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Review of Asset Pricing Studies

Volume 1 - 10

Current editor(s): Wayne Ferson

From Oxford University Press
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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