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Review of Asset Pricing Studies

Volume 1 - 11

Current editor(s): Wayne Ferson

From Oxford University Press
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Volume 11, issue 3, 2021

Disagreement after News: Gradual Information Diffusion or Differences of Opinion? pp. 465-501 Downloads
Anastassia Fedyk
The Sound of Many Funds Rebalancing pp. 502-551 Downloads
Alex Chinco and Vyacheslav Fos
Can Individual Investors Beat the Market? pp. 552-579 Downloads
Joshua D Coval, David Hirshleifer and Tyler Shumway
Reputation Concerns and Slow-Moving Capital pp. 580-609 Downloads
Steven Malliaris and Hongjun Yan
When and Where Is It Cheaper to Issue Inflation-Linked Debt? pp. 610-653 Downloads
Andrey Ermolov
Global Risk in Long-Term Sovereign Debt pp. 654-693 Downloads
Nicola Borri and Kirill Shakhnov

Volume 11, issue 2, 2021

Zero-Coupon Yields and the Cross-Section of Bond Prices (Pricing the term structure with linear regressions) pp. 209-268 Downloads
N Aaron Pancost
The Night and Day of Amihud’s (2002) Liquidity Measure (Asset pricing with liquidity risk) pp. 269-308 Downloads
Yashar H Barardehi, Dan Bernhardt, Thomas G Ruchti and Marc Weidenmier
Investing in Socially Responsible Mutual Funds (Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation) pp. 309-351 Downloads
Christopher C Geczy, Robert F Stambaugh and David Levin
CDS Momentum: Slow-Moving Credit Ratings and Cross-Market Spillovers (Insider trading in credit derivatives) pp. 352-401 Downloads
Jongsub Lee, Andy Naranjo and Stace Sirmans
Multifactor Models and Their Consistency with the APT (Eigenvalue ratio test for the number of factors) pp. 402-444 Downloads
Ilan Cooper, Liang Ma, Paulo Maio and Dennis Philip
The Annual Report of the Society for Financial Studies for 2019–2020 pp. 445-463 Downloads
Kalok Chan, Andrew Ellul, Itay Goldstein, Craig Holden, Monika Piazzesi and Jeffrey Pontiff

Volume 11, issue 1, 2021

Rethinking Production under Uncertainty (Valuation risk and asset pricing) pp. 1-59 Downloads
John H Cochrane
Economic-State Variation in Uncertainty-Yield Dynamics (Do macro variables, asset markets, or surveys forecast inflation better?) pp. 60-104 Downloads
Robert A Connolly, David Dubofsky and Chris Stivers
The Value Premium (Fundamentals and stock returns in Japan) pp. 105-121 Downloads
Eugene F Fama and Kenneth R French
Why Do Short Selling Bans Increase Adverse Selection and Decrease Price Efficiency? (The market for ‘lemons’: Quality uncertainty and the market mechanism) pp. 122-168 Downloads
Peter N Dixon
Double-Adjusted Mutual Fund Performance (Mutual fund’s R2 as predictor of performance) pp. 169-208 Downloads
Jeffrey A Busse, Lei Jiang and Yuehua Tang

Volume 10, issue 4

Repercussions of Pandemics on Markets and Policy pp. 569-573 Downloads
Lars Hansen
Coronavirus: Impact on Stock Prices and Growth Expectations pp. 574-597 Downloads
Niels Joachim Gormsen, Ralph S J Koijen and Nikolai Roussanov
Earnings Expectations during the COVID-19 Crisis* pp. 598-617 Downloads
Augustin Landier, David Thesmar and Jeffrey Pontiff
What Do Index Options Teach Us About COVID-19? pp. 618-634 Downloads
Jens Jackwerth and Jeffrey Pontiff
Volatility Markets Underreacted to the Early Stages of the COVID-19 Pandemic pp. 635-668 Downloads
Ing-Haw Cheng and Jeffrey Pontiff
A First Look at the Impact of COVID-19 on Commercial Real Estate Prices: Asset-Level Evidence pp. 669-704 Downloads
David Ling, Chongyu Wang, Tingyu Zhou and Jeffrey Pontiff
COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission pp. 705-741 Downloads
Lorenzo Bretscher, Alex Hsu, Peter Simasek, Andrea Tamoni and Nikolai Roussanov
The Unprecedented Stock Market Reaction to COVID-19 pp. 742-758 Downloads
Scott Baker, Nicholas Bloom, Steven Davis, Kyle Kost, Marco Sammon, Tasaneeya Viratyosin and Jeffrey Pontiff
A Tale of Two Crises: The 2008 Mortgage Meltdown and the 2020 COVID-19 Crisis pp. 759-790 Downloads
Chester S Spatt and Jeffrey Pontiff
Mutual Fund Performance and Flows during the COVID-19 Crisis pp. 791-833 Downloads
Lubos Pastor, M Blair Vorsatz and Jeffrey Pontiff
How Does Household Spending Respond to an Epidemic? Consumption during the 2020 COVID-19 Pandemic pp. 834-862 Downloads
Scott Baker, Robert A Farrokhnia, Steffen Meyer, Michaela Pagel, Constantine Yannelis and Jeffrey Pontiff
Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic pp. 863-893 Downloads
J Anthony Cookson, Joseph E Engelberg, William Mullins and Hui Chen

Volume 10, issue 3

Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades pp. 397-440 Downloads
Kenneth Ahern
Monetary Policy and Corporate Bond Returns pp. 441-489 Downloads
Haifeng Guo, Alexandros Kontonikas and Paulo Maio
Art as an Asset: Evidence from Keynes the Collector pp. 490-520 Downloads
David Chambers, Elroy Dimson and Christophe Spaenjers
Historical Returns of the Market Portfolio pp. 521-567 Downloads
Ronald Doeswijk, Trevin Lam and Laurens Swinkels

Volume 10, issue 2, 2020

An Evaluation of Alternative Multiple Testing Methods for Finance Applications pp. 199-248 Downloads
Campbell R Harvey, Yan Liu, Alessio Saretto and Jeffrey Pontiff
Publication Bias and the Cross-Section of Stock Returns pp. 249-289 Downloads
Andrew Y Chen, Tom Zimmermann and Jeffrey Pontiff
Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests pp. 290-334 Downloads
Chris Kirby and Nikolai Roussanov
Stock Price Movements: Business-Cycle and Low-Frequency Perspectives pp. 335-395 Downloads
Chunhua Lan and Nikolai Roussanov

Volume 10, issue 1, 2020

Preventing Controversial Catastrophes pp. 1-60 Downloads
Steven D Baker, Burton Hollifield and Emilio Osambela
Learning, Fast or Slow pp. 61-93 Downloads
Brad Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean and Ke Zhang
Real Exchange Rates and Currency Risk Premiums pp. 94-121 Downloads
Pierluigi Balduzzi and I-Hsuan Ethan Chiang
First to “Read” the News: News Analytics and Algorithmic Trading pp. 122-178 Downloads
Bastian von Beschwitz, Donald B Keim and Massimo Massa
Annual Report of the Society for Financial Studies for 2018–2019 pp. 179-197 Downloads
Andrew Ellul, Itay Goldstein, Craig Holden, Ron Masulis, Jeffrey Pontiff and Antoinette Schoar

Volume 9, issue 2, 2019

Interest Rates and Inflation Revisited pp. 197-209 Downloads
Eugene F Fama
Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan pp. 210-255 Downloads
Andrea Barbon and Virginia Gianinazzi
Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market pp. 256-295 Downloads
Michael Fleming and Giang Nguyen
The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs pp. 296-355 Downloads
Si Cheng, Massimo Massa and Hong Zhang
A Market-Based Funding Liquidity Measure pp. 356-393 Downloads
Zhuo Chen and Andrea Lu

Volume 9, issue 1, 2019

A Fresh Look at Return Predictability Using a More Efficient Estimator pp. 1-46 Downloads
Travis L Johnson
Relative Tick Size and the Trading Environment pp. 47-90 Downloads
Maureen O’Hara, Gideon Saar and Zhuo Zhong
Consumption-Income Sensitivity and Portfolio Choice pp. 91-136 Downloads
Jawad M Addoum, Stefanos Delikouras and George M Korniotis
The Causal Effects of Short-Selling Bans: Evidence from Eligibility Thresholds pp. 137-170 Downloads
Alan D Crane, Kevin Crotty, Sébastien Michenaud and Patricia Naranjo
Downside Risk Timing by Mutual Funds pp. 171-196 Downloads
Andriy Bodnaruk, Bekhan Chokaev and Andrei Simonov
Page updated 2022-05-16