Using a sample of Australian firms, we document improvements in operating performance following performance shocks. These improvements result in part from turnaround strategies adopted by management. Evidence suggests that changes made to leverage and operating expenses result in a negative contemporaneous effect on performance improvement. The adjustments made to working capital (revenue growt...

In the absence of frictions if a portfolio strategy replicates the payoff of one unit of a claim, an appropriately scaled strategy replicates any amount of the claim. If assets are priced by arbitrage, the value per-unit is invariant to the amount of the asset considered. In particular, in the case of American claims, the optimal exercise time is independent of the amount of the claim that is c...

Article history: Received 6 August 2014 Received in revised form 14 November 2015 Accepted 16 November 2015 Available online 26 November 2015 This paper examines the incentives of national regulators to coordinate capital adequacy requirements in the presence of systemic risk in global financial markets. In a two-country model, correlated asset fire sales by banks generate systemic risk across ...

Modern asset pricing theory generally assumes frictionless trading. Under this assumption, an investor would revise his portfolio holdings at every date on which he could trade. However, in models where an investor faces financial market frictions such as transactions costs, the portfolio is optimally rebalanced less frequently. This paper examines the portfolio trading problem for an investor ...

We examine the participation of public and private firms in merger waves and productivity outcomes. We show that public firms participate more than private firms as buyers and sellers of assets and their participation is more cyclical. Public firms are affected more by credit spreads and aggregate market valuation. Public firm transactions are also impacted positively by their stock market valu...

The objective of this study is to estimate and evaluate the corporate intangibles management. This study proposes a framework to measure the corporate performances produced by intangibles. First, the operating profit is divided into the non-intangible profit, which the company can produce without its own intangibles, and the intangible determinants of the profit. To divide the non-intangible pr...

We study whether firms spread out debt maturity dates, which we call “granularity of corporate debt.” In our model, firms that are unable to roll over expiring debt need to liquidate assets. If multiple small asset sales are less inefficient than a single large one, it can be optimal to diversify debt rollovers across time. Using a large sample of corporate bond issuers during the 1991–2012 per...

This thesis proposes a mathematical framework for studying feedback effects and endogenous risk in financial markets. We propose a multi-period model of a financial market with multiple assets, which takes into account the price impact generated by large shifts in supply and demand from financial institutions. Chapter 1 reviews the existing empirical and theoretical literature on feedback effec...

As prosecutors have increasingly invoked asset forfeiture laws in their war against crime, scholars have harshly criticized the use of forfeiture laws to seize attorneys' fees. In cases in which attorneys' fees are seized, prosecutors claim that defendants are paying their lawyers with the proceeds of criminal activity. For example, drug dealers might use the profits from cocaine or heroin sale...

The recent crisis was characterized by massive illiquidity. This paper reviews what we know and don't know about illiquidity and all its friends: market freezes, fire sales, contagion, and ultimately insolvencies and bailouts. It first explains why liquidity cannot easily be apprehended through a single statistics, and asks whether liquidity should be regulated given that a capital adequacy req...