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The Review of Asset Pricing Studies

Volume 1 - 12

Current editor(s): Zhiguo He

From Oxford University Press
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Volume 12, issue 4, 2022

What Drives the Size and Value Factors? (Connected stocks) pp. 845-885 Downloads
Jiacui Li
Self-Fulfilling Asset Prices (Limited market participation and volatility of asset prices) pp. 886-917 Downloads
Alexander K Zentefis
The Marketing Capability Premium (Formulation and estimation of stochastic frontier production function models) pp. 918-959 Downloads
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 Downloads
Frank Weikai Li and Qifei Zhu
Is Economic Uncertainty a Valid Intertemporal CAPM State Variable? (Basis assets) pp. 999-1040 Downloads
Qi Lin

Volume 12, issue 3, 2022

Inventory-Constrained Underwriters and Corporate Bond Offerings (Signalling by underpricing in the IPO market) pp. 639-666 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
Pekka Honkanen and Daniel Schmidt

Volume 12, issue 1, 2022

Embedded Leverage (Asset pricing with liquidity risk) pp. 1-52 Downloads
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 Downloads
Dimitris Papanikolaou and Lawrence D W Schmidt
Measuring Operating Leverage (Measuring economic policy uncertainty) pp. 112-154 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
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 Downloads
Mehran Azimi and Anup Agrawal
Are Monthly Market Returns Predictable? (Conditional market timing with benchmark investors) pp. 806-836 Downloads
Jussi Keppo, Tyler Shumway and Daniel Weagley
What Information Drives Asset Prices? (Information quality and long-run risk: Asset pricing implications) pp. 837-885 Downloads
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 Downloads
Lei Shi and Yajun Xiao

Volume 11, issue 3, 2021

Disagreement after News: Gradual Information Diffusion or Differences of Opinion? pp. 465-501 Downloads
Anastassia Fedyk
The Sound of Many Funds Rebalancing pp. 502-551 Downloads
Alex Chinco and Vyacheslav Fos
Can Individual Investors Beat the Market? pp. 552-579 Downloads
Joshua D Coval, David Hirshleifer and Tyler Shumway
Reputation Concerns and Slow-Moving Capital pp. 580-609 Downloads
Steven Malliaris and Hongjun Yan
When and Where Is It Cheaper to Issue Inflation-Linked Debt? pp. 610-653 Downloads
Andrey Ermolov
Global Risk in Long-Term Sovereign Debt pp. 654-693 Downloads
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 Downloads
N Aaron Pancost
The Night and Day of Amihud’s (2002) Liquidity Measure (Asset pricing with liquidity risk) pp. 269-308 Downloads
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 Downloads
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 Downloads
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 Downloads
Ilan Cooper, Liang Ma, Paulo Maio and Dennis Philip
The Annual Report of the Society for Financial Studies for 2019–2020 pp. 445-463 Downloads
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 Downloads
John H Cochrane
Economic-State Variation in Uncertainty-Yield Dynamics (Do macro variables, asset markets, or surveys forecast inflation better?) pp. 60-104 Downloads
Robert Connolly, David Dubofsky and Chris Stivers
The Value Premium (Fundamentals and stock returns in Japan) pp. 105-121 Downloads
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 Downloads
Peter N Dixon
Double-Adjusted Mutual Fund Performance (Mutual fund’s R2 as predictor of performance) pp. 169-208 Downloads
Jeffrey A Busse, Lei Jiang and Yuehua Tang

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 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 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 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
Page updated 2023-06-01