This paper uses a unique data set and advanced econometric methods to examine the effect of terrorism on financial markets of both sides of the barricade in the Israeli-Palestinian conflict. The main finding are: (1) Real economies on both sides suffered significantly during the intifada period;...

The study examines a sample of 895 stocks that moved from Nasdaq to the New York Stock Exchange or to the American Stock Exchange between 1971 and 1994. We show how various measures of liquidity such as the bid-ask spread, trading volume, and stock price precision improve in somewhat different...

Roll [JFE 1977] demonstrates that the probability of early exercise of equity call options is low for small dividend payouts. Geske and Shastri [JBF 1985] show that unless dividends are small, put equity options would not be exercised early. Subsequently, Shastri and Tandon [JFM 1986] argue that...

This paper extends the results of Gadkari and Spindel (Solomon Brothers 1989), Hauser and Levy (JBE v.43, 1991), and Leibowitz, Bader, and Kogelman (JFI v.3, 1993) who show that hedging currency risk converts some or all of the foreign-held claims to synthetic domestic claims. Fixed-income asset...

This paper uses a model similar to the Boyle-Vorst and Ritchken-Kuo arbitrage-free models for the valuation of options with transaction costs to determine the maximum price to be charged by the financial intermediary writing an option in a non-auction market. Earlier models are extended by...

The literature on the role of duration and convexity in managing the interest rate risk of fixed-income contracts is concerned primarily with single-currency domestic applications. The dominant view appears to be that fixed-income risk management in the international setting involves a mere...

Stock markets in emerging economies are often surrounded by a fast-pace real and monetary growth. The high returns typical of those markets continue to attract foreign investors who are looking to enhance the performance of their portfolios. A number of studies demonstrate the advantage of...

The increasing popularity of non-dealer security markets that offer automated, computer-based, continuous trading reflects a presumption that institutionally-set trading sessions are economically obsolete. This theoretical paper investigates the effect of trading frequency, a key feature of the...

Lacking examples of IPO mechanisms that are open to the public and priced competitively, previous studies could not determine what size discount, if any, is efficient. We test and reject the hypothesis that underpricing is efficient or consistent with competition by comparing two consecutive...

Recent years have witnessed the proliferation of multiple-listed stocks traded in markets around the world. Any explanation for this phenomenon must address the question of efficiency with which pricing information flows among national markets. By the same token, the phenomenon of multiple...