Sources of gains to shareholders from bankruptcy resolution

Article Abstract:

A logistic regression analysis shows that shareholders of smaller firms with a higher ratio of convertible debt relative to total liabilities are likely to benefit after the bankruptcy filing of their firms. Bankruptcy filing is found to be a part of these firms' strategy. These firms also have a lower ownership concentration ratio and larger pre-filing stock price declines. Results also indicate that a portfolio consisting of stocks with more than a 50% chance of being a winner can generate as much as 71.1% one-year compounded returns and 42% excess compounded returns.

Stockholders, Bankruptcy

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The accuracy of the tick test: evidence from the Australian stock exchange

Article Abstract:

C.M.C. Lee and M.J. Ready claim that the 'tick' rule is 90% accurate in assessing whether a trade is buyer or seller initiated. To test the validity of their claim, cleaner intra-day data were obtained from a study of the Australian stock exchange. Results show that the tick rule is only approximately 74% accurate. However, in the absence of zero ticks, accuracy went up to 90%. The tick rule was also found to be less accurate in a volatile or trending market, aside from being less likely to accurately classify seller initiated trades and small buyer initiated trades.

Australia, Evaluation, Stocks

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A linear model for tracking error minimization

Article Abstract:

Four models for minimizing the tracking error between the returns of a portfolio and a benchmark are tested by applying them to a portfolio containing six national market indexes and minimizing the tracking error with respect to the Morgan Stanley Capital International Index. The results are then compared with those derived from a quadratic tracking error optimization method. Findings suggest that optimization models should be geared toward the specific investment objective. The models are also found to be consistent with expected utility maximization.

Stock price indexes

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