This paper finds that discounts and premiums of closed-end funds reflect the marketacirc;not;quot;s assessment of anticipated managerial performance. Using single and multiple benchmarks, we present evidence that there is a significant and positive relation between stock fund premiums and future...

Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many...

Regulators typically assume that public financial disclosure is necessary for the efficient functioning of capital markets. Economists recognize that other mechanisms, such as insurance, can mitigate problems occurring when buyers have less information than sellers. We examine whether public...

Regulators typically assume that public financial disclosure is necessary for the efficient functioning of capital markets. Economists recognize that other mechanisms, such as insurance, can mitigate problems occurring when buyers have less information than sellers. We examine whether public...

Transaction costs are important for a host of empirical analysis from market efficiency to international market research. But transaction costs estimates are not always available; or where available, cumbersome to use and expensive to purchase. We present a model that requires only the time...

Given the key role of liquidity in finance research, identifying high quality proxies based on daily (as opposed to intraday) data would permit liquidity to be studied over relatively long timeframes and across many countries. Using new measures and widely employed measures in the literature, we...