Showing papers by "Yakov Amihud published in 2003"
TL;DR: In this paper, the authors examine theories of IPO underpricing using unique data from Israel where the allocation to subscribers is by equal proration, and simulate the return earned by uninformed investors.
139 citations
TL;DR: In this paper, the authors examined the effect of trading consolidation on the response of liquidity and stock price to the exercise of deep in-the-money corporate warrants and found that the price increase was positively related to the pre-exercise extent of fragmentation, to post-exercise improvement in stock liquidity, and to the proportional increase in the number of shares following the warrant exercise.
Abstract: 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 has no information content. An effect can come from the value of trading consolidation that improves liquidity. Indeed, we find that liquidity and stock prices both increase significantly at warrant expiration. Further, the price increase is positively related to the pre-exercise extent of fragmentation, to post-exercise improvement in stock liquidity, and to the proportional increase in the number of shares following the warrant exercise.
62 citations
TL;DR: The authors proposed a method to obtain reduced-bias estimators for single and multiple regressor models by employing an augmented regression, adding a proxy for the errors in the autoregressive model.
Abstract: Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable; see Stambaugh (1999) for the single-regressor model. This paper proposes a direct and convenient method to obtain reduced-bias estimators for single and multiple regressor models by employing an augmented regression, adding a proxy for the errors in the autoregressive model. We derive bias expressions for both the ordinary least squares and our reduced-bias estimated coefficients. For the standard errors of the estimated predictive coefficients we develop a heuristic estimator which performs well in simulations, for both the single-predictor model and an important specification of the multiple-predictor model. The effectiveness of our method is demonstrated by simulations and by empirical estimates of common predictive models in finance. Our empirical results show that some of the predictive variables that were significant under ordinary least squares become insignificant under our estimation procedure.
55 citations
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TL;DR: In this article, the authors provide an economic basis for permitting freezeouts of non-tendering shareholders following successful takeovers, and describe a specific freezeout mechanism based on easily verifiable information that induces desirable efficiency and welfare properties.
Abstract: We provide an economic basis for permitting freezeouts of non-tendering shareholdersfollowing successful takeovers. We describe a specific freezeout mechanism based on easily verifiable information that induces desirable efficiency and welfareproperties in models of both corporations with widely dispersed shareholdings andcorporations with large pivotal shareholders. The mechanism dominates previous proposals along some important dimensions. We also examine takeover premia that arise in the presence of competition among raiders. Our mechanism is closely related to the practice of takeover law in the U.S.; thus, our analysis may be thought of as analyzing the economic foundations of current regulations.
30 citations
TL;DR: In this article, the authors studied the association between the market's expectations of Saddam Hussein's fall from power, as reflected in "Saddam contract" prices, and stock prices, oil prices and exchange rates.
Abstract: This paper studies the association between the market's expectations of Saddam Hussein's fall from power, as reflected in "Saddam contract" prices, and stock prices, oil prices and exchange rates. During the war, a rise in the probability of Saddam's fall, which also indicated a speedy end to the war, was positively and significantly associated with stock prices, strengthened the dollar against the Euro, and lowered oil prices. Before the war, a rise in the probability of Saddam's fall, which may also have indicated the probability of a costly war breaking out, lowered stock prices, which adjusted gradually to this information.
25 citations