The Review of Asset Pricing Studies
Volume 1 - 12
Current editor(s): Zhiguo He From Oxford University Press Bibliographic data for series maintained by Oxford University Press (). 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 12, issue 4, 2022
- What Drives the Size and Value Factors? (Connected stocks) pp. 845-885

- Jiacui Li
- Self-Fulfilling Asset Prices (Limited market participation and volatility of asset prices) pp. 886-917

- Alexander K Zentefis
- The Marketing Capability Premium (Formulation and estimation of stochastic frontier production function models) pp. 918-959

- Tze Chuan (Chewie) Ang, Tarun Chordia, Vivian Van-Anh Mai and Harminder Singh
- Short Selling ETFs (The effect of price tests on trader behavior and market quality: An analysis of Reg SHO) pp. 960-998

- Frank Weikai Li and Qifei Zhu
- Is Economic Uncertainty a Valid Intertemporal CAPM State Variable? (Basis assets) pp. 999-1040

- Qi Lin
Volume 12, issue 3, 2022
- Inventory-Constrained Underwriters and Corporate Bond Offerings (Signalling by underpricing in the IPO market) pp. 639-666

- Florian Nagler and Giorgio Ottonello
- The Cross-Section of Cryptocurrency Returns (A simple estimation of bid-ask spreads from daily close, high, and low prices) pp. 667-705

- Nicola Borri and Kirill Shakhnov
- Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models (Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy) pp. 706-753

- Jaewon Choi, Matthew Richardson and Robert F Whitelaw
- Asset Pricing Tests of Infrequently Traded Securities: The Case of Municipal Bonds (Liquidity risk of corporate bond returns: A conditional approach) pp. 754-807

- Yao-Tsung Chen, Chunchi Wu and Chung-Ying Yeh
- Equity Risk Premium Predictability from Cross-Sectoral Downturns (International asset allocation with regime shifts) pp. 808-842

- José Afonso Faias and Juan Arismendi Zambrano
Volume 12, issue 2, 2022
- Active and Passive Investing: Understanding Samuelson’s Dictum (A noisy rational expectations equilibrium for multi-asset securities markets) pp. 389-446

- Nicolae Gârleanu and Lasse Heje Pedersen
- Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model (Illiquidity and stock returns: Cross-section and time-series effects) pp. 447-499

- Steffen Windmüller
- Characterizing the Variance Risk Premium: The Role of the Leverage Effect (The term structure of variance swaps and risk premia) pp. 500-542

- Guanglian Hu, Kris Jacobs and Sang Byung Seo
- Revealed Heuristics: Evidence from Investment Consultants’ Search Behavior (Which factors matter to investors? Evidence from mutual fund flows) pp. 543-592

- Sudheer Chava, Soohun Kim and Daniel Weagley
- Learning from Noise? Price and Liquidity Spillovers around Mutual Fund Fire Sales (A noisy rational expectations equilibrium for multi-asset securities markets) pp. 593-637

- Pekka Honkanen and Daniel Schmidt
Volume 12, issue 1, 2022
- Embedded Leverage (Asset pricing with liquidity risk) pp. 1-52

- Andrea Frazzini and Lasse Pedersen
- Working Remotely and the Supply-Side Impact of COVID-19 (The unprecedented stock market reaction to COVID-19) pp. 53-111

- Dimitris Papanikolaou and Lawrence D W Schmidt
- Measuring Operating Leverage (Measuring economic policy uncertainty) pp. 112-154

- Huafeng (Jason) Chen, Jason V Chen, Feng Li and Pengfei Li
- Cross-Sectional Skewness (Endogenous information flows and the clustering of announcements) pp. 155-198

- Sangmin S Oh and Jessica A Wachter
- Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data (Leverage, moral hazard, and liquidity) pp. 199-242

- Bastian von Beschwitz, Sandro Lunghi and Daniel Schmidt
- Valuation Risk in Mutual Fund Portfolio Disclosure (Illiquidity and stock returns: Cross-section and time-series effects) pp. 243-288

- Hsiu-Lang Chen
- Volatility-of-Volatility Risk in Asset Pricing (Stock returns and volatility: Pricing the short-run and long-run components of market risk) pp. 289-335

- Te-Feng Chen, Tarun Chordia, San-Lin Chung and Ji-Chai Lin
- Pricing Implications of Covariances and Spreads in Currency Markets (Optimal and naive diversification in currency markets) pp. 336-388

- Thomas Maurer, Thuy-Duong Tô and Ngoc-Khanh Tran
Volume 11, issue 4, 2021
- A Panel Regression Approach to Holdings-Based Fund Performance Measures (Multiperiod performance persistence analysis of hedge funds) pp. 695-734

- Wayne Ferson and Junbo L Wang
- Strategic Trading When Central Bank Intervention Is Predictable (Uncovering hedge fund skill from the portfolio holdings they hide) pp. 735-761

- Liyan Yang and Haoxiang Zhu
- Is Positive Sentiment in Corporate Annual Reports Informative? Evidence from Deep Learning (Cash holdings and credit risk) pp. 762-805

- Mehran Azimi and Anup Agrawal
- Are Monthly Market Returns Predictable? (Conditional market timing with benchmark investors) pp. 806-836

- Jussi Keppo, Tyler Shumway and Daniel Weagley
- What Information Drives Asset Prices? (Information quality and long-run risk: Asset pricing implications) pp. 837-885

- Anisha Ghosh and George M Constantinides
- Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints (Multiplicity in general financial equilibrium with portfolio constraints) pp. 886-923

- Lei Shi and Yajun Xiao
Volume 11, issue 3, 2021
- Disagreement after News: Gradual Information Diffusion or Differences of Opinion? pp. 465-501

- Anastassia Fedyk
- The Sound of Many Funds Rebalancing pp. 502-551

- Alex Chinco and Vyacheslav Fos
- Can Individual Investors Beat the Market? pp. 552-579

- Joshua D Coval, David Hirshleifer and Tyler Shumway
- Reputation Concerns and Slow-Moving Capital pp. 580-609

- Steven Malliaris and Hongjun Yan
- When and Where Is It Cheaper to Issue Inflation-Linked Debt? pp. 610-653

- Andrey Ermolov
- Global Risk in Long-Term Sovereign Debt pp. 654-693

- 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

- N Aaron Pancost
- The Night and Day of Amihud’s (2002) Liquidity Measure (Asset pricing with liquidity risk) pp. 269-308

- 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

- 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

- 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

- Ilan Cooper, Liang Ma, Paulo Maio and Dennis Philip
- The Annual Report of the Society for Financial Studies for 2019–2020 pp. 445-463

- 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

- John H Cochrane
- Economic-State Variation in Uncertainty-Yield Dynamics (Do macro variables, asset markets, or surveys forecast inflation better?) pp. 60-104

- Robert Connolly, David Dubofsky and Chris Stivers
- The Value Premium (Fundamentals and stock returns in Japan) pp. 105-121

- 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

- Peter N Dixon
- Double-Adjusted Mutual Fund Performance (Mutual fund’s R2 as predictor of performance) pp. 169-208

- Jeffrey A Busse, Lei Jiang and Yuehua Tang
Volume 10, issue 4
- Repercussions of Pandemics on Markets and Policy pp. 569-573

- Lars Hansen
- Coronavirus: Impact on Stock Prices and Growth Expectations pp. 574-597

- Niels Gormsen, Ralph S J Koijen and Nikolai Roussanov
- Earnings Expectations during the COVID-19 Crisis* pp. 598-617

- Augustin Landier, David Thesmar and Jeffrey Pontiff
- What Do Index Options Teach Us About COVID-19? pp. 618-634

- Jens Jackwerth and Jeffrey Pontiff
- Volatility Markets Underreacted to the Early Stages of the COVID-19 Pandemic pp. 635-668

- 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

- David Ling, Chongyu Wang, Tingyu Zhou and Jeffrey Pontiff
- COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission pp. 705-741

- Lorenzo Bretscher, Alex Hsu, Peter Simasek, Andrea Tamoni and Nikolai Roussanov
- The Unprecedented Stock Market Reaction to COVID-19 pp. 742-758

- 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

- Chester S Spatt and Jeffrey Pontiff
- Mutual Fund Performance and Flows during the COVID-19 Crisis pp. 791-833

- 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

- 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

- J Anthony Cookson, Joseph 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

- Kenneth Ahern
- Monetary Policy and Corporate Bond Returns pp. 441-489

- Haifeng Guo, Alexandros Kontonikas and Paulo Maio
- Art as an Asset: Evidence from Keynes the Collector pp. 490-520

- David Chambers, Elroy Dimson and Christophe Spaenjers
- Historical Returns of the Market Portfolio pp. 521-567

- 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

- Campbell R Harvey, Yan Liu, Alessio Saretto and Jeffrey Pontiff
- Publication Bias and the Cross-Section of Stock Returns pp. 249-289

- Andrew Y Chen, Tom Zimmermann and Jeffrey Pontiff
- Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests pp. 290-334

- Chris Kirby and Nikolai Roussanov
- Stock Price Movements: Business-Cycle and Low-Frequency Perspectives pp. 335-395

- Chunhua Lan and Nikolai Roussanov
Volume 10, issue 1, 2020
- Preventing Controversial Catastrophes pp. 1-60

- Steven D Baker, Burton Hollifield and Emilio Osambela
- Learning, Fast or Slow pp. 61-93

- Brad Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean and Ke Zhang
- Real Exchange Rates and Currency Risk Premiums pp. 94-121

- Pierluigi Balduzzi and I-Hsuan Ethan Chiang
- First to “Read” the News: News Analytics and Algorithmic Trading pp. 122-178

- Bastian von Beschwitz, Donald B Keim and Massimo Massa
- Annual Report of the Society for Financial Studies for 2018–2019 pp. 179-197

- Andrew Ellul, Itay Goldstein, Craig Holden, Ron Masulis, Jeffrey Pontiff and Antoinette Schoar
| |