We model illiquid asset markets where institutional investors account for their priceimpact when trading. The model explains why liquidity beta’s and market prices of liquidity-risk are time varying, and elevated during periods of market turbulence and heightened trading. We extend the distressed investor literature to a setting where all investors are optimizing, rational, and aware of distres...

As the chase for great assets in biopharma gets tighter, the decision to proceed with a merger, acquisition or strategic transaction usually comes down to price. It’s also likely that both parties to the deal will rely on the standard discounted cash ow (DCF) methodology as the basic criteria to set the value of the asset, reinforced by estimates of future sales growth and market share. Yet whi...

There are numerous examples of assets with identical payout streams being priced differently. These violations of the law of one price result from two factors. First, investors have heterogeneous asset valuations so that if two groups of investors trade in segmented markets they are likely to set different prices because they have different expectations as to the value of the identical assets. ...

We investigate acquirer returns using a comprehensive sample of government asset sale announcements in 123 countries around the world in 1984-2009. Overall, we find positive abnormal returns to acquirers of state-owned assets. Returns are greater when the acquirer is domestic, when the sale occurs in a developing nation, and when the acquirer itself is not a former stateowned enterprise. Buyers...

When investors have differences of opinion about the payoffs of a stock, Harrison and Kreps (1978) demonstrate the existence of a speculative bubble in the stock price, that is, the stock price can exceed the valuation of the most optimistic investor. A crucial condition that supports this result in their model is that investors are not allowed to short sell the stock. This paper demonstrates t...

Purpose: This research aims to identify asset structure, dividend policy, and partial sales of stock prices. Theoretical framework: Asset Structure, Dividend Management, Sales Growth Improve Stock Prices. topic has already been the site several debates in literary circles. Design/methodology/approach: method involves using a classical assumption, regressive analysis, hypothesis. Illustration ri...

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related fire sales balance sheet interactions. take a structural approach price formation in as Bluhm et al. (2014) introduce market clearing mechanism with endogenous prices. find that, first, which are active both interbank securities markets act plague-spreaders during financial distress...

I define a notion of completitive equilibrium for asset markets where assets are heterogeneous and traders have heterogenoeus information about them. I then apply this notion to a model of distressed sales under asymmetric information and examine whether it can account for fire sales: sharp drops in prices when distressed agents need to sell assets. Standard models of asymmetric information wit...