George Batta, George Chacko & Bala Dharan, A Liquidity-Based Explanation of Convertible Arbitrage Alphas, 20 J. Fixed Income 28 (2010).
Sub-Categories:, , ,
The authors examine the extent to which excess returns from convertible arbitrage represent positive returns to managers from exploiting pricing inefficiencies versus compensation for exposure to systematic risk factors. Initial empirical tests show that when liquidity risk is excluded as a factor, a good portion of abnormal returns to convertible bond strategies appears to be driven both by overpricing of the underlying equity and apparent underpricing of convertible bonds. However, when the effects of liquidity are included, abnormal returns to convertible bond arbitrage essentially disappear and only remain localized in convertible debt trading closer to the issuance date.
Enron and Other Corporate Fiascos: The Corporate Scandal Reader (Nancy Rapoport, Jeffrey Van Niel & Bala Dharan, eds., Foundation Press 2009).
This law school text explores the Enron debacle from a variety of different aspects. Essays analyze the business-government interactions and decisions that laid the foundations for Enron's growth and subsequent demise. Other essays describe and detail the complex web of partnerships and accounting tricks used by Enron to hide bad news and project good news. Additional essays focus on the ethical and legal dimensions of the Enron crisis, and the subsequent lessons for business and law students, as well as for society.
Bala Dharan, Valuation Issues in the Coming Wave of Goodwill and Asset Impairments, 15 Bus. Valuation Update 1 (2009).
Bala G. Dharan & David L. Ikenberry, The Long-Run Negative Drift of Post-Listing Stock Returns, 50 J. Finance 1547 (1995).
After firms move trading in their stock to the American or New York Stock Exchanges, stock returns are generally poor. Although many listing firms issue equity around the time of listing, post-listing performance is not entirely explained by the equity issuance puzzle. Similar to the conclusions regarding other long-run phenomena, poor post-listing performance appears related to managers timing their application for listing. Managers of smaller firms, where initial listing requirements may be more binding, tend to apply for listing prior to a decline in performance. Poor post-listing performance is not observed in larger firms.