Yakov Amihud

Illiquidity and stock returns: cross-section and time-series effects

Asset pricing and the bid-ask spread

Dealership market

Liquidity, Maturity, and the Yields on U.S. Treasury Securities

Liquidity, Asset Prices and Financial Policy

(1991). Liquidity, Asset Prices and Financial Policy. Financial Analysts Journal: Vol. 47, No. 6, pp. 56-66.

Liquidity and the 1987 stock market crash

T he Crash of October 1987 was a puzzling event puzzling not only for what happened on October 19, but also for what subsequently did not happen. In spite of the magnitude and m...

The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns

Merton's [26] recent extension of the CAPM proposed that asset returns are an increasing function of their beta risk, residual risk, and size and a decreasing function of the pu...

Risk Reduction as a Managerial Motive for Conglomerate Mergers

A conglomerate merger generally leads, through the diversification effect, to reduced for the combined entity. As is well known, in perfect capital markets such reduction will...