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Content
2022, Volume 12, Issue 4
- 845-885 What Drives the Size and Value Factors?
[Connected stocks]
by Jiacui Li - 886-917 Self-Fulfilling Asset Prices
[Limited market participation and volatility of asset prices]
by Alexander K Zentefis - 918-959 The Marketing Capability Premium
[Formulation and estimation of stochastic frontier production function models]
by Tze Chuan (Chewie) Ang & Tarun Chordia & Vivian Van-Anh Mai & Harminder Singh - 960-998 Short Selling ETFs
[The effect of price tests on trader behavior and market quality: An analysis of Reg SHO]
by Frank Weikai Li & Qifei Zhu - 999-1040 Is Economic Uncertainty a Valid Intertemporal CAPM State Variable?
[Basis assets]
by Qi Lin
2022, Volume 12, Issue 3
- 639-666 Inventory-Constrained Underwriters and Corporate Bond Offerings
[Signalling by underpricing in the IPO market]
by Florian Nagler & Giorgio Ottonello - 667-705 The Cross-Section of Cryptocurrency Returns
[A simple estimation of bid-ask spreads from daily close, high, and low prices]
by Nicola Borri & Kirill Shakhnov - 706-753 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]
by Jaewon Choi & Matthew Richardson & Robert F Whitelaw - 754-807 Asset Pricing Tests of Infrequently Traded Securities: The Case of Municipal Bonds
[Liquidity risk of corporate bond returns: A conditional approach]
by Yao-Tsung Chen & Chunchi Wu & Chung-Ying Yeh - 808-842 Equity Risk Premium Predictability from Cross-Sectoral Downturns
[International asset allocation with regime shifts]
by José Afonso Faias & Juan Arismendi Zambrano
2022, Volume 12, Issue 2
- 389-446 Active and Passive Investing: Understanding Samuelson’s Dictum
[A noisy rational expectations equilibrium for multi-asset securities markets]
by Nicolae Gârleanu & Lasse Heje Pedersen - 447-499 Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model
[Illiquidity and stock returns: Cross-section and time-series effects]
by Steffen Windmüller - 500-542 Characterizing the Variance Risk Premium: The Role of the Leverage Effect
[The term structure of variance swaps and risk premia]
by Guanglian Hu & Kris Jacobs & Sang Byung Seo - 543-592 Revealed Heuristics: Evidence from Investment Consultants’ Search Behavior
[Which factors matter to investors? Evidence from mutual fund flows]
by Sudheer Chava & Soohun Kim & Daniel Weagley - 593-637 Learning from Noise? Price and Liquidity Spillovers around Mutual Fund Fire Sales
[A noisy rational expectations equilibrium for multi-asset securities markets]
by Pekka Honkanen & Daniel Schmidt
2022, Volume 12, Issue 1
- 1-52 Embedded Leverage
[Asset pricing with liquidity risk]
by Andrea Frazzini & Lasse Heje Pedersen - 53-111 Working Remotely and the Supply-Side Impact of COVID-19
[The unprecedented stock market reaction to COVID-19]
by Dimitris Papanikolaou & Lawrence D W Schmidt - 112-154 Measuring Operating Leverage
[Measuring economic policy uncertainty]
by Huafeng (Jason) Chen & Jason V Chen & Feng Li & Pengfei Li - 155-198 Cross-Sectional Skewness
[Endogenous information flows and the clustering of announcements]
by Sangmin S Oh & Jessica A Wachter - 199-242 Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data
[Leverage, moral hazard, and liquidity]
by Bastian von Beschwitz & Sandro Lunghi & Daniel Schmidt - 243-288 Valuation Risk in Mutual Fund Portfolio Disclosure
[Illiquidity and stock returns: Cross-section and time-series effects]
by Hsiu-Lang Chen - 289-335 Volatility-of-Volatility Risk in Asset Pricing
[Stock returns and volatility: Pricing the short-run and long-run components of market risk]
by Te-Feng Chen & Tarun Chordia & San-Lin Chung & Ji-Chai Lin - 336-388 Pricing Implications of Covariances and Spreads in Currency Markets
[Optimal and naive diversification in currency markets]
by Thomas Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran
2021, Volume 11, Issue 4
- 695-734 A Panel Regression Approach to Holdings-Based Fund Performance Measures
[Multiperiod performance persistence analysis of hedge funds]
by Wayne Ferson & Junbo L Wang - 735-761 Strategic Trading When Central Bank Intervention Is Predictable
[Uncovering hedge fund skill from the portfolio holdings they hide]
by Liyan Yang & Haoxiang Zhu - 762-805 Is Positive Sentiment in Corporate Annual Reports Informative? Evidence from Deep Learning
[Cash holdings and credit risk]
by Mehran Azimi & Anup Agrawal - 806-836 Are Monthly Market Returns Predictable?
[Conditional market timing with benchmark investors]
by Jussi Keppo & Tyler Shumway & Daniel Weagley - 837-885 What Information Drives Asset Prices?
[Information quality and long-run risk: Asset pricing implications]
by Anisha Ghosh & George M Constantinides - 886-923 Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints
[Multiplicity in general financial equilibrium with portfolio constraints]
by Lei Shi & Yajun Xiao
2021, Volume 11, Issue 3
- 465-501 Disagreement after News: Gradual Information Diffusion or Differences of Opinion?
by Anastassia Fedyk - 502-551 The Sound of Many Funds Rebalancing
by Alex Chinco & Vyacheslav Fos - 552-579 Can Individual Investors Beat the Market?
by Joshua D Coval & David Hirshleifer & Tyler Shumway - 580-609 Reputation Concerns and Slow-Moving Capital
by Steven Malliaris & Hongjun Yan - 610-653 When and Where Is It Cheaper to Issue Inflation-Linked Debt?
by Andrey Ermolov - 654-693 Global Risk in Long-Term Sovereign Debt
by Nicola Borri & Kirill Shakhnov
2021, Volume 11, Issue 2
- 209-268 Zero-Coupon Yields and the Cross-Section of Bond Prices
[Pricing the term structure with linear regressions]
by N Aaron Pancost - 269-308 The Night and Day of Amihud’s (2002) Liquidity Measure
[Asset pricing with liquidity risk]
by Yashar H Barardehi & Dan Bernhardt & Thomas G Ruchti & Marc Weidenmier - 309-351 Investing in Socially Responsible Mutual Funds
[Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation]
by Christopher C Geczy & Robert F Stambaugh & David Levin - 352-401 CDS Momentum: Slow-Moving Credit Ratings and Cross-Market Spillovers
[Insider trading in credit derivatives]
by Jongsub Lee & Andy Naranjo & Stace Sirmans - 402-444 Multifactor Models and Their Consistency with the APT
[Eigenvalue ratio test for the number of factors]
by Ilan Cooper & Liang Ma & Paulo Maio & Dennis Philip - 445-463 The Annual Report of the Society for Financial Studies for 2019–2020
by Kalok Chan & Andrew Ellul & Itay Goldstein & Craig Holden & Monika Piazzesi & Jeffrey Pontiff
2021, Volume 11, Issue 1
- 1-59 Rethinking Production under Uncertainty
[Valuation risk and asset pricing]
by John H Cochrane - 60-104 Economic-State Variation in Uncertainty-Yield Dynamics
[Do macro variables, asset markets, or surveys forecast inflation better?]
by Robert A Connolly & David Dubofsky & Chris Stivers - 105-121 The Value Premium
[Fundamentals and stock returns in Japan]
by Eugene F Fama & Kenneth R French - 122-168 Why Do Short Selling Bans Increase Adverse Selection and Decrease Price Efficiency?
[The market for ‘lemons’: Quality uncertainty and the market mechanism]
by Peter N Dixon - 169-208 Double-Adjusted Mutual Fund Performance
[Mutual fund’s R2 as predictor of performance]
by Jeffrey A Busse & Lei Jiang & Yuehua Tang
2020, Volume 10, Issue 2
- 199-248 An Evaluation of Alternative Multiple Testing Methods for Finance Applications
by Campbell R Harvey & Yan Liu & Alessio Saretto & Jeffrey Pontiff - 249-289 Publication Bias and the Cross-Section of Stock Returns
by Andrew Y Chen & Tom Zimmermann & Jeffrey Pontiff - 290-334 Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests
by Chris Kirby & Nikolai Roussanov - 335-395 Stock Price Movements: Business-Cycle and Low-Frequency Perspectives
by Chunhua Lan & Nikolai Roussanov
2020, Volume 10, Issue 1
- 1-60 Preventing Controversial Catastrophes
by Steven D Baker & Burton Hollifield & Emilio Osambela - 61-93 Learning, Fast or Slow
by Brad M Barber & Yi-Tsung Lee & Yu-Jane Liu & Terrance Odean & Ke Zhang - 94-121 Real Exchange Rates and Currency Risk Premiums
by Pierluigi Balduzzi & I-Hsuan Ethan Chiang - 122-178 First to “Read” the News: News Analytics and Algorithmic Trading
by Bastian von Beschwitz & Donald B Keim & Massimo Massa - 179-197 Annual Report of the Society for Financial Studies for 2018–2019
by Andrew Ellul & Itay Goldstein & Craig Holden & Ron Masulis & Jeffrey Pontiff & Antoinette Schoar
2019, Volume 9, Issue 2
- 197-209 Interest Rates and Inflation Revisited
by Eugene F Fama - 210-255 Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan
by Andrea Barbon & Virginia Gianinazzi - 256-295 Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market
by Michael J Fleming & Giang Nguyen - 296-355 The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs
by Si Cheng & Massimo Massa & Hong Zhang - 356-393 A Market-Based Funding Liquidity Measure
by Zhuo Chen & Andrea Lu
2019, Volume 9, Issue 1
- 1-46 A Fresh Look at Return Predictability Using a More Efficient Estimator
by Travis L Johnson - 47-90 Relative Tick Size and the Trading Environment
by Maureen O’Hara & Gideon Saar & Zhuo Zhong - 91-136 Consumption-Income Sensitivity and Portfolio Choice
by Jawad M Addoum & Stefanos Delikouras & George M Korniotis - 137-170 The Causal Effects of Short-Selling Bans: Evidence from Eligibility Thresholds
by Alan D Crane & Kevin Crotty & Sébastien Michenaud & Patricia Naranjo - 171-196 Downside Risk Timing by Mutual Funds
by Andriy Bodnaruk & Bekhan Chokaev & Andrei Simonov
2018, Volume 8, Issue 1
- 1-35 Beta Bubbles
by Petri Jylhä & Matti Suominen & Tuomas Tomunen - 36-76 Aggregate Tail Risk and Expected Returns
by David A Chapman & Michael F Gallmeyer & J Spencer Martin - 77-116 Hedge Fund Holdings and Stock Market Efficiency
by Charles Cao & Bing Liang & Andrew W Lo & Lubomir Petrasek - 117-152 Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings
by Hong Qian & Zhaodong (Ken) Zhong - 153-182 A Performance Comparison of Large-n Factor Estimators
by Zhuo Chen & Gregory Connor & Robert A Korajczyk
2017, Volume 7, Issue 2
- 172-208 Extended Stock Returns in Response to S&P 500 Index Changes
by Nimesh Patel & Ivo Welch - 209-242 Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties
by Albert J Menkveld - 243-277 The Cross-Section of Expected Returns in the Secondary Corporate Loan Market
by Mehdi Beyhaghi & Sina Ehsani - 278-315 Effects of Team Hierarchies on Bond Investing
by Massimo Massa & Lei Zhang - 316-348 Transparency and Liquidity in the Structured Product Market
by Nils Friewald & Rainer Jankowitsch & Marti G. Subrahmanyam
2017, Volume 7, Issue 1
- 2-42 A Spanning Series Approach to Options
by Steven L. Heston & Alberto G. Rossi - 43-80 Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market
by Hitesh Doshi & Kris Jacobs & Virgilio Zurita - 81-143 Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads
by Sheen Liu & Chunchi Wu - 144-170 Speed of Information Diffusion within Fund Families
by Gjergji Cici & Stefan Jaspersen & Alexander Kempf
2016, Volume 6, Issue 2
- 179-220 Economic Uncertainty and Interest Rates
by Samuel M. Hartzmark - 221-260 International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns
by Bruno Solnik & Thaisiri Watewai - 261-302 The Noninformation Cost of Trading and Its Relative Importance inAsset Pricing
by Kee H. Chung & Sahn-Wook Huh - 303-328 Idiosyncratic Risk Innovations and the Idiosyncratic Risk-ReturnRelation
by Mark Rachwalski & Quan Wen
2016, Volume 6, Issue 1
- 1-45 Macro Disagreement and the Cross-Section of Stock Returns
by Frank Weikai Li - 46-87 Heterogeneous Innovation, Firm Creation and Destruction, and Asset Prices
by Jan Bena & Lorenzo Garlappi & Patrick Grüning - 88-134 Leisure Preferences, Long-Run Risks, and Human Capital Returns
by Robert F. Dittmar & Francisco Palomino & Wei Yang - 135-178 Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
by Florian Weigert
2015, Volume 5, Issue 2
- 156-184 Managerial Activeness and Mutual Fund Performance
by Hitesh Doshi & Redouane Elkamhi & Mikhail Simutin - 185-226 The Impact of Hedge Funds on Asset Markets
by Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai - 227-253 Price Contagion through Balance Sheet Linkages
by Agostino Capponi & Martin Larsson - 254-272 Target Date Funds: Characteristics and Performance
by Edwin J. Elton & Martin J. Gruber & Andre de Souza & Christopher R. Blake
2015, Volume 5, Issue 1
- 1-47 Price-Dividend Ratio Factor Proxies for Long-Run Risks
by Ravi Jagannathan & Srikant Marakani - 48-91 A Credit Spread Puzzle for Reduced-Form Models
by Antje Berndt - 92-111 Internationally Correlated Jumps
by Kuntara Pukthuanthong & Richard Roll - 112-154 Inferring Correlations of Asset Values and Distances-to-Default from CDS Spreads: A Structural Model Approach
by Chanatip Kitwiwattanachai & Neil D. Pearson
2014, Volume 4, Issue 2
- 162-205 Rating-Based Investment Practices and Bond Market Segmentation
by Zhihua Chen & Aziz A. Lookman & Norman Schürhoff & Duane J. Seppi - 206-246 Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
by Turan G. Bali & Nusret Cakici & Robert F. Whitelaw - 247-285 Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility
by Peter O. Christensen & Kasper Larsen - 286-321 Detecting Superior Mutual Fund Managers: Evidence from Copycats
by Blake Phillips & Kuntara Pukthuanthong & P. Raghavendra Rau
2014, Volume 4, Issue 1
- 1-38 Predators and Prey on Wall Street
by Maria Chaderina & Richard C. Green - 39-77 Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity
by Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi & Tan Wang - 78-117 Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas
by Thomas Gilbert & Christopher Hrdlicka & Jonathan Kalodimos & Stephan Siegel - 118-159 Safety First, Learning Under Ambiguity, and the Cross-Section of Stock Returns
by Ariel M. Viale & Luis Garcia-Feijoo & Antoine Giannetti
2013, Volume 3, Issue 2
- 177-178 The Rap on the RAPS
by Wayne Ferson - 180-199 Does the Fed Control Interest Rates?
by Eugene F. Fama - 200-228 Does Active Management Pay? New International Evidence
by Alexander Dyck & Karl V. Lins & Lukasz Pomorski - 229-257 The Puzzle of Index Option Returns
by George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov - 258-290 Call-Put Implied Volatility Spreads and Option Returns
by James S. Doran & Andy Fodor & Danling Jiang
2013, Volume 3, Issue 1
- 1-37 Limited Capital Market Participation and Human Capital Risk
by Jonathan B. Berk & Johan Walden - 38-94 The Wealth-Consumption Ratio
by Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan - 95-132 Hard Times
by John Y. Campbell & Stefano Giglio & Christopher Polk - 133-176 An Analysis of the Amihud Illiquidity Premium
by Michael Brennan & Sahn-Wook Huh & Avanidhar Subrahmanyam
2012, Volume 2, Issue 2
- 112-152 The World Price of Credit Risk
by Doron Avramov & Tarun Chordia & Gergana Jostova & Alexander Philipov - 153-202 How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
by Jing-Zhi Huang & Ming Huang - 203-244 A Simple Test of the Affine Class of Term Structure Models
by Pierluigi Balduzzi & I-Hsuan Ethan Chiang - 245-274 Mutual Fund Industry Selection and Persistence
by Jeffrey A. Busse & Qing Tong
2012, Volume 2, Issue 1
- 1-30 Go Down Fighting: Short Sellers vs. Firms
by Owen A. Lamont - 31-55 Does Mutual Fund Size Matter? The Relationship Between Size and Performance
by Edwin J. Elton & Martin J. Gruber & Christopher R. Blake - 57-87 Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks
by Malcolm Baker & Jeffrey Wurgler - 89-110 Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?
by Stephen J. Brown & Greg N. Gregoriou & Razvan Pascalau
2011, Volume 1, Issue 1
- 1-34 Jensen's Inequality, Parameter Uncertainty, and Multi-period Investment
by Mark Grinblatt & Juhani T. Linnainmaa - 35-73 Limited Investor Attention and Stock Market Misreactions to Accounting Information
by David Hirshleifer & Sonya S. Lim & Siew Hong Teoh - 74-95 Does a Central Clearing Counterparty Reduce Counterparty Risk?
by Darrell Duffie & Haoxiang Zhu - 96-136 Asset Pricing Tests with Long-run Risks in Consumption Growth
by George M. Constantinides & Anisha Ghosh
0000, Volume 10, Issue 4
- 569-573 Repercussions of Pandemics on Markets and Policy
by Lars Peter Hansen - 574-597 Coronavirus: Impact on Stock Prices and Growth Expectations
by Niels Joachim Gormsen & Ralph S J Koijen & Nikolai Roussanov - 598-617 Earnings Expectations during the COVID-19 Crisis
by Augustin Landier & David Thesmar & Jeffrey Pontiff - 618-634 What Do Index Options Teach Us About COVID-19?
by Jens Jackwerth & Jeffrey Pontiff - 635-668 Volatility Markets Underreacted to the Early Stages of the COVID-19 Pandemic
by Ing-Haw Cheng & Jeffrey Pontiff - 669-704 A First Look at the Impact of COVID-19 on Commercial Real Estate Prices: Asset-Level Evidence
by David C Ling & Chongyu Wang & Tingyu Zhou & Jeffrey Pontiff - 705-741 COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission
by Lorenzo Bretscher & Alex Hsu & Peter Simasek & Andrea Tamoni & Nikolai Roussanov - 742-758 The Unprecedented Stock Market Reaction to COVID-19
by Scott R Baker & Nicholas Bloom & Steven J Davis & Kyle Kost & Marco Sammon & Tasaneeya Viratyosin & Jeffrey Pontiff - 759-790 A Tale of Two Crises: The 2008 Mortgage Meltdown and the 2020 COVID-19 Crisis
by Chester S Spatt & Jeffrey Pontiff - 791-833 Mutual Fund Performance and Flows during the COVID-19 Crisis
by Ľuboš Pástor & M Blair Vorsatz & Jeffrey Pontiff - 834-862 How Does Household Spending Respond to an Epidemic? Consumption during the 2020 COVID-19 Pandemic
by Scott R Baker & Robert A Farrokhnia & Steffen Meyer & Michaela Pagel & Constantine Yannelis & Jeffrey Pontiff - 863-893 Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic
by J Anthony Cookson & Joseph E Engelberg & William Mullins & Hui Chen
0000, Volume 10, Issue 3
- 397-440 Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades
by Kenneth R Ahern - 441-489 Monetary Policy and Corporate Bond Returns
by Haifeng Guo & Alexandros Kontonikas & Paulo Maio - 490-520 Art as an Asset: Evidence from Keynes the Collector
by David Chambers & Elroy Dimson & Christophe Spaenjers - 521-567 Historical Returns of the Market Portfolio
by Ronald Doeswijk & Trevin Lam & Laurens Swinkels