Showing papers by "Yakov Amihud published in 2013"
TL;DR: In this article, the authors examined the illiquidity premium in stock markets across 45 countries and found that there is a commonality across countries in the ill-iquidity return premium, controlling for common global return factors and variation in global illiquidities.
Abstract: Examining the illiquidity premium in stock markets across 45 countries, we find the following. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on illiquid-minus-liquid stocks or by the coefficient of stock illiquidity estimated from cross-section Fama-MacBeth regressions. Second, there is a commonality across countries in the illiquidity return premium, controlling for common global return factors and variation in global illiquidity. This commonality is different from commonality in illiquidity itself and is greater in globally-integrated markets.
234 citations
TL;DR: In this paper, the authors studied the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973-2007 in a regime-switching model and found that the second regime can be predicted by economic conditions that are characterized as “stress.”
179 citations
01 Jan 2013
TL;DR: In this article, the authors show that the judicious management of transaction costs creates opportunities to increase investment returns, improve profitability and better target investor clienteles, and that transaction costs link three major types of activities: making and implementing investment decisions, client acquisition, and development and support efforts that facilitate and enable the other two activities.
Abstract: Asset management firms engage in three major types of activities: the core activity of making and implementing investment decisions, client acquisition, and development and support efforts that facilitate and enable the other two activities. Transaction costs link all three activities. As we show in this chapter, the judicious management of transaction costs creates opportunities to increase investment returns, improve profitability and better target investor clienteles.
8 citations
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TL;DR: In this article, the authors test the hypothesis of Jovanovic and Braguinsky (AER, 2004) that acquisition attempts convey negative information about the bidder's existing projects and find that following failed bids, bidder firms exhibit a significant decline in operating performance.
Abstract: This paper tests the hypothesis of Jovanovic and Braguinsky (AER, 2004) that acquisition attempts convey negative information about the bidder’s existing projects. We study failed acquisition bids, which enable a before-and-after comparison of the bidder firm as is without the acquisition effects. We find that following failed bids, bidder firms exhibit a significant decline in operating performance. The performance decline is correlated with the stock price change during the bidding period. If the stock price reaction to acquisition announcements partly reflects negative information about bidders’ existing assets, stock-returns-based measures of value creation from acquisitions are underestimated.
2 citations