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

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