Prof. Avner Kalay

Emeritus in Pension
פנסיה אמריטוס
Prof. Avner Kalay
Phone: 03-6406298
Fax: 03-6409560


Research Fields

Capital market Theory and Efficiency, Derivatives and Real Options, Economics of Information, Agency Theory, Optimal Contracting, MicroStructure of Markets, and Corporate Finance


“Dividend Policy: Its Impact on Value” 1999, Harvard Press, Avner Kalay, Ron Lease, Kose John, Uri Loewenstein, and Oded Sarig.   




  1. "The Market Value of a Vote: A contingent Claims Approach", Journal of Finance 2014, with Shagun Pant and Ogazun Karakas 
  2. “Ex-Dividend Arbitrage in the Option Markets” Review of Financial Studies, 2010, with Jia Hao and Stewart Mayhew. 
  3. “Detecting Liquidity Traders” Journal of Financial and Quantitative Analysis, 2009, with Avi Wohl. 
  4. “Is Chapter 11 Costly?” Journal of Financial Economics, 2007, with Rajeev Singhal and Liz Tashjian. 
  5. “Measuring Stock Illiquidity: An Investigation of the Demand and the Supply Schedule at the TASE” Journal of Financial Economics, 2004, with Orly Sade and Avi Wohl. 
  6. “How to Value a Lost Opportunity: A Real Option Approach” George Mason Law Review, summer 2003, with Mark Glick. 
  7. “Continuous Trading or Call Auctions: Revealed Preferences of Investors at Tel Aviv Stock Exchange” Journal of Finance, 2002, with Li Wei and Avi Wohl. 
  8. “Can Splits Create Market Liquidity? Theory and Evidence” Journal of Financial Markets, 2002, with Ravi Anshuman. 
  9. “The Market for Callable-Convertible Corporate Bonds: Evidence from Japan” Pacific-Basin Finance Journal, (lead article) 2002, with Daniel Griener and Hideaki Kiyoshi Kato 
  10. “Swimming Against the Tides: The Case of Aeroflex Move from Nyse to Nasdaq” Journal of Financial Markets, 2001, with Evgenia Pontniaguina. 
  11. “Dividends and Taxes: A Re-examination” Financial Management, 2000, with Roni Michaely. 
  12.  “Market Making With Discrete Prices,” Review of Financial Studies, 1998, with  Ravi Anshuman 
  13.  “Bankruptcy, Warrants, and State Contingent Changes in the Ownership of  Control”, Journal of Financial Intermediation, 1997, with Jaime Zender.    “Positive Information From Equity Issue Announcements,” Journal of Financial  Economics, 1993, with John Cooney. 
  14.  “Bond Covenants and the Valuation of Risky Debt: A New Approach,” Fineco,   1992, with Mike Brennan and Jerome Detemple. 
  15. “Firm Value and Seasoned Issues of Equity: Price Pressure, Wealth Redistribution  Or Negative Information,” Journal of Financial Economics, September 1987, with Adam Shimrat. 
  16. “The Information Content of the Timing of Dividend Announcements,” Journal of Financial Economics, July 1986, with Uri Loewenstein. 
  17.  “Predictable Events and Excess Returns: The Case of Dividend Announcements,”  Journal of Financial Economics, September 1985, with Uri Loewenstein. 
  18.  “Implications of Discreteness of Observed Stock Prices,” Journal of Finance,  March 1985, with Gary Gottlieb. 
  19.  “The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the  Clientele Effect: A Reply,” Journal of Finance, June 1984. 
  20.  “Wealth Redistributions or Changes in Firm value: An Analysis of returns to the  Stockholders and Bondholders Around Dividend Announcements,” Journal of  Financial Economics, March 1984, with George Hanjinicolaou.
  21.  “The Ex-Dividend Day Behavior of Option Prices,” Journal of Business, January  1984, with Marti Subrhamanyam.  
  22. “Inflation News and Exchange Rates,” Economic Letters, April 1983, with Yakov  Amihud. 
  23.  “On the Asset Substitution Problem,” Journal of Financial and Quantitative  Analysis, March 1983, with Bezalel Gavish. 
  24.  “The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the   Clientele Effect,” Journal of Finance, September 1982. 
  25. “Stockholder-Bondholder Conflict and Dividend Constraints,” Journal of Financial Economics, July 1982, Reprinted in The Modern Theory of Corporate Finance, M.C. Jensen and C.W. Smith, eds., McGraw Hill, 1984, and reprinted in The economics of Accounting policy Choice, R. Ball and C.W. Smith 1992. 
  26.  “Costly Contracting and Optimal Payout Constraints,” Journal of Finance, May  1982, with Kose John. 
  27.  “Earnings Uncertainty and the Payout Ratio,” Review of Economics and  Statistics, August 1981. 
  28.  “Signalling, Information Content and the Reluctance to Cut Dividends,” Journal  of Financial and Quantitative Analysis, November 1980. 
  29.  On Individual Loans’ Pricing, Credit Rationing and Interest Rate Regulation,”  Journal of Finance, September 1978, with Ramon Rabinovitch 



Chapters in Books 


  1.  “Payout Policy” Handbook in Corporate Finance: Empirical Corporate Finance,  edited by Espen Eckbo (Elsevier/North Holland), with Mike Lemmon,  Forthcoming. 
  2. “The maintained Flexibility of Dividend Constraints: A Cross Sectional and Time  Series Analysis,” in Research in Finance, ed Andrew Chen, Vol 8, 1990, with  Adam Shimrat. 
  3. “The Information Content of Optimal Debt Contracts,” Recent Advances in  Corporate Finance, E. Altman and m. Subrhamanyam, Eds., 1985, with Kose  John   



Other Publications

  1.  “New Perspectives on Informational Asymmetry and agency Relationship:  Comment” Journal of Financial and Quantitative Analysis, November 1979. 
  2.  “Rule 144 Volume Limitations and the Sale of Restricted Stock in Over the  Counter Market: Discussion,” Journal of Finance, May 1982. 
  3.  “Non Trading and Discreteness of Stock Prices,” Iunim Becalcala, 1989, with  Ahron Rosenfeld. 
  4. “Does Publication Follow Presentation? The Information Content of Presentations at Refereed Finance Conferences” Alliance Journal of Business Research fall 2010, with Steven J. Johnson and Jim Schallheim. 



Honors & Awards

Recipient of New York University’s Presidential Fellowship for full-time research during the fall semester of 1982.  

The recipient of the Glucksman Fellowship for research in security markets.  

A Solomon Brothers Fellowship for the academic year of 1986-1987.  

Garn Faculty Scholar, University of Utah, 1989-1999.

Research grant from Sapir Center of Economic Research 1999-2000.  

Member of the review committee of the Swiss National Science Foundation.

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