Y
Yakov Amihud
Researcher at New York University
Publications - 140
Citations - 33068
Yakov Amihud is an academic researcher from New York University. The author has contributed to research in topics: Market liquidity & Liquidity risk. The author has an hindex of 55, co-authored 140 publications receiving 30426 citations. Previous affiliations of Yakov Amihud include Tel Aviv University & University of Michigan.
Papers
More filters
Journal ArticleDOI
Illiquidity and stock returns: cross-section and time-series effects $
TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.
Journal ArticleDOI
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
Journal ArticleDOI
Asset pricing and the bid-ask spread
TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
Journal ArticleDOI
Risk reduction as a managerial motive for conglomerate mergers
Yakov Amihud,Baruch Lev +1 more
TL;DR: In this article, a manager's motivation for a conglomerate merger is investigated. And the authors show that managers engage in conglomerate mergers to decrease their largely undiversifiable "employment risk" (i.e., risk of losing job, professional reputation, etc.).
Book ChapterDOI
Market Liquidity: Asset Pricing with Liquidity Risk
TL;DR: In this paper, a simple equilibrium model with liquidity risk is proposed, where a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return.