We document significant intra-year and less significant intra-week seasonality in outliers of Samp;P500 daily returns. Controlling for outliers in dummy regressions reveals that 1) Monday's mean returns turn from insignificantly to significantly positive and insignificantly higher than all...

The study examines how 166 U.S. banks compensated their top management teams (top 4-5 executives in each bank) during 1993-1996. We observe two tiers of compensation in the executive suite: CEO and the rest. CEOs are paid more, especially in performance contingent compensation. The weight of...

AbstractThe foreign currency market in a small open economy, like Israel, plays a major role in fiscal and monetary policy decisions, through its effects on the financial markets and the real economy. This has become even more evident in the recent financial crisis. In this paper we explore the...

This paper suggests a methodology for identifying speculators in FX (foreign exchange) markets. A player is identified as a speculator only if his speculative characteristics are extreme compared with those of other players and his influence on exchange rates on outlying days is significant....

This paper examines herding, heterogeneity, and momentum trading of institutional investors in Israel across a broad variety of financial assets. While previous studies typically focus on stocks only, we examine herding patterns, heterogeneity, and momentum trading of institutional investors in...

We document significant intra-year seasonality in outliers of S&P500 daily rates of return. Controlling for outliers in dummy regressions reveals that both the January and Monday effects turn from insignificant to highly significant. Mean daily return on January doubles and becomes significantly...