Details about Yakov Amihud

Access statistics for papers by Yakov Amihud.

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Short-id: pam182

Working Papers

2010

1. Liquidity Risk of Corporate Bond Returns: A Conditional Approach
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   See also Journal Article in Journal of Financial Economics (2013)

2009

2. Creditor rights and corporate risk-taking
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (6)
   See also Journal Article in Journal of Financial Economics (2011)

2005

3. Liquidity and Asset Prices
   MPRA Paper, University Library of Munich, Germany View citations (62)
   See also Journal Article in Foundations and Trends(R) in Finance (2006)

2004

4. Hypothesis Testing in Predictive Regressions
   Finance, EconWPA View citations (4)
5. Predictive Regressions: A Reduced-Bias Estimation Method
   Econometrics, EconWPA View citations (73)
   See also Journal Article in Journal of Financial and Quantitative Analysis (2004)

1997

6. Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (108)
   Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (1)
   See also Journal Article in Journal of Financial Economics (1997)

Journal Articles

2015

1. The Pricing of Illiquidity as a Characteristic and as Risk
   Multinational Finance Journal, 2015, 19, (3), 149-168
2. The illiquidity premium: International evidence
   Journal of Financial Economics, 2015, 117, (2), 350-368 View citations (6)

2013

3. Liquidity risk of corporate bond returns: conditional approach
   Journal of Financial Economics, 2013, 110, (2), 358-386 View citations (35)
   See also Working Paper (2010)
4. Mutual Fund's R-super-2 as Predictor of Performance
   Review of Financial Studies, 2013, 26, (3), 667-694

2012

5. Liquidity, the Value of the Firm, and Corporate Finance
   Journal of Applied Corporate Finance, 2012, 24, (1), 17-32 View citations (1)
   Also in Journal of Applied Corporate Finance, 2008, 20, (2), 32-45 (2008) View citations (13)

2011

6. Creditor rights and corporate risk-taking
   Journal of Financial Economics, 2011, 102, (1), 150-166 View citations (75)
   See also Working Paper (2009)

2010

7. Predictive regression with order-p autoregressive predictors
   Journal of Empirical Finance, 2010, 17, (3), 513-525 View citations (8)

2009

8. Multiple-Predictor Regressions: Hypothesis Testing
   Review of Financial Studies, 2009, 22, (1), 413-434 View citations (21)

2006

9. Liquidity and Asset Prices
   Foundations and Trends(R) in Finance, 2006, 1, (4), 269-364 View citations (10)
   See also Working Paper (2005)
10. Stock and Bond Liquidity and its Effect on Prices and Financial Policies
    Financial Markets and Portfolio Management, 2006, 20, (1), 19-32 View citations (11)
11. The Declining Information Content of Dividend Announcements and the Effects of Institutional Holdings
    Journal of Financial and Quantitative Analysis, 2006, 41, (03), 637-660 View citations (27)

2004

12. Political news and stock prices: The case of Saddam Hussein contracts
    Journal of Banking & Finance, 2004, 28, (5), 1185-1200 View citations (21)
13. Predictive Regressions: A Reduced-Bias Estimation Method
    Journal of Financial and Quantitative Analysis, 2004, 39, (04), 813-841 View citations (70)
    See also Working Paper (2004)
14. The Foundations of Freezeout Laws in Takeovers
    Journal of Finance, 2004, 59, (3), 1325-1344 View citations (7)

2003

15. Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange
    Journal of Financial Economics, 2003, 68, (1), 137-158 View citations (28)
16. The Value of Trading Consolidation: Evidence from the Exercise of Warrants
    Journal of Financial and Quantitative Analysis, 2003, 38, (04), 829-846 View citations (12)

2002

17. Illiquidity and stock returns: cross-section and time-series effects
    Journal of Financial Markets, 2002, 5, (1), 31-56 View citations (1049)
18. The effects of cross-border bank mergers on bank risk and value
    Journal of International Money and Finance, 2002, 21, (6), 857-877 View citations (55)

2000

19. AN INSTITUTIONAL INNOVATION TO REDUCE THE AGENCY COSTS OF PUBLIC CORPORATE BONDS
    Journal of Applied Corporate Finance, 2000, 13, (1), 114-121 View citations (5)
20. THE LIQUIDITY ROUTE TO A LOWER COST OF CAPITAL
    Journal of Applied Corporate Finance, 2000, 12, (4), 8-25 View citations (15)

1999

21. Number of Shareholders and Stock Prices: Evidence from Japan
    Journal of Finance, 1999, 54, (3), 1169-1184 View citations (44)

1997

22. Dividends, Taxes, and Signaling: Evidence from Germany
    Journal of Finance, 1997, 52, (1), 397-408 View citations (31)
23. Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange
    Journal of Financial Economics, 1997, 45, (3), 365-390 View citations (55)
    See also Working Paper (1997)

1996

24. Unexpected Inflation and Stock Returns Revisited--Evidence from Israel
    Journal of Money, Credit and Banking, 1996, 28, (1), 22-33 View citations (18)

1991

25. Liquidity, Maturity, and the Yields on U.S. Treasury Securities
    Journal of Finance, 1991, 46, (4), 1411-25 View citations (91)
26. Trading mechanisms and value-discovery: Cross-national evidence and policy implications
    Carnegie-Rochester Conference Series on Public Policy, 1991, 34, (1), 105-130 View citations (1)
27. Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market
    Journal of Finance, 1991, 46, (5), 1765-89 View citations (73)

1990

28. Corporate Control and the Choice of Investment Financing: The Case of Corporate Acquisitions
    Journal of Finance, 1990, 45, (2), 603-16 View citations (72)
29. Stock market microstructure and return volatility: Evidence from Italy
    Journal of Banking & Finance, 1990, 14, (2-3), 423-440 View citations (35)

1989

30. Inventory behaviour and market power: An empirical investigation
    International Journal of Industrial Organization, 1989, 7, (2), 269-280 View citations (8)
31. Market microstructure and price discovery on the Tokyo Stock Exchange
    Japan and the World Economy, 1989, 1, (4), 341-370 View citations (11)
32. The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns
    Journal of Finance, 1989, 44, (2), 479-86 View citations (33)

1987

33. Trading Mechanisms and Stock Returns: An Empirical Investigation
    Journal of Finance, 1987, 42, (3), 533-53 View citations (181)

1986

34. Asset pricing and the bid-ask spread
    Journal of Financial Economics, 1986, 17, (2), 223-249 View citations (879)

1983

35. Inflation 'news' and exchange rates
    Economics Letters, 1983, 12, (3-4), 333-338
36. Multiperiod sales-production decisions under uncertainty
    Journal of Economic Dynamics and Control, 1983, 5, (1), 249-265 View citations (4)
37. Price Smoothing and Inventory
    Review of Economic Studies, 1983, 50, (1), 87-98 View citations (23)
38. `Managerialism', `ownerism' and risk
    Journal of Banking & Finance, 1983, 7, (2), 189-196 View citations (3)

1982

39. Optimal Consumption Policy under Uncertain Income
    Management Science, 1982, 28, (6), 683-697 View citations (10)
40. Relative Price Dispersion and Economic Shocks: An Inventory-Adjustment Approach
    Journal of Money, Credit and Banking, 1982, 14, (3), 390-98 View citations (1)
41. The output-inflation relationship: An inventory-adjustment approach
    Journal of Monetary Economics, 1982, 9, (2), 163-184 View citations (3)
42. Unanticipated inflation and economic activity
    Economics Letters, 1982, 9, (4), 327-335 View citations (1)

1981

43. A Possible Error in the Expectations Theory: A Rejoinder
    Journal of Money, Credit and Banking, 1981, 13, (1), 107-08
44. Risk Reduction as a Managerial Motive for Conglomerate Mergers
    Bell Journal of Economics, 1981, 12, (2), 605-617 View citations (377)
45. The forward exchange rate and the prediction of the future spot rate: Empirical evidence
    Journal of Banking & Finance, 1981, 5, (3), 425-437 View citations (4)

1980

46. An empirical note on bond-yield uncertainty and the demand for money
    Economics Letters, 1980, 5, (1), 63-69
47. Dealership market: Market-making with inventory
    Journal of Financial Economics, 1980, 8, (1), 31-53 View citations (189)
48. General Risk Aversion and Attitude towards Risk
    Journal of Finance, 1980, 35, (3), 685-91

1979

49. A Possible Error in the Expectations Theory: A Note
    Journal of Money, Credit and Banking, 1979, 11, (2), 243-45

1977

50. A Note on Fisher Hypothesis and Price Level Uncertainty
    Journal of Financial and Quantitative Analysis, 1977, 12, (03), 525-530 View citations (1)
51. A Note on Risk Aversion and Indifference Curves
    Journal of Financial and Quantitative Analysis, 1977, 12, (03), 509-513 View citations (1)
52. A Note on the Measurement of Technological Progress and Experience in Production
    American Journal of Agricultural Economics, 1977, 59, (4), 728-730
53. The Effect of Uncertainty in Input Quantities on the Optimal Expected Input Combination
    Management Science, 1977, 23, (9), 957-962

1976

54. The Efficiency of Taxes and Subsidies in Reducing Emission by a Risk-Averse Firm
    Kyklos, 1976, 29, (1), 113-17

1974

55. Portfolio selection for managerial control
    Omega, 1974, 2, (6), 775-783 View citations (2)

Books

2013

1. Market Liquidity
   Cambridge Books, Cambridge University Press
   Also in Cambridge Books, Cambridge University Press (2013)