Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961402 | Journal of Financial Markets | 2013 | 28 Pages |
Abstract
⺠Document active trading for Chapter 11 stocks throughout the bankruptcy process. ⺠Equity value after Chapter 11 filing can be explained by the option theory. ⺠Return correlation exhibits non-linearity similar to out-of-money call options. ⺠Investing in Chapter 11 stocks incurs large losses. ⺠Negative return is consistent with heterogeneous beliefs and limits to arbitrage.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yuanzhi Li, Zhaodong (Ken) Zhong,