The Review of Asset Pricing Studies

Volume 1 - 16

Current editor(s): Zhiguo He

From Society for Financial Studies
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Cross-Sectional Identification of Private Information pp. 1-49: Dion Bongaerts, Dominik Rösch and Mathijs van Dijk
Asset Growth Anomaly of Corporate Bonds: A Decomposition Analysis pp. 50-94: Fang Chen, Jingzhi Huang, Yifei Li, Wenfeng Wu and Tong Yu
Short Selling Around News in International Stock Markets pp. 95-132: Arseny Gorbenko
Cross-Sectional Variation of Risk-targeting Option Portfolios pp. 133-161: Liuren Wu and Yaofei Xu

Priority Rules, Internalization, and Payment for Order Flow pp. 217-246: Hans Degryse and Nikolaos Karagiannis
Jumps and Post-FOMC Announcement Returns in Currency Markets pp. 247-287: Suzanne S Lee and Minho Wang
Alpha Go Everywhere: Machine Learning and International Stock Returns pp. 288-331: Darwin Choi, Wenxi Jiang and Chao Zhang
To Lend or Not to Lend: The Bank of Japan’s ETF Purchase Program and Securities Lending pp. 332-376: Mitsuru Katagiri, Junnosuke Shino and Koji Takahashi

Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks pp. 103-120: George Constantinides
A Portfolio-Balance Model of Inflation and Yield Curve Determination pp. 121-161: Antonio Diez de los Rios
Interacting Anomalies pp. 162-216: Karsten Müller and Simon N M Schmickler

“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

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 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

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

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

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 (Lechner) 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

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

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

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

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