. We show that the efficiency loss for a logarithmic investor with 30 years until the investment horizon is a significant 22.7% of current wealth if the illiquidity part of the model is calibrated to the Japan...

In this paper we compare the two standard forms of international investments in developing countries, debt and foreign direct investment, from a finance perspective. It is shown that the sovereign risks associated with debt finance are generally less severe than the ones which come with FDI. FDI is chosen only if the foreign investor is more efficient in running the project, if the project is r...

We study a discontinuous mispricing model of a risky asset under asymmetric information where jumps in the asset price and mispricing are modelled by Lévy processes. By contracting the filtration of the informed investor, we obtain optimal portfolios and maximum expected utilities for the informed and uninformed investors. We also discuss their asymptotic properties, which can be estimated usin...

Research has focussed on the impact that factors such as IT, marketplace process design and competition have on electronic marketplace performance. However, such research has neglected the impact of ownership upon the performance of an electronic marketplace. This paper explores the issue of ownership in electronic marketplaces and derives a broad, multi-faceted perspective of ownership, incorp...

Portfolio selection is a usual multiobjective problem. This paper will try to deal with the optimum portfolio for a private investor, taking into account three criteria: return, risk and liquidity. These objectives, in general, are not crisp from the point of view of the investor, so we will deal with them in fuzzy terms. The problem formulation is a goal programming (G.P.) one, where the goals...