This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

Rationality would suggest that advice-seeking investors receive benefits from costly financial advice. However, evidence documenting these benefits for U.S. investors has so far been lacking. This paper is the first to document that U.S. mutual fund investors indeed receive one of the many...

The measure of Jensen (1968) is not only the most commonly used performance measure, but also the most heavily criticized one. Jensen (1972) and Grinblatt and Titman (1989), (1995) blame security market analysis to overestimate the beta of a market timing fund, and therefore to underestimate its...

In this paper, we propose a theoretical continuous-time model to analyze the impact of liquidity on bond prices. This model prices illiquid bonds relative to liquid bonds and provides a testable theory of illiquidity induced price discounts. The model is tested using 1992-1994 data from bonds...

In this paper we measure market depth by investigating the relation between net order flow and price changes. Two aspects are our main focus. Is the relation linear? Is the relation different for positive and negative net order flow? Answers to these questions are important for the design of...

In this paper we empirically investigate the impact of the trading system on the integration of markets. Our data set consists of intraday quotes of screen traded stock index futures and two stock index price series. One index series results from stock prices determined in a floor trading system...

The paper is concerned with the influence of index arbitrage trading on the mispricing process in the presence of market frictions. Specifically, it highlights the as yet ignored impact of short selling restrictions in the spot market and early unwinding opportunities on the mispricing process.A...

We test the frequently made claim that SRI funds are conventional funds in disguise. For this purpose, we compare the portfolio holdings of SRI funds to conventional funds concerning their social and environmental standards. Our empirical study of US equity funds shows that SRI funds have a...