The study offers the most direct evidence to date on price noises in call auctions and their correction. We examine a unique sample of two identical securities (two equal-payoff Israeli government bonds) that were traded on separate yet almost simultaneous auctions on the Tel-Aviv Stock...

We suggest a behavioral perspective for the demand for risky assets (DRA) in which the risk-free rate affects this demand: the lower the risk-free rate the higher the demand for risky assets. This perspective is based on the idea that changes in return exhibit decreasing sensitivity, that is,...

Using new monthly data we investigate open-market repurchase executions of US firms. We find that firms repurchase at prices which are significantly lower than average market prices. This price discount is negatively related to size and positively related to market-to-book ratio. Firms'...

During a period of 14 months (August 1997-September 1998), the Tel Aviv Stock Exchange completed a gradual transition from call auctions to continuous trading. During this transition period stocks traded either in call auctions or in continuous trading mechanisms. Data from this period provides...

Stock liquidity has improved over the recent four decades. This improvement was accompanied by a dramatic increase in trading activity. The net effect on the liquidity premium is ambiguous. We show that the characteristic liquidity premium of U.S. stocks has significantly declined over the past...

This paper analyzes a unique data set of IPOs that were conducted as non-discriminatory (i.e., uniform price) auctions. Our data include the full demand schedules for auctioned IPOs conducted in Israel. To the best of our knowledge, this is the first time the whole demand schedule for any asset...

We analyze a unique data set that includes the full demand schedules of 27 Israeli IPOs that were conducted as non-discriminatory (uniform price) auctions. To the best of our knowledge, this is the first time the whole demand schedule for any asset is described. The demand schedules are...

In many stock exchanges around the world quot;batchquot; or quot;clearingquot; is used as a method of trading. Currently, an essential problem in the application of this trading mechanism is that orders in one security cannot be conditioned on prices of other securities. In this paper we propose...

We show that estimating the demand and supply elasticity at the opening stage at the Tel Aviv Stock Exchange is highly sensitive to which of the reasonable measures is used. We compare the estimated elasticity of excess demand at the opening to the elasticity measured during the continuous...