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Review of Asset Pricing Studies

2011 - 2020

Current editor(s): Wayne Ferson

From Oxford University Press
Bibliographic data for series maintained by Oxford University Press ().

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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

Volume 5, issue 2, 2015

Managerial Activeness and Mutual Fund Performance pp. 156-184 Downloads
Hitesh Doshi, Redouane Elkamhi and Mikhail Simutin
The Impact of Hedge Funds on Asset Markets pp. 185-226 Downloads
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Price Contagion through Balance Sheet Linkages pp. 227-253 Downloads
Agostino Capponi and Martin Larsson
Target Date Funds: Characteristics and Performance pp. 254-272 Downloads
Edwin J. Elton, Martin J. Gruber, Andre de Souza and Christopher R. Blake

Volume 5, issue 1, 2015

Price-Dividend Ratio Factor Proxies for Long-Run Risks pp. 1-47 Downloads
Ravi Jagannathan and Srikant Marakani
A Credit Spread Puzzle for Reduced-Form Models pp. 48-91 Downloads
Antje Berndt
Internationally Correlated Jumps pp. 92-111 Downloads
Kuntara Pukthuanthong and Richard Roll
Inferring Correlations of Asset Values and Distances-to-Default from CDS Spreads: A Structural Model Approach pp. 112-154 Downloads
Chanatip Kitwiwattanachai and Neil D. Pearson

Volume 4, issue 2, 2014

Rating-Based Investment Practices and Bond Market Segmentation pp. 162-205 Downloads
Zhihua Chen, Aziz A. Lookman, Norman Schürhoff and Duane J. Seppi
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog? pp. 206-246 Downloads
Turan G. Bali, Nusret Cakici and Robert F. Whitelaw
Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility pp. 247-285 Downloads
Peter O. Christensen and Kasper Larsen
Detecting Superior Mutual Fund Managers: Evidence from Copycats pp. 286-321 Downloads
Blake Phillips, Kuntara Pukthuanthong and Raghavendra Rau

Volume 4, issue 1, 2014

Predators and Prey on Wall Street pp. 1-38 Downloads
Maria Chaderina and Richard Green
Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity pp. 39-77 Downloads
Mark J. Kamstra, Lisa Kramer, Maurice D. Levi and Tan Wang
Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas pp. 78-117 Downloads
Thomas Gilbert, Christopher Hrdlicka, Jonathan Kalodimos and Stephan Siegel
Safety First, Learning Under Ambiguity, and the Cross-Section of Stock Returns pp. 118-159 Downloads
Ariel Viale, Luis Garcia-Feijoo and Antoine Giannetti
Page updated 2020-06-04