RAPS News

“Coronavirus: Impact on Stock Prices and Growth Expectations” by Niels J. Gormsen and Ralph S.J. Koijen “Mutual Fund Performance and Flows During the COVID-19 Crisis” by Lubos Pastor and Matthew Blair Vorsatz

“What Do Index Options Teach Us About Covid-19?” by Jens Carsten Jackwerth

“Volatility markets underreacted to the early stages of the COVID-19 pandemic” by Ing-Haw Cheng

“The Value Premium” by Eugene  F. Fama and Kenneth R. French

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