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Details about Yakov Amihud

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Homepage:http://www.stern.nyu.edu/faculty/bio/yakov-amihud
Workplace:Finance Department, Stern School of Business, New York University (NYU), (more information at EDIRC)

Access statistics for papers by Yakov Amihud.

Last updated 2016-02-26. Update your information in the RePEc Author Service.

Short-id: pam182


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Working Papers

2010

  1. Liquidity Risk of Corporate Bond Returns: A Conditional Approach
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Financial Economics (2013)

2009

  1. Creditor rights and corporate risk-taking
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (6)

    See also Journal Article in Journal of Financial Economics (2011)

2005

  1. Liquidity and Asset Prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (64)
    See also Journal Article in Foundations and Trends(R) in Finance (2006)

2004

  1. Hypothesis Testing in Predictive Regressions
    Finance, EconWPA Downloads View citations (4)
  2. Predictive Regressions: A Reduced-Bias Estimation Method
    Econometrics, EconWPA Downloads View citations (80)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2004)

1997

  1. 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 (111)
    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 (2)

    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 Downloads View citations (1)
  2. The illiquidity premium: International evidence
    Journal of Financial Economics, 2015, 117, (2), 350-368 Downloads View citations (8)

2013

  1. Liquidity risk of corporate bond returns: conditional approach
    Journal of Financial Economics, 2013, 110, (2), 358-386 Downloads View citations (37)
    See also Working Paper (2010)
  2. Mutual Fund's R-super-2 as Predictor of Performance
    Review of Financial Studies, 2013, 26, (3), 667-694 Downloads View citations (2)

2012

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

2011

  1. Creditor rights and corporate risk-taking
    Journal of Financial Economics, 2011, 102, (1), 150-166 Downloads View citations (92)
    See also Working Paper (2009)

2010

  1. Predictive regression with order-p autoregressive predictors
    Journal of Empirical Finance, 2010, 17, (3), 513-525 Downloads View citations (9)

2009

  1. Multiple-Predictor Regressions: Hypothesis Testing
    Review of Financial Studies, 2009, 22, (1), 413-434 Downloads View citations (24)

2006

  1. Liquidity and Asset Prices
    Foundations and Trends(R) in Finance, 2006, 1, (4), 269-364 Downloads View citations (13)
    See also Working Paper (2005)
  2. Stock and Bond Liquidity and its Effect on Prices and Financial Policies
    Financial Markets and Portfolio Management, 2006, 20, (1), 19-32 Downloads View citations (12)
  3. The Declining Information Content of Dividend Announcements and the Effects of Institutional Holdings
    Journal of Financial and Quantitative Analysis, 2006, 41, (03), 637-660 Downloads View citations (31)

2004

  1. Political news and stock prices: The case of Saddam Hussein contracts
    Journal of Banking & Finance, 2004, 28, (5), 1185-1200 Downloads View citations (23)
  2. Predictive Regressions: A Reduced-Bias Estimation Method
    Journal of Financial and Quantitative Analysis, 2004, 39, (04), 813-841 Downloads View citations (77)
    See also Working Paper (2004)
  3. The Foundations of Freezeout Laws in Takeovers
    Journal of Finance, 2004, 59, (3), 1325-1344 Downloads View citations (9)

2003

  1. Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange
    Journal of Financial Economics, 2003, 68, (1), 137-158 Downloads View citations (29)
  2. The Value of Trading Consolidation: Evidence from the Exercise of Warrants
    Journal of Financial and Quantitative Analysis, 2003, 38, (04), 829-846 Downloads View citations (12)

2002

  1. Illiquidity and stock returns: cross-section and time-series effects
    Journal of Financial Markets, 2002, 5, (1), 31-56 Downloads View citations (1139)
  2. The effects of cross-border bank mergers on bank risk and value
    Journal of International Money and Finance, 2002, 21, (6), 857-877 Downloads View citations (58)

2000

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

1999

  1. Number of Shareholders and Stock Prices: Evidence from Japan
    Journal of Finance, 1999, 54, (3), 1169-1184 Downloads View citations (49)

1997

  1. Dividends, Taxes, and Signaling: Evidence from Germany
    Journal of Finance, 1997, 52, (1), 397-408 Downloads View citations (31)
  2. Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange
    Journal of Financial Economics, 1997, 45, (3), 365-390 Downloads View citations (58)
    See also Working Paper (1997)

1996

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

1991

  1. Liquidity, Maturity, and the Yields on U.S. Treasury Securities
    Journal of Finance, 1991, 46, (4), 1411-25 Downloads View citations (92)
  2. Trading mechanisms and value-discovery: Cross-national evidence and policy implications
    Carnegie-Rochester Conference Series on Public Policy, 1991, 34, (1), 105-130 Downloads View citations (1)
  3. Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market
    Journal of Finance, 1991, 46, (5), 1765-89 Downloads View citations (74)

1990

  1. Corporate Control and the Choice of Investment Financing: The Case of Corporate Acquisitions
    Journal of Finance, 1990, 45, (2), 603-16 Downloads View citations (75)
  2. Stock market microstructure and return volatility: Evidence from Italy
    Journal of Banking & Finance, 1990, 14, (2-3), 423-440 Downloads View citations (35)

1989

  1. Inventory behaviour and market power: An empirical investigation
    International Journal of Industrial Organization, 1989, 7, (2), 269-280 Downloads View citations (8)
  2. Market microstructure and price discovery on the Tokyo Stock Exchange
    Japan and the World Economy, 1989, 1, (4), 341-370 Downloads View citations (11)
  3. The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns
    Journal of Finance, 1989, 44, (2), 479-86 Downloads View citations (38)

1987

  1. Trading Mechanisms and Stock Returns: An Empirical Investigation
    Journal of Finance, 1987, 42, (3), 533-53 Downloads View citations (185)

1986

  1. Asset pricing and the bid-ask spread
    Journal of Financial Economics, 1986, 17, (2), 223-249 Downloads View citations (913)

1983

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

1982

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

1981

  1. A Possible Error in the Expectations Theory: A Rejoinder
    Journal of Money, Credit and Banking, 1981, 13, (1), 107-08 Downloads
  2. Risk Reduction as a Managerial Motive for Conglomerate Mergers
    Bell Journal of Economics, 1981, 12, (2), 605-617 Downloads View citations (394)
  3. The forward exchange rate and the prediction of the future spot rate: Empirical evidence
    Journal of Banking & Finance, 1981, 5, (3), 425-437 Downloads View citations (4)

1980

  1. An empirical note on bond-yield uncertainty and the demand for money
    Economics Letters, 1980, 5, (1), 63-69 Downloads
  2. Dealership market: Market-making with inventory
    Journal of Financial Economics, 1980, 8, (1), 31-53 Downloads View citations (194)
  3. General Risk Aversion and Attitude towards Risk
    Journal of Finance, 1980, 35, (3), 685-91 Downloads

1979

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

1977

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

1976

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

1974

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

Books

2013

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