New tests are presented on the effects of stock illiquidity on stock return. Over time, expected market illiquidity positively affects ex ante stock excess return (usually called acirc;not;Srisk premiumacirc;not;?). This complements the positive cross-sectional return-illiquidity relationship. The...

We propose an explanation for the quot;disappearing dividendquot; phenomenon: a decline in the information content of dividend announcements, which reduces the propensity of firms to use dividends as a costly signal. A reason for a decline in the information content of dividends is the rise in...

This paper studies the association between the market's expectations of Saddam Hussein's fall from power, as reflected in quot;Saddam contractquot; prices, and stock prices, oil prices and exchange rates. During the war, a rise in the probability of Saddam's fall, which also indicated a speedy...

This paper studies the association between the market's expectations of Saddam Hussein's fall from power, as reflected in quot;Saddam contractquot; prices, and stock prices, oil prices and exchange rates. During the war, a rise in the probability of Saddam's fall, which also indicated a speedy...

This paper examines the effects of unexpected inflation on stock prices, using Israeli data which provide a direct market-based measure of unexpected inflation: the price reaction of CPI-linked bonds following the CPI announcement. The results show that stock prices have a strong negative...

This paper tests the hypothesis of Jovanovic and Braguinsky (AER, 2004) that acquisition attempts convey negative information about the bidder's existing projects. We study failed acquisition bids, which enable a before-and-after comparison of the bidder firm as is without the acquisition...

Studies of predictive regressions analyze the case where yt is predicted by xt-1 with xt being first-order autoregressive, AR(1). Under some conditions, the OLS- estimated predictive coefficient is known to be biased. We analyze a predictive model where yt is predicted by xt-1, xt-2,... xt-p...

Debt financing gives rise to conflicts of interest between creditors and stockholders that are better controlled with private loans than publicly traded bonds. However, public debt has greater liquidity and diversifiability. We propose an institutional innovation ? a "supertrustee" - that...