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Market making and optimal portfolio liquidation in the context of electronic limit order books are of considerably practical importance for high frequency (HF) market makers as well as more traditional brokerage firms supplying optimal execution services for clients. In general, the two problems are based on probabilistic models defined on certain reference probability spaces. However, due to uncertainty in model parameters or in periods of extreme market turmoil, ambiguity concerning the correct underlying probability measure may appear and an assessment of model risk, as well as the uncertainty on the choice of the model itself, becomes important, as for a market maker or a trader attempting to liquidate large positions, the uncertainty may result in unexpected consequences due to severe mispricing. This paper focuses on the market making and the optimal liquidation problems using limit orders, accounting for model risk or uncertainty. Both are formulated as stochastic optimal control problems, with the controls being the spreads, relative to a reference price, at which orders are placed. The models consider uncertainty in both the drift and volatility of the underlying reference price, for the study of the effect of the uncertainty on the behavior of the market maker, accounting also for inventory restriction, as well as on the optimal liquidation using limit orders. [ABSTRACT FROM AUTHOR]

Nowadays, in the field of civil engineering there exists an upward trend towards environmental sustainability. It relates mainly to the achievement of energy efficiency and also to the emission reduction throughout the whole life cycle of the building, i.e. in the course of its implementation, use and liquidation. These requirements are fulfilled, to a large extent, by green buildings. The characteristic feature of green buildings are primarily highly-sophisticated technical and technological equipments which are installed therein. The sophisticated systems of technological equipments need also the sophisticated management. From this point of view the facility management has all prerequisites to meet this requirement. The paper is aimed to define the facility management as an effective method which enables the optimization of the management of supporting activities by creating conditions for the optimum operation of green buildings viewed from the aspect of the environmental conditions [ABSTRACT FROM AUTHOR]

Copyright of Transformations in Business & Economics is the property of Vilnius University and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper proposes an intuitive and flexible framework to quantify liquidation risk for financial institutions. We develop a model where the “fundamental” dynamics of assets is modified by price impacts from fund liquidations. We characterize mathematically the liquidation schedule of financial institutions and study in detail the fire sales resulting endogenously from margin constraints when a financial institution trades through an exchange. Our study enables to obtain tractable formulas for the value at risk and expected shortfall of a financial institution in the presence of fund liquidation. In particular, we find an additive decomposition for liquidation-adjusted risk measures. We show that such a measure can be expressed as a “fundamental” risk measure plus a liquidation risk adjustment that is proportional to the size of fund positions as a fraction of asset market depths. Our results can be used by risk managers in financial institutions to tackle liquidity events arising from fund liquidations better and adjust their portfolio allocations to liquidation risk more accurately. [ABSTRACT FROM AUTHOR]

This paper provides original empirical evidence on the financial outcome of insolvency filings in Europe. We adopt a cross-country analysis of the determinants of recovery rates isolating three types of creditors (junior, senior, and new money claims). We investigate the structure of recoveries on a unique hand-collected sample of bankrupt firms in France, Germany, and the UK. We initially question value maximization, and study to which extent the legal provisions prevailing after insolvency filing can influence creditors’ overall recoveries. Three procedures differ significantly from our benchmark (UK liquidations). French continuation and UK receivership exert a positive influence onto total repayments, while such influence becomes negative under French liquidation. We relate this finding to the ability of the two former procedures to improve coordination among the creditors, monitoring of the debtor, and/or incentives to file early. We then analyze value distribution by examining competition between the categories of creditors. We show that the insolvency systems do not converge. Junior and senior creditors are better served under the German and the French continuation procedures than in any other bankruptcy path. At the opposite, the UK liquidation procedures fail to satisfactorily serve the junior/senior creditors. Still, nearly all the insolvency procedures support fresh financing by protecting quite well new money claims. Overall, we do not confirm any superiority of one family of insolvency system over another, but rather stress the importance of an appropriate design of the procedures, especially regarding the incentives they create before and after insolvency filing. [ABSTRACT FROM AUTHOR]

Copyright of Technical Transactions / Czasopismo Techniczne is the property of Sciendo and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Revista El Directivo al Día is the property of Centro de Informacion y Gestion Tecnologica (CIGET) and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Cris is the property of Historical Society of Krizevci and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Annals of the Polish Association of Agricultural & Agribusiness Economists / Roczniki Naukowe Stowarzyszenia Ekonomistow Rolnictwa & Agrobiznesu is the property of Polish Association of Agricultural & Agribusiness Economists and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

While reorganisation procedures aim to salvage financially distressed firms, they are often abused, as uneconomic, failing firms commence with proceedings that erode value rather than preserve it. The commencement standard for business rescue is aimed at preventing such abuse, though it is often hampered by vagueness and limited practical application. Drawing on turnaround literature and the requirements of a commencement standard, this study attempts to address these drawbacks by assessing the prospect of reorganisation on commencement. The study identifies from the turnaround literature nine liabilities that could prove fatal. Under the widely-held principle of value maximisation, the researchers then propose a 'likelihood of liquidation' framework to evaluate, before the commencement of proceedings, the reasonable prospect of the firm's recovering. The analysis in this paper sets the agenda for future research and provides an opportunity to explore the practical application of the framework. [ABSTRACT FROM AUTHOR]

Copyright of Contributions / Prilozi is the property of Institute for History, University of Sarajevo and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The Insolvency and Bankruptcy Code (IBC) of India which offers a mode of reorganisation for distressed corporations prevents promoters and directors with non-performing assets from submitting plans to rescue their company. This provision is contained under section 29A of the IBC. Judicial interpretation has required corporate reorganisations under India's Companies Act to give effect to the limitations under section 29A as well. The introduction and application of section 29A is reflective of a broader scepticism towards allowing promoters and directors whose companies entered financial distress from regaining control. This article evaluates whether section 29A has addressed the problems it had set out to and finds that some ineligibilities prescribed for the incumbent management under section 29A can be relaxed. It also uses the example of the United Kingdom's insolvency regime (with which India bears similarities) to explain why resolution plans from the incumbent management should not be disallowed. [ABSTRACT FROM AUTHOR]

Over the past decade, there has been a significant rise in assets managed under passive and systematic strategies. Such strategies hold and trade portfolios in a coordinated manner, often concentrating trading around the end of the trading session. Simultaneously, there has been a rise in activity from market participants that act as liquidity providers, themselves trading along portfolio directions. In "Cross-Sectional Variation of Intraday Liquidity, cross-impact, and Their Effect on Portfolio Execution," Min, Maglaras, and Moallemi investigate the implications of these two observations, specifically exploring how the phenomenon of portfolio liquidity provision leads to cross-security impact and influences the optimal execution schedules of risk-neutral traders that seek to minimize their expected execution costs. They show that the optimized schedules deviate from the naïve approach that trades each security separately and instead, couple the trading intensity across stocks so as to benefit from the liquidity provided along attractive portfolio trading directions. Empirical analysis demonstrates that coupled optimized schedules could lower costs by as much as 15% relative to the naïve approach. An analysis of intraday volumes for the S&P 500 constituent stocks illustrates that (i) volume surprises (i.e., deviations from forecasted trading volumes) are correlated across stocks and that (ii) this correlation increases during the last few hours of the trading session. These observations can be attributed partly to the prevalence of portfolio trading activity that is implicit in the growth of passive (systematic) investment strategies and partly to the increased trading intensity of such strategies toward the end of the trading session. In this paper, we investigate the consequences of such portfolio liquidity on price impact and portfolio execution. We derive a linear cross-asset market impact from a stylized model that explicitly captures the fact that a certain fraction of natural liquidity providers trade only portfolios of stocks whenever they choose to execute. We find that because of cross-impact and its intraday variation, it is optimal for a risk-neutral cost-minimizing liquidator to execute a portfolio of orders in a coupled manner, as opposed to the separable volume-weighted average price execution schedule that is often assumed. The optimal schedule couples the execution on the individual stocks so as to take advantage of increased portfolio liquidity toward the end of the day. A worst case analysis shows that the potential cost reduction from this optimized execution schedule over the separable approach can be as high as 15% for plausible model parameters. Finally, we discuss how to estimate cross-sectional price impact if one had a data set of realized portfolio transaction records by exploiting the low-rank structure of its coefficient matrix suggested by our analysis. [ABSTRACT FROM AUTHOR]

We propose a forward approach to study the performance of liquidation strategies under sequential model parameter updates. The forward liquidation program consists of pasting forward in time and in a time-consistent fashion a series of optimal liquidation problems. They are triggered at the parameter shift instances, thus entirely eliminating model error, and last at most till the next parameter update. However, due to the nature of the model dynamics, solutions may cease to exist in finite time, even before the subsequent parameter update. Furthermore, forward liquidation strategies may never lead to full liquidation, even though they maximize the average utility of revenue and always preserve time-consistency. In juxtaposition, the traditional approach delivers full liquidation at the sought horizon but encounters considerable model error, generates value erosion, and is time-inconsistent. [ABSTRACT FROM AUTHOR]

Copyright of Revista Jurídica de la Universidad Autonóma de Madrid is the property of Dykinson SL and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper points out the problems of liquidity, disposal and obtaining funds, inability to collect receivables, delayed payments in times of economic and financial instability and dynamic business upheavals and uncertainty. As a contribution to resolve these issues new alternative methods of financing for business are imposing, one of them is factoring. Although most countries don't have adequate legal framework, factoring has emerged as the dominant form of financing, whose current status and development points to the prospects of development in the future. In terms of measures and actions which are taken to combat these issues, as well as legislation, many efforts are made at international level in European Union and in Croatia. Overview and description of the factoring development, and indications for further development are presented in relation to the world, the European Union and the Republic of Croatia. This paper also describes factoring comparison among European countries. [ABSTRACT FROM AUTHOR]

This paper examines the interaction between product market competition and international differences in shareholder rights in relation to firm performance and corporate policies. In contrast to existing literature, we provide evidence of complementarities between product market competition and country shareholder rights protections. The benefits of shareholder rights protections for firm performance are conditional on the presence of a competitive industry environment. We find that stronger shareholder rights protections are associated with better firm performance in competitive industries. However, this relation is not significant in concentrated industries. Consistent results are obtained from the analysis of key corporate policies. [ABSTRACT FROM AUTHOR]

This paper examines firms' short-term financing choices between intermediated loans and trade credit. I test two sets of empirical hypotheses: 1) hypotheses concerning the cross-sectional differences in the level of intermediary finance for firms that use different levels of trade credit and 2) hypotheses concerning the dynamics of trade credit growth. I find strong evidence that for firms with high agency costs, the use of trade credit facilitates access to conventional bank loans. The evidence is consistent with theories based on the signaling role of trade credit provision and suppliers' liquidation advantage. [ABSTRACT FROM AUTHOR]

Abstract: This paper uses real options analysis to study later round financing in the presence of two standard venture capital contracting provisions: anti-dilution (ratchet) and liquidation preference. We argue that such provisions can preclude financing of a positive NPV venture in the case of a large follow-on financing relative to firm value. Liquidation preference contracting at multiples greater than one is not feasible in the later round if the financing is small relative to firm value. We highlight an interaction effect between the two provisions: increasing the liquidation multiple can help to avoid dilution and the need for the prior venture capitalist to waive ratchet provisions. [Copyright &y& Elsevier]

This paper is concerned with liquidation of an illiquid stock. The stock price follows a fluid model which is dictated by the rates of selling and buying over time. The objective is to maximize the expected overall return. The method of constrained viscosity solution is used to characterize the dynamics governing the optimal reward function and the associated boundary conditions. Numerical examples are given to illustrate the results. [ABSTRACT FROM AUTHOR]

This paper proposes a portfolio choice model in which investors are subject to liquidation risk and (endogenously) face higher costs in the event of joint liquidation (as was observed during the crisis of 2008 to 2009). The risk of joint liquidation creates an incentive for investors to choose heterogeneous portfolios and to rationally forgo diversification benefits. Joint liquidation risk is also reflected in asset prices, resulting in (1) assets with high idiosyncratic risk having low expected returns, and (2) assets that display high correlation with the portfolios of (liquidation-prone) investors having high expected returns. [ABSTRACT FROM AUTHOR]

This paper analyzes a version of the static Kyle's (1985) model of insider trading where both the distribution of the liquidation value of the risky asset and the distribution of the order flow of noise traders are discrete. We derive necessary and sufficient conditions for the existence of perfect Bayesian equilibria where the insider's strategy is increasing in the value of the asset, and show that such equilibria can be constructed if and only if the variance of the asset is not too extreme. The results in this paper are relevant in contexts where a discrete version of the static Kyle's (1985) model might be a convenient modelling choice. [ABSTRACT FROM AUTHOR]

The optimal liquidation problem with transaction costs, which includes a positive fixed cost, and market impact costs, is studied in this paper as a constrained stochastic optimal control problem. We assume that trading is instantaneous and the dynamics of the stock to be liquidated follows a geometric Brownian motion. The solution to the impulse control problem is computed at each time step by solving a linear partial differential equation and a maximization problem. In contrast to results obtained from the static formulation of Almgren and Chriss [J. Risk, 2000, 3, 5-39], when risk is not considered, the optimal liquidation strategy from our stochastic control formulation depends on temporary market impact cost and permanent market impact cost parameters. In addition, our computational results indicate the following properties of the optimal execution strategy from the stochastic control formulation. Due to the existence of a no-transaction region, it may not be optimal for some individuals to sell their assets on some trading dates. As the value of the permanent market impact parameter increases, the expected optimal amount liquidated at the terminal time increases. As the value of the quadratic temporary impact cost parameter increases, the expected optimal amount liquidated at trading times tends to be uniform, and the no-transaction region shrinks. In the presence of quadratic temporary market impact costs, in contrast to optimal strategies that result from fixed and/or proportional transaction costs alone, portfolios in the selling region are neither re-balanced into the no-transaction region nor into the sell and no-transaction interface. [ABSTRACT FROM AUTHOR]

Copyright of Singidunum Scientific Review / Singidunum Revija is the property of Singidunum University and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Firms may exit the market in several ways and each form of exit is likely to be caused by different factors (Schary in RAND J Econ 22:339–353, 1991). This paper explores the determinants of different exit routes. Using a sample of Spanish manufacturing firms for 1990–2000, we estimate a competing risks proportional hazards model to identify the factors leading firms to exit the market through (the mutually precluding events of) liquidation/bankruptcy and acquisition/merger. Our results show the existence of a sharp difference between the determinants of these two exit routes in terms of firm and industry characteristics. [ABSTRACT FROM AUTHOR]

Abstract: This paper develops a real option model in which the interaction between debt, liquidation policy and risky investments is studied. We consider a manager who owns the firm and faces the opportunity to invest in risky projects which may boost current profits at the cost of bankruptcy if they turn out to be unsuccessful. These investments are “last resort gambles” in the sense that, if successful, they save the company from insolvency, while, if unsuccessful, they make liquidation unavoidable. It is shown that last resort gambles delay liquidation. We study how the liquidation trigger and the last resort investment decisions are affected by the firm''s capital structure. [Copyright &y& Elsevier]

This paper studies the impact of land supply elasticity and land use regulation. For sufficiently adverse shocks constrained entrepreneurs liquidate their assets for debt repayment. This effect can spillover to the residential property market. A crisis occurs when households are forced to default on their mortgages as well. While both converting costs and land use regulation tend to magnify the effect of adverse shock, the former generates an asymmetric effect between a positive and a negative shock on the land market, and the latter tends to raise the likelihood of a crisis, by raising the threshold value of liquidation. [ABSTRACT FROM AUTHOR]

Instead of focusing on the difference between a labour-managed (LMF) and a profit maximizing firm (PMF) in terms of final out-come and occupation, this paper considers the actual possibility for a firm to be financed from outside. A simple case of moral hazard in the credit market is analyzed. A bank, for limited funds, can finance one of two potential firms, a LMF or a PMF, both with similar project size. The Italian case is taken into account: the law n. 142/2001 has equalized the position of workers and members of a LMF as (own) firm creditors during a liquidation. This has an effect on the structure of creditors priorities in case a firm goes bankrupt and, in particular, on money-lenders likelihood of getting their loans back. It is argued that, before the law, the LMF had in general an advantage on the PMF, from banks viewpoint, for it faced a lower moral hazard problem on effort contribution. After the law, even though the direct consequence seems to be a draw back in LMF credit-worthiness, the model shows that, on given conditions, this type of firm remains more competitive as a bank borrower. [ABSTRACT FROM AUTHOR]

Copyright of Canadian Journal of Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data vendors and may decide to stop doing so. By extending existing methodology, we analyze persistence in hedge fund performance over the period 1994-2000, taking into account the above biases. The results show that look-ahead biases due to liquidation and self-selection enforce each other and may lead to overestimating expected returns by as much as 8% per year. Overall, the results are consistent with positive persistence in hedge fund returns at horizons of two and four quarters. [ABSTRACT FROM AUTHOR]

This paper investigates the choice between bank debt and trade credit in business start-ups. While trade credit is more expensive than bank debt, suppliers tend to follow a more lenient liquidation policy when client firms encounter financial distress. As a result, suppliers are more willing to renegotiate the outstanding debt or grant additional debt whereas banks are more likely to liquidate borrowers upon default. Given the risky nature of business start-ups, we argue that the entrepreneur’s choice of debt instruments reflects these differences in liquidation policy between lenders and is thus determined by the venture’s failure risk, the entrepreneur’s private control benefits that are lost upon liquidation and the liquidation value of firm assets. Using unique data on 325 first-time business start-ups, we find that firms in industries with high historical start-up failure rates and entrepreneurs who tend to highly value private benefits of control use less bank debt. These effects are especially prevalent in start-ups where assets have a high liquidation value and thus banks are more likely to liquidate the venture following default. [ABSTRACT FROM AUTHOR]

This paper develops trading strategies for liquidation of a financial security, which maximize the expected return. The problem is formulated as a stochastic programming problem that utilizes the scenario representation of possible returns. Two eases are considered, a case with no constraint on risk and a case when the risk of losses associated with trading strategy is constrained by Conditional Value-at-Risk (CVaR) measure. In the first case, two algorithms are proposed; one is based on linear programming techniques, and the other uses dynamic programming to solve the formulated stochastic program. The third proposed algorithm is obtained by adding the risk constraints to the linear program. The algorithms provide path-dependent strategies, i.e., the fraction of security sold depends upon price sample-path of the security up to the current moment. The performance of the considered approaches is tested using a set of historical sample-paths of prices. [ABSTRACT FROM AUTHOR]

This paper examines the similarities and differences in the determinants of the three mutual fund exit forms: liquidation, within-family merger, and across-family merger. All defunct mutual fund portfolios have smaller size and lower inflows. A family is less willing to liquidate a portfolio but more likely to merge a portfolio within the family if it offers more share classes. Large families are more likely to merge portfolios within the family, while a family with poor performance is more likely to sell relatively unique portfolios to other families to stay focused. This paper also compares within-objective mergers with across-objective mergers. [ABSTRACT FROM AUTHOR]

This paper deals with market exit issues in the insurance industry. It examines theoretical and practical aspects of exit regulation in insurance as well as internal and external factors that firms may use to select a market exit strategy. From comparing regulatory stringency and permitted forms of market exit in selected countries in Asia. Europe, and North America, the authors find several commonalities. That is, regulators tend to accentuate their responsibility for protecting policyholders' interests, be deeply involved in most exit processes, and prefer other forms of exit (e.g., buy-out of liabilities or a complete acquisition of business by another firm) than immediate dissolution of insurers. However. not all governments examined are ready to effectively deal with matters related to insurers' exits from the market. Some governments need better structured regulation and some transparency in market exit regulation. [ABSTRACT FROM AUTHOR]

Using a model of a competitive credit market, we study a firm's choice between financing a production project using a transaction loan and a relationship loan. The project itself is characterized by uncertainty, with regards to both the amount and the timing of revenue. While the transaction lender enjoys a relatively lower cost of funds, the relationship lender's advantage lies in being able to make a relatively more informed decision about the continuation value of the project in the event that the firm misses its initial payment obligation. In this setting, we make two important findings. First, we document how the firm's optimal choice of loan type is dependent on both the liquidation value of the project and how accessible transaction credit is to distressed firms. Second, we investigate an opportunity for a lender to improve the quality of its lending relationship with the firm, and find that, under imperfect information, the lender may choose to decline certain welfare improving innovations. [ABSTRACT FROM AUTHOR]

Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, ambiguity is characterized using an instantaneous time-varying elasticity concept. Several bi-dimensional liquidity measures that cope with the ambiguity problem are constructed. First, it is shown that bi-dimensional measures are superior since commonalities in overall liquidity cannot be fully explained by the common factors in one-dimensional proxies of liquidity. Second, it is shown that an infinitesimal variation in either market volatility or trading activity augments the probability of observing an unambiguous liquidity adjustment. Ambiguity strongly depends on the expected (deterministic) component of volatility. [ABSTRACT FROM AUTHOR]

Based on the multi-agent model, an artificial stock market with four types of traders is constructed. On this basis, this paper focuses on comparing the effects of liquidation behavior on market liquidity, volatility, price discovery efficiency and long memory of absolute returns when the institutional trader adopts equal-order strategy, Volume Weighted Average Price (VWAP) strategy and Implementation Shortfall (IS) strategy respectively. The results show the following: (1) the artificial stock market based on multi-agent model can reproduce the stylized facts of real stock market well; (2) among these three algorithmic trading strategies, IS strategy causes the longest liquidation time and the lowest liquidation cost; (3) the liquidation behavior of institutional trader will significantly reduce market liquidity, price discovery efficiency and long memory of absolute returns, and increase market volatility; (4) in comparison, IS strategy has the least impact on market liquidity, volatility and price discovery efficiency, while VWAP strategy has the least impact on long memory of absolute returns. [ABSTRACT FROM AUTHOR]

In the 1990s, Mexico gradually dismantled and ultimately liquidated CONASUPO, its state enterprise in agriculture. CONASUPO was a typical less developed country (LDC) parastatal, exacting control over an important component of Mexico’s food chain. This paper examines the demise of CONASUPO in the context of domestic economic reforms and trade liberalisation. It documents the process by which CONASUPO was eleminated, the political environment that made this possible, and the implications for agricultural production and trade. The paper concludes by distilling lessons from Mexico’s experience for other LDCs as the liberalisation of domestic and international markets continues to unfold. [ABSTRACT FROM AUTHOR]

The priority of secured credit has repeatedly and famously been attacked for allowing the exploitation of certain types of unsecured creditor. It has also been blamed for creating inefficiencies. This paper examines these arguments specifically as applied to this jurisdiction, and using both theoretical analysis and recent empirical data, suggests none of them can be sustained. It is argued that security is unlikely to lead to the exploitation of involuntary, ‘uninformed’, or ‘unsophisticated’ creditors, since the perverse incentives it allegedly creates for the debtor's management are likely to be outweighed by the managers' liquidation‐related costs. It is then pointed out that both exploitation‐based and inefficiency‐based attacks on the priority of secured credit depend on the assumption that secured credit is generally cheaper than unsecured credit, and further, that this is why debtors prefer to borrow on a secured rather than unsecured basis. Recent evidence from this jurisdiction is used to challenge this assumption. This has dramatic implications for the attacks on security, which are discussed. The paper concludes with the demonstration that secured credit, by inducing creditors to lend when they would not do so without being offered priority, is mutually value‐enhancing for all types of creditor, including unsecured ones. [ABSTRACT FROM PUBLISHER]

There is an increasing interest in machine learning for bankruptcy prediction with more and more researchers contributing to the literature. Although there is a considerable amount of research, the domain does not seem to be aligned and there is still a lot of indecisiveness in terms of what is the best method to be used and on which data. Using Web of Science, Scopus and ScienceDirect databases, a systematic review of 32 texts published between 2016 and 2020 was conducted. This review shows a summary of those papers based on 9 criteria. The criteria identified include source of data, number and type of variables, models used, industry type, and timeline of dataset, sample size, aim and result as well as accuracy of the best performing model used. Overall, it has found that no model performs best on any type of data and that the domain is still away from having a conclusion about what works best and where. This paper contributes towards updating academics and practitioners with the current state of the domain, tools used for bankruptcy prediction lately and their performance.

The aim of the present article is to model and predict the financial failure of non-financial companies listed on the Bucharest Stock Exchange. The prediction models are based on the companies’ financial reports. The paper emphasizes the importance of processing outlier data and the significance of categorical independent variables. The paper contributes to bankruptcy and corporate financial failure research by presenting a Romanian situation. Results show that the model that uses 3-year financial data prior to the failure has a better accuracy. Several models have been compared, and it was found that using categorical independent variables as explanatory variables increased the accuracy of the models against those that used numerical regressors.

For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus on a class of dark-pool models whose market impact at the exchange is described by an Almgren–Chriss model. Conditions for the absence of price manipulation for all Almgren–Chriss models include the absence of temporary cross-venue impact, the presence of full permanent cross-venue impact and the additional penalization of orders executed in the dark pool. When a particular Almgren–Chriss model has been fixed, we show by a number of examples that the regularity of the dark-pool model hinges in a subtle way on the interplay of all model parameters and on the liquidation time constraint. The paper can also be seen as a case study for the regularity of market impact models in general. [ABSTRACT FROM PUBLISHER]

Management of a portfolio that includes an illiquid asset is an important problem of modern mathematical finance. One of the ways to model illiquidity among others is to build an optimization problem and assume that one of the assets in a portfolio cannot be sold until a certain finite, infinite or random moment of time. This approach arises a certain amount of models that are actively studied at the moment. Working in the Merton's optimal consumption framework with continuous time we consider an optimization problem for a portfolio with an illiquid, a risky and a risk-free asset. Our goal in this paper is to carry out a complete Lie group analysis of PDEs describing value function and investment and consumption strategies for a portfolio with an illiquid asset that is sold in an exogenous random moment of time with a prescribed liquidation time distribution. The problem of such type leads to three dimensional nonlinear Hamilton–Jacobi–Bellman (HJB) equations. Such equations are not only tedious for analytical methods but are also quite challenging form a numeric point of view. To reduce the three-dimensional problem to a two-dimensional one or even to an ODE one usually uses some substitutions, yet the methods used to find such substitutions are rarely discussed by the authors. We find the admitted Lie algebra for a broad class of liquidation time distributions in cases of HARA and log utility functions and formulate corresponding theorems for all these cases. We use found Lie algebras to obtain reductions of the studied equations. Several of similar substitutions were used in other papers before whereas others are new to our knowledge. This method gives us the possibility to provide a complete set of non-equivalent substitutions and reduced equations. [ABSTRACT FROM AUTHOR]

Copyright of Actualidad Jurídica (1578-956X) is the property of Dykinson SL and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper develops a simple model of ½ auctions in a partnership dissolution game with common values, analyzes how information precision affects the equilibrium, and uses a laboratory study to test the model's predictions. Consistent with the model's prediction, the study shows that when bidders have the same quality information, higher precision leads to more extreme bids. In the case of unequal precision, bidders must use the same bidding functions regardless of their own information quality, and thus, the equilibrium strategy should be the same for both bidders. The experimental results, however, contradicts this prediction. Copyright © 2016 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]