Using a clean sample of private equity placements over the period of 1999 to 2012, we examine the effects of trading restrictions on the discounts on private placements. Classifying various determinants into three categories, namely risk, illiquidity, and marketability, we show that risk and...

The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received considerable attention in the literature. In this paper, we examine the pervasiveness of the anomaly in various stock samples and provide evidence towards distinguishing potential...

We decompose daily (close-to-close) changes of VIX into overnight (close-to-open) and trading-hour (open-to-close) changes. Consistent with the notion that non-trading creates uncertainty and trading resolves uncertainty, we find that there is generally an increase in VIX overnight and decrease...