The Review of Asset Pricing Studies

Volume 1 - 15

Current editor(s): Zhiguo He

From Society for Financial Studies
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Beta Bubbles pp. 1-35: Petri Jylhä, Matti Suominen and Tuomas Tomunen
Aggregate Tail Risk and Expected Returns pp. 36-76: David Chapman, Michael Gallmeyer and J Spencer Martin
Hedge Fund Holdings and Stock Market Efficiency pp. 77-116: Charles Cao, Bing Liang, Andrew Lo and Lubomir Petrasek
Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings pp. 117-152: Hong Qian and Zhaodong Zhong
A Performance Comparison of Large-n Factor Estimators pp. 153-182: Zhuo Chen, Gregory Connor and Robert Korajczyk

Extended Stock Returns in Response to S&P 500 Index Changes pp. 172-208: Nimesh Patel and Ivo Welch
Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties pp. 209-242: Albert Menkveld
The Cross-Section of Expected Returns in the Secondary Corporate Loan Market pp. 243-277: Mehdi Beyhaghi and Sina Ehsani
Effects of Team Hierarchies on Bond Investing pp. 278-315: Massimo Massa and Lei Zhang
Transparency and Liquidity in the Structured Product Market pp. 316-348: Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam

A Spanning Series Approach to Options pp. 2-42: Steven L. Heston and Alberto G. Rossi
Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market* pp. 43-80: Hitesh Doshi, Kris Jacobs and Virgilio Zurita
Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads pp. 81-143: Sheen Liu and Chunchi Wu
Speed of Information Diffusion within Fund Families pp. 144-170: Gjergji Cici, Stefan Jaspersen and Alexander Kempf

Economic Uncertainty and Interest Rates pp. 179-220: Samuel M. Hartzmark
International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns pp. 221-260: Bruno Solnik and Thaisiri Watewai
The Noninformation Cost of Trading and Its Relative Importance inAsset Pricing pp. 261-302: Kee H. Chung and Sahn-Wook Huh
Idiosyncratic Risk Innovations and the Idiosyncratic Risk-ReturnRelation pp. 303-328: Mark Rachwalski and Quan Wen

Macro Disagreement and the Cross-Section of Stock Returns pp. 1-45: Frank Weikai Li
Heterogeneous Innovation, Firm Creation and Destruction, and Asset Prices pp. 46-87: Jan Bena, Lorenzo Garlappi and Patrick Grüning
Leisure Preferences, Long-Run Risks, and Human Capital Returns pp. 88-134: Robert F. Dittmar, Francisco Palomino and Wei Yang
Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide pp. 135-178: Florian Weigert

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

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

Rating-Based Investment Practices and Bond Market Segmentation pp. 162-205: 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: Turan G. Bali, Nusret Cakici and Robert F. Whitelaw
Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility pp. 247-285: Peter O. Christensen and Kasper Larsen
Detecting Superior Mutual Fund Managers: Evidence from Copycats pp. 286-321: Blake Phillips, Kuntara Pukthuanthong and Raghavendra Rau

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

The Rap on the RAPS pp. 177-178: Wayne Ferson
Does the Fed Control Interest Rates? pp. 180-199: Eugene F. Fama
Does Active Management Pay? New International Evidence pp. 200-228: Alexander Dyck, Karl Lins and Lukasz Pomorski
The Puzzle of Index Option Returns pp. 229-257: George Constantinides, Jens Carsten Jackwerth and Alexi Savov
Call-Put Implied Volatility Spreads and Option Returns pp. 258-290: James S. Doran, Andy Fodor and Danling Jiang

Limited Capital Market Participation and Human Capital Risk pp. 1-37: Jonathan B. Berk and Johan Walden
The Wealth-Consumption Ratio pp. 38-94: Hanno Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan
Hard Times pp. 95-132: John Campbell, Stefano Giglio and Christopher Polk
An Analysis of the Amihud Illiquidity Premium pp. 133-176: Michael Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam

The World Price of Credit Risk pp. 112-152: Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov
How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? pp. 153-202: Jing-Zhi Huang and Ming Huang
A Simple Test of the Affine Class of Term Structure Models pp. 203-244: Pierluigi Balduzzi and I-Hsuan Ethan Chiang
Mutual Fund Industry Selection and Persistence pp. 245-274: Jeffrey A. Busse and Qing Tong

Go Down Fighting: Short Sellers vs. Firms pp. 1-30: Owen A. Lamont
Does Mutual Fund Size Matter? The Relationship Between Size and Performance pp. 31-55: Edwin J. Elton, Martin J. Gruber and Christopher R. Blake
Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks pp. 57-87: Malcolm Baker and Jeffrey Wurgler
Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify? pp. 89-110: Stephen Brown, Greg N. Gregoriou and Razvan Pascalau