The Journal of Finance

Mean‐Gini, Portfolio Theory, and the Pricing of Risky Assets

Published: 12/1984,  Volume: 39,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1984.tb04917.x  |  Cited by: 127

HAIM SHALIT, SHLOMO YITZHAKI

This paper presents the mean‐Gini (MG) approach to analyze risky prospects and construct optimum portfolios. The proposed method has the simplicity of a mean‐variance model and the main features of stochastic dominance efficiency. Since mean‐Gini is consistent with investor behavior under uncertainty for a wide class of probability distributions, Gini's mean difference is shown to be more adequate than the variance for evaluating the variability of a prospect. The MG approach is then applied to capital markets and the security valuation theorem is derived as a general relationship between average return and risk. This is further extended to include a degree of risk aversion that can be estimated from capital market data. The analysis is concluded with the concentration ratio to allow for the classification of different securities with respect to their relative riskiness.

SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK

Published: 9/1975,  Volume: 30,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1975.tb01018.x  |  Cited by: 91

Uri Ben‐Zion, Sol S. Shalit

DISCUSSION

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb05007.x  |  Cited by: 0

HAIM MENDELSON

Economic Evaluation of Voting Power of Common Stock

Published: 3/1983,  Volume: 38,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1983.tb03627.x  |  Cited by: 101

HAIM LEVY

This paper presents an economic evaluation of common stock voting rights. An index of relative voting rights inequality for different classes of stock of the same corporation is constructed and the empirical relationship between the market premium on a superior‐voting stock and the voting inequality index is examined. In only three out of the 25 cases could investors have arbitraged between the two classes of stock, although in one case the arbitrage opportunity persisted for several months.

THE DEMAND FOR ASSETS UNDER CONDITIONS OF RISK

Published: 3/1973,  Volume: 28,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1973.tb01347.x  |  Cited by: 17

Haim Levy

Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach—Erratum

Published: 12/1986,  Volume: 41,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1986.tb02543.x  |  Cited by: 0

HAIM LEVY

Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach

Published: 9/1985,  Volume: 40,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1985.tb02372.x  |  Cited by: 110

HAIM LEVY

Applying stochastic dominance rules with borrowing and lending at the risk‐free interest rate, we derive upper and lower values for an option price for all unconstrained utility functions and alternatively for concave utility functions. The derivation of these bounds is quite general and fits any kind of stock price distribution as long as it is characterized by a “nonnegative beta.”Transaction costs and taxes can be easily incorporated in the model presented here since investors are not required to revise their portfolios continuously. The “price” that is paid for this generalization is that a range of values rather than a unique value is obtained.

THE DEMAND FOR ASSETS UNDER CONDITIONS OF RISK: REPLY

Published: 6/1977,  Volume: 32,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1977.tb02002.x  |  Cited by: 0

Haim Levy

Reference Variables, Factor Structure, and the Approximate Multibeta Representation

Published: 9/1992,  Volume: 47,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1992.tb04659.x  |  Cited by: 30

HAIM REISMAN

The Arbitrage Pricing Theory (APT) implies that if asset returns have a factor structure, then an approximate multibeta representation holds with respect to the factors as reference variables. This paper assumes that asset returns satisfy a factor structure and derives a condition under which the approximate multibeta representation holds with respect to a set of reference variables which may not be the factors. This condition is that the regression matrix of the reference variables on the factors is nonsingular. Implications for the testability of the APT are also discussed.

Stochastic Dominance Rules for Truncated Normal Distributions: A Note

Published: 12/1982,  Volume: 37,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1982.tb03620.x  |  Cited by: 8

HAIM LEVY

A UTILITY FUNCTION DEPENDING ON THE FIRST THREE MOMENTS

Published: 9/1969,  Volume: 24,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1969.tb00395.x  |  Cited by: 95

Haim Levy

THE CAPITAL STRUCTURE AND THE COST OF CAPITAL: A SUGGESTED EXPOSITION*

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00846.x  |  Cited by: 2

Haim Ben‐Shahar

ON THE CAPITAL STRUCTURE THEOREM: REPLY

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00533.x  |  Cited by: 0

Haim Ben Shahar

TWO‐PERIOD PORTFOLIO SELECTION AND INVESTORS' DISCOUNT RATES

Published: 6/1971,  Volume: 26,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1971.tb01729.x  |  Cited by: 3

Haim Levy, Marshall Sarnat

THE RELATIONSHIP OF RULES OF THUMB TO THE INTERNAL RATE OF RETURN: A RESTATEMENT AND GENERALIZATION

Published: 6/1969,  Volume: 24,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1969.tb00367.x  |  Cited by: 16

Marshall Sarnat, Haim Levy

Stochastic Dominance: A Note

Published: 6/1982,  Volume: 37,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1982.tb02229.x  |  Cited by: 5

YORAM KROLL, HAIM LEVY

ORDERING UNCERTAIN OPTIONS WITH BORROWING AND LENDING

Published: 5/1978,  Volume: 33,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1978.tb04867.x  |  Cited by: 66

Haim Levy, Yoram Kroll

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

Published: 12/1991,  Volume: 46,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1991.tb04643.x  |  Cited by: 156

YAKOV AMIHUD, HAIM MENDELSON

We study the joint effect of the trading mechanism and the time at which transactions take place on the behavior of stock returns using data from Japan. The Tokyo Stock Exchange employs a periodic clearing procedure twice a day, at the opening of both the morning and the afternoon sessions. This enables us to discern the effect of the clearing mechanism from the effect of the overnight trading halt. While the periodic clearing at the beginning of the trading day is noisy and inefficient, the midday clearing transaction appears to be no worse than the two closing transactions.

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

Published: 6/1989,  Volume: 44,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1989.tb05067.x  |  Cited by: 243

YAKOV AMIHUD, HAIM MENDELSON

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 public availability of information about them. Associating the latter with asset liquidity and following Amihud and Mendelson's [2] proposition that asset returns increase with their illiquidity (measured by the bid‐ask spread), we jointly estimate the effects of these four factors on stock returns.

Trading Mechanisms and Stock Returns: An Empirical Investigation

Published: 7/1987,  Volume: 42,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1987.tb04567.x  |  Cited by: 575

YAKOV AMIHUD, HAIM MENDELSON

This paper examines the effects of the mechanism by which securities are traded on their price behavior. We compare the behavior of open‐to‐open and close‐to‐close returns on NYSE stocks, given the differences in execution methods applied in the opening and closing transactions. Opening returns are found to exhibit greater dispersion, greater deviations from normality and a more negative and significant autocorrelation pattern than closing returns. We study the effects of the bid‐ask spread and the price‐adjustment process on the estimated return variances and covariances and discuss the associated biases. We conclude that the trading mechanism has a significant effect on stock price behavior.

Ordering Uncertain Options under Inflation: A Note

Published: 9/1984,  Volume: 39,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1984.tb03906.x  |  Cited by: 1

HAIM LEVY, AZRIEL LEVY

Stochastic dominance rules (SD) have been extended to the case where investors are allowed to borrow and lend at the riskless interest rate. Stochastic dominance rules with a riskless asset (SDR) are much more effective than SD rules. However, it seems that this benefit is eliminated by an uncertain inflation, since riskless assets become risky once uncertain inflation is considered.We prove in this paper that SDR criteria are valid also in the face of uncertain (and independent) inflation. Moreover, while the mean‐variance (MV) efficient set increases with uncertain inflation, the stochastic dominance efficient sets decrease.

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

Published: 9/1991,  Volume: 46,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1991.tb04623.x  |  Cited by: 469

YAKOV AMIHUD, HAIM MENDELSON

The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and bills with matched maturities of less than 6 months). The yield to maturity is higher on notes, which have lower liquidity. The yield differential between notes and bills is a decreasing and convex function of the time to maturity. The results provide a robust confirmation of the liquidity effect in asset pricing.

DIVERSIFICATION, PORTFOLIO ANALYSIS AND THE UNEASY CASE FOR CONGLOMERATE MERGERS

Published: 9/1970,  Volume: 25,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1970.tb00553.x  |  Cited by: 134

Haim Levy, Marshall Sarnat

ALTERNATIVE EFFICIENCY CRITERIA: AN EMPIRICAL ANALYSIS

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00876.x  |  Cited by: 34

Haim Levy, Marshall Sarnat

Crossing Networks and Dealer Markets: Competition and Performance

Published: 10/2000,  Volume: 55,  Issue: 5  |  DOI: 10.1111/0022-1082.00281  |  Cited by: 182

Terrence Hendershott, Haim Mendelson

This paper studies the interaction between dealer markets and a relatively new form of exchange, passive crossing networks, where buyers and sellers trade directly with one another. We find that the crossing network is characterized by both positive (‘liquidity’) and negative (‘crowding’) externalities, and we analyze the effects of its introduction on the dealer market. Traders who use the dealer market as a ‘market of last resort’ can induce dealers to widen their spread and can lead to more efficient subsequent prices, but traders who only use the crossing network can provide a counterbalancing effect by reducing adverse selection and inventory holding costs.

VALUATION, LEVERAGE, AND THE COST OF CAPITAL IN THE CASE OF DEPRECIABLE ASSETS

Published: 6/1973,  Volume: 28,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1973.tb01389.x  |  Cited by: 8

Haim Levy, Fred D. Arditti

VALUATION, LEVERAGE AND THE COST OF CAPITAL IN THE CASE OF DEPRECIABLE ASSETS: A REPLY

Published: 3/1975,  Volume: 30,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1975.tb03175.x  |  Cited by: 4

Haim Levy, Fred D. Arditti

REINVESTMENT AND THE RATE OF RETURN ON COMMON STOCKS*

Published: 12/1966,  Volume: 21,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1966.tb00279.x  |  Cited by: 0

Haim Ben‐Shahar, Marshall Sarnat

PORTFOLIO EFFICIENCY ANALYSIS IN THREE MOMENTS: THE MULTIPERIOD CASE†

Published: 6/1975,  Volume: 30,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1975.tb01851.x  |  Cited by: 31

Fred D. Arditti, Haim Levy

Number of Shareholders and Stock Prices: Evidence from Japan

Published: 6/1999,  Volume: 54,  Issue: 3  |  DOI: 10.1111/0022-1082.00141  |  Cited by: 157

Yakov Amihud, Haim Mendelson, Jun Uno

AbstractMerton (1987) proposes that an increase in a firm's investor base increases the firm's value. In Japan, companies can reduce their stock's minimum trading unit—the number of shares in a “round lot”—which facilitates trading in the stock by small investors. We find that a reduction in the minimum trading unit greatly increases a firm's base of individual investors and its stock liquidity, and is associated with a significant increase in the stock price. Further, the stock price appreciation is positively related to an increase in the number of shareholders.

Mean‐Variance Versus Direct Utility Maximization

Published: 3/1984,  Volume: 39,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1984.tb03859.x  |  Cited by: 206

YORAM KROLL, HAIM LEVY, HARRY M. MARKOWITZ

Levy and Markowitz showed, for various utility functions and empirical returns distributions, that the expected utility maximizer could typically do very well if he acted knowing only the mean and variance of each distribution. Levy and Markowitz considered only situations in which the expected utility maximizer chose among a finite number of alternate probability distributions. The present paper examines the same questions for a case with an infinite number of alternate distributions, namely those available from the standard portfolio constraint set.