Trading halts are aimed at reducing information asymmetry by granting investors the opportunity to reassess trades upon arrival of new, substantial information. This study is the first to address the efficiency of the price discovery process with respect to time, i.e., the speed of adjustment to...

Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week. The...

We document significant intra-year and less significant intra-week seasonality in outliers of Samp;P500 daily returns. Controlling for outliers in dummy regressions reveals that 1) Monday's mean returns turn from insignificantly to significantly positive and insignificantly higher than all...

Asset pricing models with atomistic agents typically relax assumptions concerning rationality and/or homogenous information in order to track endogenous bubbles. In this model, identically informed rational agents hold a Perceived Law of Motion (PLM) for a single new technology asset at IPO, yet...

The desire to hire the best athletes and coaches in order to maximize team performance necessitates generous compensation contracts, which in turn increase the risk of financial distress or even bankruptcy for team owners. Indeed, one of the largest expense items in the budget of professional...

We develop closed-form expressions for the path and speed of stock price lrm;discovery in a utility-based CAPM with wealth effects. Two investors with lrm;uniquely bounded risk-preferences always apply opposite portfolio rebalancing lrm;trades. These trades determine the intra-period path and...

Trend-chasing and Contrarian are well-documented empirical trading lrm;patterns that the literature generally attributes to behavioral biases. In lrm;contrast, we argue that both are rational portfolio rebalancing strategies in lrm;a dynamic asset allocation framework. Analyzing the interactions...

Empirical studies demonstrated that US baby boomers consumption and savings lrm;patterns have affected economic aggregates over the past decades, among them lrm;equity returns. Boomers' retirement is expected to generate an excess supply of lrm;equities until 2050, but its impact varies with the...

Asset pricing models with atomistic agents typically relax assumptions concerning rationality and/or homogenous information in order to track endogenous bubbles. In this model, identically informed rational agents hold a Perceived Law of Motion (PLM) for a single new technology asset at IPO, yet...

Day-of-the-week tests for the entire distribution (rather then specific moments) are employed on the Tel-Aviv Stock Exchange index using non-parametric tests. We further add to prior art by examining whether Sunday's return distribution is significantly different from the distribution of any and...