The Review of Asset Pricing Studies

Volume 1 - 15

Current editor(s): Zhiguo He

From Society for Financial Studies
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Volume 15, issue 1, 2025

“Superstitious” Investors pp. 1-45

Hongye Guo and Jessica A Wachter

The Cross-Section of Stock Returns Around the World in the Early Twentieth Century pp. 46-73

Fabio Braggion, Joost Driessen and Lyndon Moore

Asset Pricing in the Information Age: Employee Expectations and Stock Returns pp. 74-101

Jinfei Sheng

Volume 14, issue 4, 2024

Predicting the Equity Premium with Combination Forecasts: A Reappraisal pp. 545-577

Sebastian Denk and Gunter Löffler

Systematic Skewness and Stock Returns pp. 578-612

Paul Karehnke

A Survey of Short-Selling Regulations pp. 613-639

Amy K Edwards, Adam V Reed and Pedro Saffi

Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination pp. 640-666

Nadav Ben Zeev and Daniel Nathan

Volume 14, issue 3, 2024

Price of Regulations: Regulatory Costs and the Cross-section of Stock Returns pp. 381-427

Baris Ince and Han Ozsoylev

Decomposing Uncertainty in Macro-Finance Term Structure Models pp. 428-449

Joseph Byrne and Shuo Cao

An Empirical Assessment of Characteristics and Optimal Portfolios pp. 450-480

Christopher G Lamoureux and Huacheng Zhang

Equity Return Predictability with the ICAPM pp. 481-512

Michael Hasler and Charles Martineau

Estimating Probability Weighting Functions through Option Pricing Bounds pp. 513-543

Tzu-Ying Chen, Yo-Lan Lin and Larry Y Tzeng

Volume 14, issue 2, 2024

Investors’ Beliefs and Cryptocurrency Prices pp. 197-236

Matteo Benetton and Giovanni Compiani

Loss Sharing in Central Clearinghouses: Winners and Losers pp. 237-273

Christian Kubitza, Loriana Pelizzon and Mila Getmansky Sherman

Oil Price Exposure and the Cross-Section of Stock Returns pp. 274-309

Jordan Moore and Mihail Velikov

Contingent Claims and Hedging of Credit Risk with Equity Options pp. 310-348

Davide E Avino and Enrique Salvador

Trend Factor in China: The Role of Large Individual Trading pp. 348-380

Yang Liu, Guofu Zhou and Yingzi Zhu

Volume 14, issue 1, 2024

Investor Demand for Leverage: Evidence from Equity Closed-End Funds pp. 1-39

Robert Dam, Shaun William Davies and S Katie Moon

A New Value Strategy pp. 40-83

Baolian Wang

Factor Timing with Portfolio Characteristics pp. 84-118

Anastasios Kagkadis, Ingmar Nolte, Sandra Nolte and Nikolaos Vasilas

Unconventional Monetary Policies and the Yield Curve: Estimating Non-Affine Term Structure Models with Unspanned Macro Risk by Factor Extraction pp. 119-152

Adam Golinski and Peter Spencer

Is Firm-Level Political Risk Priced in the Equity Option Market? pp. 153-195

Thang Ho, Anastasios Kagkadis and George Wang

Volume 13, issue 4, 2023

Which Factors for Corporate Bond Returns? pp. 615-652

Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk and Zhiguo He

Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns pp. 653-690

Alexander Barinov, Georgy Chabakauri and Hui Chen

Short Interest and Aggregate Stock Returns: International Evidence pp. 691-733

Arseny Gorbenko and Marcin Kacperczyk

Never a Dull Moment: Entropy Risk in Commodity Markets pp. 734-783

Fousseni Chabi-Yo, Hitesh DoshiC. T. Bauer, Virgilio Zurita and Zhiguo He

Mutual Fund Proliferation and Entry Deterrence pp. 784-829

Sebastien Betermier, David Schumacher, Ali Shahrad and Marcin Kacperczyk

Volume 13, issue 3, 2023

Limits of Arbitrage and Primary Risk-Taking in Derivative Securities pp. 405-439

Meng Tian, Liuren Wu and Zhiguo He

Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns pp. 440-480

Shamim Ahmed, Ziwen Bu, Xiaoxia Ye and Hui Chen

The Other Insiders: Personal Trading by Brokers, Analysts, and Fund Managers pp. 481-522

Henk Berkman, Paul Koch, P Joakim Westerholm and Jeffrey Pontiff

Stochastic Interest Rates, Heterogeneous Valuations, and the Volatility-Volume Relation with Search Frictions pp. 523-578

Sheen Liu, Junbo Wang, Chunchi Wu and Hui Chen

Predicting Returns Out of Sample: A Naïve Model Averaging Approach pp. 579-614

Huafeng (Jason) Chen, Liang Jiang, Weiwei Liu and Hui Chen

Volume 13, issue 2, 2023

Safe Asset Carry Trade pp. 223-265

Benedikt Ballensiefen and Angelo Ranaldo

In Search of Habitat pp. 266-306

Xuanjuan Chen, Zhenzhen Sun, Tong Yao and Tong Yu

Small Rebalanced Portfolios Often Beat the Market over Long Horizons pp. 307-342

Adam Farago and Erik Hjalmarsson

The Geography of Subadvisors, Managerial Structure, and the Performance of International Equity Mutual Funds pp. 343-374

Markus Broman, Michael Densmore and Pauline Shum Nolan

Cheaper Is Not Better: On the ‘Superior’ Performance of High-Fee Mutual Funds pp. 375-404

Jinfei Sheng, Mikhail Simutin and Terry Zhang

Volume 13, issue 1, 2023

Investor Information Choice with Macro and Micro Information pp. 1-52

Paul Glasserman, Harry Mamaysky and Thierry Foucault

Liquidation Cascade and Anticipatory Trading: Evidence from the Structured Equity Product Market pp. 53-98

Jun Kyung Auh, Wonho Cho and Thierry Foucault

The Effect of Innovation Similarity on Asset Prices: Evidence from Patents’ Big Data pp. 99-145

Ron Bekkerman, Eliezer M Fich, Natalya V Khimich and Jeffrey Pontiff

Asset Pricing Implications of Firms’ Government Sales Dependency pp. 146-180

Bharat Raj Parajuli and Jeffrey Pontiff

Why Do Predicted Stock Issuers Earn Low Returns? pp. 181-221

Charles Lee, Ken Li and Jeffrey Pontiff

Volume 12, issue 4, 2022

What Drives the Size and Value Factors? (Connected stocks) pp. 845-885

Jiacui Li

Self-Fulfilling Asset Prices (Limited market participation and volatility of asset prices) pp. 886-917

Alexander K Zentefis

The Marketing Capability Premium (Formulation and estimation of stochastic frontier production function models) pp. 918-959

Tze Chuan (Chewie) Ang, Tarun Chordia, Vivian Van-Anh Mai and Harminder Singh

Short Selling ETFs (The effect of price tests on trader behavior and market quality: An analysis of Reg SHO) pp. 960-998

Frank Weikai Li and Qifei Zhu

Is Economic Uncertainty a Valid Intertemporal CAPM State Variable? (Basis assets) pp. 999-1040

Qi Lin

Volume 12, issue 3, 2022

Inventory-Constrained Underwriters and Corporate Bond Offerings (Signalling by underpricing in the IPO market) pp. 639-666

Florian Nagler and Giorgio Ottonello

The Cross-Section of Cryptocurrency Returns (A simple estimation of bid-ask spreads from daily close, high, and low prices) pp. 667-705

Nicola Borri and Kirill Shakhnov

Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models (Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy) pp. 706-753

Jaewon Choi, Matthew Richardson and Robert F Whitelaw

Asset Pricing Tests of Infrequently Traded Securities: The Case of Municipal Bonds (Liquidity risk of corporate bond returns: A conditional approach) pp. 754-807

Yao-Tsung Chen, Chunchi Wu and Chung-Ying Yeh

Equity Risk Premium Predictability from Cross-Sectoral Downturns (International asset allocation with regime shifts) pp. 808-842

Jose Faias and Juan Arismendi Zambrano

Volume 12, issue 2, 2022

Active and Passive Investing: Understanding Samuelson’s Dictum (A noisy rational expectations equilibrium for multi-asset securities markets) pp. 389-446

Nicolae Gârleanu and Lasse Heje Pedersen

Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model (Illiquidity and stock returns: Cross-section and time-series effects) pp. 447-499

Steffen Windmüller

Characterizing the Variance Risk Premium: The Role of the Leverage Effect (The term structure of variance swaps and risk premia) pp. 500-542

Guanglian Hu, Kris Jacobs and Sang Byung Seo

Revealed Heuristics: Evidence from Investment Consultants’ Search Behavior (Which factors matter to investors? Evidence from mutual fund flows) pp. 543-592

Sudheer Chava, Soohun Kim and Daniel Weagley

Learning from Noise? Price and Liquidity Spillovers around Mutual Fund Fire Sales (A noisy rational expectations equilibrium for multi-asset securities markets) pp. 593-637

Pekka Honkanen and Daniel Schmidt

Volume 12, issue 1, 2022

Embedded Leverage (Asset pricing with liquidity risk) pp. 1-52

Andrea Frazzini and Lasse Pedersen

Working Remotely and the Supply-Side Impact of COVID-19 (The unprecedented stock market reaction to COVID-19) pp. 53-111

Dimitris Papanikolaou and Lawrence Schmidt

Measuring Operating Leverage (Measuring economic policy uncertainty) pp. 112-154

Huafeng (Jason) Chen, Jason V Chen, Feng Li and Pengfei Li

Cross-Sectional Skewness (Endogenous information flows and the clustering of announcements) pp. 155-198

Sangmin S Oh and Jessica A Wachter

Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data (Leverage, moral hazard, and liquidity) pp. 199-242

Bastian von Beschwitz, Sandro Lunghi and Daniel Schmidt

Valuation Risk in Mutual Fund Portfolio Disclosure (Illiquidity and stock returns: Cross-section and time-series effects) pp. 243-288

Hsiu-Lang Chen

Volatility-of-Volatility Risk in Asset Pricing (Stock returns and volatility: Pricing the short-run and long-run components of market risk) pp. 289-335

Te-Feng Chen, Tarun Chordia, San-Lin Chung and Ji-Chai Lin

Pricing Implications of Covariances and Spreads in Currency Markets (Optimal and naive diversification in currency markets) pp. 336-388

Thomas Maurer, Thuy-Duong Tô and Ngoc-Khanh Tran