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Industry expertise is an important aspect of sell-side research. We explore this aspect using a novel dataset of industry recommendations, which are often issued by strategy analysts. We study sell-side analysts’ ability to rank industries relative to each other (across-industry expertise), and how it relates to analysts’ ability to rank firms in a(More)
In this paper we propose a tick time model for the quote setting process on Nasdaq using a time series of all quote updates by the most active dealers and ECN’s (Electronic Communication Networks). The model includes duration effects in the volatility of the efficient price and in the covariance of quote updates with the efficient price. As a measure of(More)
Previous evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels that we cannot statistically distinguish from zero. Furthermore, the profitability of trading strategies(More)
This paper provides a new look at the timing of mutual fund investors. We re-examine the relationship between investors' aggregate net flows into and out of the funds and the returns of the funds in subsequent periods. The negative relationship that we find (using monthly data of aggregate US equity mutual funds in the years 1984-2003 and a statistical test(More)
  • Yevgeny Mugermana, Orly Sadea, +10 authors Avi Wohl
  • 2015
In 2005, a drastic reform in the Israeli capital market shifted the power to choose savings vehicles from employers to individuals. Using a unique dataset from a large employer, this event provides us a rare window into individuals’ savings decisions and the effect of their social environment. In the first year following the reform’s implementation, 7% of(More)
This paper examines the determinants of equity price risk for a large sample of non-financial corporations in the United States from 1964 to 2008. We estimate both structural and reducedform models to examine the endogenous nature of corporate financial characteristics such as total debt, debt maturity, cash holdings, and dividend policy. We find that the(More)
Many financial assets, especially government bonds, are issued by an auction. An important feature of the design is the auction pricing mechanism: Uniform vs. Discriminatory. Theoretical papers do not provide a definite answer regarding the dominance of one type of auction over the other. We investigate the revealed preferences of the issuers by surveying(More)
We employ a “reduced-form” approach to price European options. In contrast to “structural” models that assume stochastic processes for the underlying state variable(s), “reduced-form” models such as Stutzer (1996), Eberlein, Keller and Prause (1998), and Cochrane and Saa-Requejo (2000), directly fit the end distribution of the underlying state variable(s)(More)