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