The Review of Asset Pricing Studies seeks to occasionally publish high quality surveys of topics in asset pricing. Interested authors should send a brief proposal to Executive Editor Jeffrey Pontiff. All areas of asset pricing will be considered. If other surveys on the same topic have already been published, the proposal should note the potential marginal contribution.
“How Does Household Spending Respond to an Epidemic? Consumption During the 2020 COVID-19 Pandemic” by Scott Ross Baker, Robert Farrokhnia, Steffen Meyer, Michaela Pagel, and Constantine Yannelis “CDS Momentum: Slow Moving Credit Ratings and Cross-Market Spillovers” by Andy Naranjo, Jongsub Lee, and Stace Sirmans “The Unprecedented Stock Market Reaction to COVID-19” by Scott Ross Baker, Nicholas Bloom, Steven J Davis, Kyle Kost, Marco Sammon, and Tasaneeya Viratyosin
The video of Campbell Harvey’s keynote presentation at Cavalcade North America 2020 can now be viewed on the Cavalcade web site.
“Double-Adjusted Mutual Fund Performance” by Jeffrey Busse, Lei Jiang, and Yuehua Tang
The market portfolio plays a special role in asset pricing. Although many finance researchers use a U.S. equity portfolio to proxy for the market portfolio, theory usually dictates a broad, world portfolio that includes global equities, global real estate, commodities, and fixed income. In a new Review of Asset Pricing Studies paper, “Historical Returns of the Market Portfolio,” Ronald Doeswijk, Trevin Lam, and Laurens… Read More »Paper Spotlight: Historical Returns of the Market Portfolio
Reliable proxies for informed trading are required to test many theories in finance. Theory suggests several possible proxies; however, validating these empirically has been challenging because trades by informed investors cannot (in general) be observed. Kenneth Ahern’s new paper, “Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades,” addresses this challenge by using hand-collected data on illegal insider trades. He shows that the effective bid-ask spread… Read More »Paper Spotlight: Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades
Dimitri Vayanos and Clemens Sialm have been renewed for 3-year terms as associate editors. We thank Pietro Veronesi, who is retiring as an associate editor.
The winners of the annual RAPS Awards were announced at the virtual Awards Reception on May 26 as part of the Cavalcade. We are pleased to share the winners: Best Paper Award “A Fresh Look at Return Predictability Using a More Efficient Estimator” Travis Johnson Prize: $10,000 Referee of the Year Svetlana Bryzgalova Prize: $1000 Rising Scholar Award “Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan” Andrea… Read More »Winners of the RAPS Awards
“Rethinking Production Under Uncertainty” by John H. Cochrane
The editors of the Review of Asset Pricing Studies invite submissions of papers related to the COVID-19 pandemic, financial markets, and asset pricing for a special issue that will be published in 2020. All subscribers to RAPS will receive the special issue at no extra cost. The issue will include an introduction by Lars Peter Hansen. We seek impactful papers that will provide foundations for future financial COVID-19 research. The deadline to submit papers is June 6, 2020. The submission fee will… Read More »RAPS Call for Papers: COVID-19 and Financial Markets
