PUBLICATIONS

  1. "Using Expectations to Test Asset Pricing Models" (With Alon Brav and Roby Lehavy) Financial Management, 2005.

  2. "Payout policy in the 21st century" (With Alon Brav, John Graham and Cam Harvey) Journal of Financial Economics, September 2005.

  3. "Risk or Mispricing? From the mouths of Professionals" (with Robert Bloomfield), Financial Management, 2004.

  4. "Institutional Holdings and Payout Policy" (with Yaniv Grinstein) The Journal of Finance, May, 2005.

  5. "Dividend Changes Do Not Signal Changes in Future Profitability" (With Gustavo Grullon, Shlomo Benartzi, and Richard Thaler), Forthcoming, The Journal of Business.

  6. "The Information Content of Share Repurchase Programs" (with Gustavo Grullon), Journal of Finance, 2004.

  7. "Do Price Discreteness and Transaction Costs Affect Stock Returns? Comparing Ex-Dividend Pricing Before and After Decimalization" (with John Graham and Michael Roberts), Journal of Finance, 2003.

  8. "Brokerage Recommendations: Stylized Characteristics, Market Responses, and Biases" (with Kent Womack), Forthcoming in Advances in Behavioral Finance II, edited by Richard Thaler.

  9. "Dividends, Share Repurchases, and the Substitution Hypothesis" (with Gustavo Grullon), The Journal of Finance, 2002.

  10. "Payout Policy" (with Franklin Allen), North-Holland Handbooks of Economics, edited by George Constantinides, Milton Harris, and Rene Stulz, 2003.

  11. "The Making of a Dealer Market: From Entry to Equilibrium in the Trading of Nasdaq Stocks" (with Katrina Ellis and Maureen O’Hara), Journal of Finance, 2002.

  12. "The Dynamic Volume-Return Relation of Individual Stocks" (with G. Llorente, G. Saar, and J. Wang), The Review of Financial Studies, 2002.

  13. "Are Dividend Changes a Sign of Firm Maturity?" (with Gustavo Grullon and B. Swaminathan), Journal of Business, 2002.

  14. "The Accuracy of Trade Classification Rule: Evidence from Nasdaq" (with Katrina Ellis and Maureen O’Hara), Journal of Financial and Quantitative Analysis, 2000.

  15. "Dividends and Taxes:  A Re-Examination" (with A. Kalay), Financial Management, 2000.

  16. "When the Underwriter is the Market Maker: An Examination of Trading in the IPO Aftermarket" (with Katrina Ellis and Maureen O’Hara), The Journal of Finance, 2000.

  17. "Prices, Liquidity, and the Information Content of Trades" (with J. Koshi), The Review of Financial Studies, 2000.

  18. "Conflict of Interest and The Credibility of Underwriter Analyst Recommendations" (with K. Womack), The Review of Financial Studies, 1999.
    Reprint in Behavioral Finance, H. Shefrin, Editor, Edward Elger Publisher, 2000.

  19. "A Guide to the Initial Public Offering Process" (with K. Ellis and M. O'Hara), Corporate Finance Review, March 1999.

  20. "Caveat Compounder: A Warning about Using the CRSP Equal-Weighted Index to Compute Long-Run Excess Returns" (with L. Canina, R. Thaler, and K. Womack), Journal of Finance, February 1998.

  21. "Underwriter Choice, Institutional Holdings, and Future IPO Performance" (with W. Shaw), Advances in Quantitative Analysis of Finance and Accounting 6, (pp. 137-150), 1998.

  22. "Do Changes in Dividends Signal the Future or the Past? " (with S. Benartzi and R. Thaler), Journal of Finance, July 1997.
    Reprint in Behavioral Finance, H. Shefrin, Editor, Edward Elger Publisher, 2000.

  23. "Do Investors Ignore Dividend Taxation? A Re-Examination of the Citizens Utilities Case" (with J. Hubbard), Journal of Financial and Quantitative Analysis, March 1997.

  24. "A Model of Trading Volume with Tax-Induced Heterogeneous Valuation and Transaction Costs" (with J-L Vila and J. Wang), Journal of Financial Intermediation, October, 1996.

  25. "Fiscalita e Mercato Azionario " (with M Murgia, in Italian). Politica Economica, 1997.

  26. "Trading Volume With Private Valuation: Evidence From The Ex-Dividend Day" (with J-L. Vila). Review of Financial Studies, June, 1996.

  27. "Capital Adequacy, Bank Mergers and the Medium of Payment" (with G. Grullon and I. Swary). Journal of Business Finance and Accounting, 1996.

  28. "Does The Auditor Choice Convey Quality in an Initial Public Offering?" (with W. Shaw). Journal of Financial Management. Winter 1995.

  29. "The Choice of Going Public: Spin-offs vs. Carve-outs" (with W. Shaw). Journal of Financial Management, Autumn 1995.
    Reprint in the Prentice Hall Financial Management Yearbook 1997.

  30. "Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?" (with R. Thaler and K. Womack), Journal of Finance, June 1995.
    Reprint in the Empirical Corporate Finance, edited by Michael Brennan, Edward Elger Publisher, UK, 2000.
    Reprint in Behavioral Finance, H. Shefrin, Editor, Edward Elger Publisher, 2000.

  31. "The Effect of Tax Heterogeneity on Price and Volume Around the Ex-Dividend Day: Evidence from the Milan Stock Exchange" (with M. Murgia), Review of Financial Studies, June 1995.

  32. "Investors' Heterogeneity, Prices and Volume Around the Ex-Dividend Day" (with J–L. Vila), Journal of Financial and Quantitative Analysis, June 1995.

  33. "Dividend Policy" (with F. Allen). North-Holland Handbooks of Operations Research and Management Science: Finance, edited by R.A. Jarrow, V. Maksimovic and W.T. Ziemba, 1995.

  34. "The Pricing of Initial Public Offerings: Tests of Adverse Selection and Signaling Theories" (with W. Shaw). Review of Financial Studies, June 1994.
    Reprint in the Empirical Corporate Finance, edited by Michael Brennan, Edward Elger Publisher, UK, 2000.

  35. "Ex-Dividend Stock Price Behavior: The Case of the 1986 Tax Reform Act." (Winner of the 1989 WFA Trefftzs Award), Journal of Finance, July 1991.

  36. "The Structure of Spot Rates and Immunization" (with E. Elton and M. Gruber), Journal of Finance, June 1990.

  37. "Information Quality and Market Efficiency" (with T. Ho), Journal of Financial and Quantitative Analysis, March 1988.


WORKING PAPERS

  1. "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing" (with Jacob Boudoukh, Matthew Richardson and Michael R. Roberts).

  2. "Evidence on the Tradeoff between Risk and Return for IPO and SEO Firms" (with Alon Brav, Michael Roberts and Rebecca Zarutskie.)