This study investigates the extent of surplus cash holdings and their influence on abnormal returns in initial public offerings of stock in Tehran Stock Exchange. The 101 companies during the period 2003 to 2012 were selected. Selective approach to testing hypotheses, examining cross-sectional...

This paper analyzes the asset pricing implications of periodic cash payouts within the context of a stationary rational expectations model with heterogeneous investors. The periodicity of cash payouts provides a natural motivation for time-varying conditional volatility in stock returns. I show...

We study liquidity transformation in mutual funds using a novel data set on their cash holdings To provide investors with claims that are more liquid than the underlying assets, funds engage in substantial liquidity management. Specifically, they hold substantial amounts of cash, which they use...