Economics at your fingertips  

Review of Asset Pricing Studies

Volume 1 - 10

Current editor(s): Wayne Ferson

From Oxford University Press
Bibliographic data for series maintained by Oxford University Press ( this e-mail address is bad, please contact ) and Christopher F. Baum ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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 C 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

Volume 8, issue 1, 2018

Beta Bubbles pp. 1-35 Downloads
Petri Jylhä, Matti Suominen and Tuomas Tomunen
Aggregate Tail Risk and Expected Returns pp. 36-76 Downloads
David A Chapman, Michael Gallmeyer and J Spencer Martin
Hedge Fund Holdings and Stock Market Efficiency pp. 77-116 Downloads
Charles Cao, Bing Liang, Andrew W Lo and Lubomir Petrasek
Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings pp. 117-152 Downloads
Hong Qian and Zhaodong (Ken) Zhong
A Performance Comparison of Large-n Factor Estimators pp. 153-182 Downloads
Zhuo Chen, Gregory Connor and Robert Korajczyk

Volume 7, issue 2, 2017

Extended Stock Returns in Response to S&P 500 Index Changes pp. 172-208 Downloads
Nimesh Patel and Ivo Welch
Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties pp. 209-242 Downloads
Albert Menkveld
The Cross-Section of Expected Returns in the Secondary Corporate Loan Market pp. 243-277 Downloads
Mehdi Beyhaghi and Sina Ehsani
Effects of Team Hierarchies on Bond Investing pp. 278-315 Downloads
Massimo Massa and Lei Zhang
Transparency and Liquidity in the Structured Product Market pp. 316-348 Downloads
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam

Volume 7, issue 1, 2017

A Spanning Series Approach to Options pp. 2-42 Downloads
Steven L. Heston and Alberto G. Rossi
Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market* pp. 43-80 Downloads
Hitesh Doshi, Kris Jacobs and Virgilio Zurita
Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads pp. 81-143 Downloads
Sheen Liu and Chunchi Wu
Speed of Information Diffusion within Fund Families pp. 144-170 Downloads
Gjergji Cici, Stefan Jaspersen and Alexander Kempf

Volume 6, issue 2, 2016

Economic Uncertainty and Interest Rates pp. 179-220 Downloads
Samuel M. Hartzmark
International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns pp. 221-260 Downloads
Bruno Solnik and Thaisiri Watewai
The Noninformation Cost of Trading and Its Relative Importance inAsset Pricing pp. 261-302 Downloads
Kee H. Chung and Sahn-Wook Huh
Idiosyncratic Risk Innovations and the Idiosyncratic Risk-ReturnRelation pp. 303-328 Downloads
Mark Rachwalski and Quan Wen

Volume 6, issue 1, 2016

Macro Disagreement and the Cross-Section of Stock Returns pp. 1-45 Downloads
Frank Weikai Li
Heterogeneous Innovation, Firm Creation and Destruction, and Asset Prices pp. 46-87 Downloads
Jan Bena, Lorenzo Garlappi and Patrick Grüning
Leisure Preferences, Long-Run Risks, and Human Capital Returns pp. 88-134 Downloads
Robert F. Dittmar, Francisco Palomino and Wei Yang
Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide pp. 135-178 Downloads
Florian Weigert
Page updated 2021-05-12