This paper examines the effects of cross-border bank mergers on the risk and (abnormal) returns of acquiring banks. We find that overall, the acquirers' risk neither increases nor decreases. In particular, on average neither their total risk nor their systematic risk falls relative to banks in...

We provide an economic basis for permitting freezeouts of non-tendering shareholders following successful takeovers. We describe a specific freezeout mechanism that is based on easily verifiable information, making it simple to implement in practice. We show that this mechanism induces desirable...

We study the effect of trading consolidation by examining the response of liquidity and stock price to the exercise of deep in-the-money corporate warrants. This enables a relatively clean test of the value of trading consolidation. The exercise at the warrant expiration is fully anticipated and...

An asset is liquid if it can be traded at the prevailing market price quickly and at low cost. We show that in addition to risk, liquidity affects asset prices and returns. Theories of asset pricing suggest that the expected return on an asset is increasing in its risk, because risk-averse...

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 explains and extends my 2002 paper. It presents a return factor of illiquid-minus-liquid stocks, called IML, which provides a time series of the illiquidity premium. The risk-adjusted predicted return on IML is lower in the period that follows my 2002 paper but it is still...

We show that stock market liquidity affects subsequent corporate investment and production. Stock illiquidity, which raises the firm's cost of capital, lowers investment in capital assets, R&D, and inventory. This effect holds regardless of the firms' financially constraints. Consequently,...

We propose a new hypothesis-testing method for multipredictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test is based on the augmented regression method (Amihud and Hurvich, ), which produces reduced-bias...

This paper examines three theories of IPO underpricing, using data from Israel where the allocations to subscribers are equally prorated and publicly known. Rock s (1986) theory of adverse selection is supported: subscribers receive greater allocations in overpriced IPOs. And, while the average...

This paper examines three theories of IPO underpricing, using data from Israel where the allocations to subscribers are equally prorated and publicly known. Rock s (1986) theory of adverse selection is supported: subscribers receive greater allocations in overpriced IPOs. And, while the average...