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The Share Price Effects of Dividend Taxes and Tax Imputation Credits.

Harris, T.S.; Glenn Hubbard, R.; Kemsley, D. - Graduate School of Business, Columbia University - 2000

We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors= implicit …

Persistent link: https://www.econbiz.de/10005776739

Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns.

Vassalou, M. - Graduate School of Business, Columbia University - 1999

We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the … Adler and Dumas (1983). Both exchange rate and foreign inflation risk factors can explain part of the within-country cross … bias, at least in US equity portfolios, cannot be the result of US investors' efforts to hedge their domestic inflation. …

Persistent link: https://www.econbiz.de/10005478440

Systematic Liquidity.

Heberman, G.; Halka, D. - Graduate School of Business, Columbia University - 1999

Most of the market microstructure literature has focused on the liquidity of individual securities, whereas most of the asset pricing literature has focused on the association between systematic risk and return. We document the presence of a systematic, time-varying component of liquidity. At...

Persistent link: https://www.econbiz.de/10005245478

Continuous-Time Methods in Finance: A Review and an Assessment.

Sundaresan, S.M. - Graduate School of Business, Columbia University - 2000

I survey and assess the development of continuous-time methods in finance during the last 30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio...

Persistent link: https://www.econbiz.de/10005207595