We generalize the prevailing theoretical models that estimate the discount on securities for lack of marketability, by considering the discrete trading frequency of the securities. The generalization shows that accounting for the illiquidity of securities may significantly reduce their...

This paper constructs a closed-form generalization of the Black-Scholes model for the case where the short-term interest rate follows a stochastic Gaussian process. Capturing this additional source of uncertainty appears to have a considerable effect on option prices. We show that the value of...

We adapt the Benninga-Helmantel-Sarig (2005) framework to value employee stock options (ESOs). The model quantifies non-diversification effects, is computationally simple, and provides an endogenous explanation of ESO early-exercise. Using a proprietary dataset of ESO exercise events we measure...

This paper constructs a closed-form generalization of the Black-Scholes model for the case where the short-term interest rate follows a stochastic Gaussian process. Capturing this additional source of uncertainty appears to have a considerable effect on option prices. We show that the value of...

This paper investigates the stock market reaction to a change in investor mood following the Eurovision Song Contest—an annual international song competition and one of the most-watched non-sporting events globally. Contrary to existing literature on international competitions, we find a...

We examine changes in controlling shareholder holdings, looking for evidence of financial tunneling (unfair wealth transfers from public investors to controlling shareholders). Our sample comprises yearly data during 2000-2011 on 75 large Israeli companies. We find that controlling shareholders...

We find significant positive abnormal returns surrounding a surprising and quick enactment of a law that restricts executive pay to a binding upper limit in a few industries. We find that the effect is concentrated only for firms in which the restriction is binding. We also find that the...

The paper investigates the relation between retail investors' participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation between retail investors' trading and stock market liquidity. Examination of the determinants of retail investors'...

This paper exploits a unique natural experiment in which a regulator limited voluntary disclosure of oil and gas firms. We examine the implications of this disclosure rule on unexplained trading volume and market liquidity. Relying on the theoretical framework of Kim and Verrecchia (1994), the...

We investigate the trading of corporate bonds (c-bonds) by an open limit order book (LOB) mechanism. To do so, we use the case of the Tel Aviv Stock Exchange (TASE) as a laboratory, in which both stocks and c-bonds are traded by an LOB mechanism. Contrary to the OTC market in the US, the TASE...