Review of Asset Pricing Studies / Oxford University Press
Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
14
Impact Factor
1.07
5 Years IF
1.15
Data available in this
report
[Raw
data] [50 most cited papers]
[50 most relevant papers]
[cites used to compute IF]
[Recent
citations ][Frequent citing
series ] [more data in
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 1990 | 0 | 0.09 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1991 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1992 | 0 | 0.09 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1993 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
| 1994 | 0 | 0.12 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.06 | |||||
| 1995 | 0 | 0.19 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.08 | |||||
| 1996 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 | |||||
| 1997 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.09 | |||||
| 1998 | 0 | 0.26 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.12 | |||||
| 1999 | 0 | 0.27 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.13 | |||||
| 2000 | 0 | 0.32 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.14 | |||||
| 2001 | 0 | 0.35 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.15 | |||||
| 2002 | 0 | 0.37 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.19 | |||||
| 2003 | 0 | 0.4 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.19 | |||||
| 2004 | 0 | 0.44 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.2 | |||||
| 2005 | 0 | 0.45 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2006 | 0 | 0.46 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.2 | |||||
| 2007 | 0 | 0.42 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.18 | |||||
| 2008 | 0 | 0.44 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.2 | |||||
| 2009 | 0 | 0.43 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2010 | 0 | 0.43 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.18 | |||||
| 2011 | 0 | 0.45 | 0 | 0 | 4 | 4 | 106 | 0 | 0 | 0 | 0 | 0 | 0.2 | |||||
| 2012 | 0.25 | 0.45 | 0.08 | 0.25 | 8 | 12 | 186 | 1 | 1 | 4 | 1 | 4 | 1 | 0 | 0 | 0.19 | ||
| 2013 | 0.67 | 0.5 | 0.38 | 0.67 | 9 | 21 | 108 | 8 | 9 | 12 | 8 | 12 | 8 | 0 | 0 | 0.21 | ||
| 2014 | 0.94 | 0.51 | 0.9 | 1.05 | 8 | 29 | 68 | 26 | 35 | 17 | 16 | 21 | 22 | 0 | 0 | 0.2 | ||
| 2015 | 0.41 | 0.5 | 0.38 | 0.48 | 8 | 37 | 49 | 14 | 49 | 17 | 7 | 29 | 14 | 0 | 0 | 0.19 | ||
| 2016 | 0.31 | 0.5 | 0.8 | 0.89 | 8 | 45 | 23 | 36 | 85 | 16 | 5 | 37 | 33 | 0 | 0 | 0.18 | ||
| 2017 | 0.44 | 0.5 | 1.11 | 1.15 | 9 | 54 | 39 | 60 | 145 | 16 | 7 | 41 | 47 | 0 | 0 | 0.18 | ||
| 2018 | 0.76 | 0.54 | 2.03 | 1.45 | 5 | 59 | 9 | 116 | 265 | 17 | 13 | 42 | 61 | 0 | 0 | 0.21 | ||
| 2019 | 0.93 | 0.58 | 1.58 | 1.08 | 10 | 69 | 29 | 105 | 374 | 14 | 13 | 38 | 41 | 0 | 3 | 0.3 | 0.21 | |
| 2020 | 1.07 | 0.75 | 1.87 | 1.15 | 9 | 78 | 19 | 146 | 520 | 15 | 16 | 40 | 46 | 0 | 7 | 0.78 | 0.29 |
| IF: | Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Impact Factor: C5Y / D5Y |
| DOC: | Number of documents published in year y |
| CDO: | Cumulative number of documents published until year y |
| CIT: | Number of citations to papers published in year y |
| NCI: | Number of citations in year y |
| CCU: | Cumulative number of citations to papers published until year y |
| D2Y: | Number of articles published in y-1 plus y-2 |
| C2Y: | Cites in y to articles published in y-1 plus y-2 |
| D5Y: | Number of articles published in y-1 until y-5 |
| C5Y: | Cites in y to articles published in y-1 until y-5 |
| SC: | selft citations in y to articles published in y-1 plus y-2 |
| %SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
| CiY: | Cites in year y to documents published in year y |
| II: | Immediacy Index: CiY / Documents. |
| AII: | Average Immediacy Index for series in RePEc in year y |
50 most cited documents in this series
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2012 | How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?. (2012). Huang, Jing-Zhi. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:153-202.. Full description at Econpapers || Download paper | 113 |
| 2 | 2011 | Limited Investor Attention and Stock Market Misreactions to Accounting Information. (2011). Hirshleifer, David ; Teoh, Siew Hong ; Lim, Sonya S. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:35-73.. Full description at Econpapers || Download paper | 59 |
| 3 | 2011 | Does a Central Clearing Counterparty Reduce Counterparty Risk?. (2011). Duffie, Darrell ; Zhu, Haoxiang. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:74-95.. Full description at Econpapers || Download paper | 30 |
| 4 | 2012 | Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks. (2012). Baker, Malcolm ; Wurgler, Jeffrey. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:57-87.. Full description at Econpapers || Download paper | 26 |
| 5 | 2013 | The Puzzle of Index Option Returns. (2013). Savov, Alexi ; Constantinides, George ; Jackwerth, Jens Carsten. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:229-257.. Full description at Econpapers || Download paper | 21 |
| 6 | 2013 | An Analysis of the Amihud Illiquidity Premium. (2013). Brennan, Michael ; Subrahmanyam, Avanidhar ; Huh, Sahn-Wook. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:133-176.. Full description at Econpapers || Download paper | 20 |
| 7 | 2012 | Does Mutual Fund Size Matter? The Relationship Between Size and Performance. (2012). Elton, Edwin J ; Blake, Christopher R ; Gruber, Martin J. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:31-55.. Full description at Econpapers || Download paper | 19 |
| 8 | 2011 | Asset Pricing Tests with Long-run Risks in Consumption Growth. (2011). Constantinides, George ; Ghosh, Anisha. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:96-136.. Full description at Econpapers || Download paper | 18 |
| 9 | 2013 | The Wealth-Consumption Ratio. (2013). Van Nieuwerburgh, Stijn ; Verdelhan, Adrien ; Lustig, Hanno. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:38-94.. Full description at Econpapers || Download paper | 17 |
| 10 | 2013 | Does Active Management Pay? New International Evidence. (2013). Dyck, Alexander ; Pomorski, Lukasz ; Lins, Karl V. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:200-228.. Full description at Econpapers || Download paper | 16 |
| 11 | 2014 | Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility. (2014). Christensen, Peter O ; Larsen, Kasper. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:247-285.. Full description at Econpapers || Download paper | 16 |
| 12 | 2012 | Go Down Fighting: Short Sellers vs. Firms. (2012). Lamont, Owen A. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:1-30.. Full description at Econpapers || Download paper | 16 |
| 13 | 2013 | Limited Capital Market Participation and Human Capital Risk. (2013). Berk, Jonathan B ; Walden, Johan. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:1-37.. Full description at Econpapers || Download paper | 15 |
| 14 | 2015 | Internationally Correlated Jumps. (2015). Pukthuanthong, Kuntara ; Roll, Richard. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:1:p:92-111.. Full description at Econpapers || Download paper | 15 |
| 15 | 2013 | Does the Fed Control Interest Rates?. (2013). Fama, Eugene F. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:180-199.. Full description at Econpapers || Download paper | 14 |
| 16 | 2017 | Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties. (2017). Menkveld, Albert. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:209-242.. Full description at Econpapers || Download paper | 14 |
| 17 | 2014 | Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?. (2014). Bali, Turan G ; Whitelaw, Robert F ; Cakici, Nusret. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:206-246.. Full description at Econpapers || Download paper | 14 |
| 18 | 2014 | Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas. (2014). Siegel, Stephan ; Kalodimos, Jonathan ; Hrdlicka, Christopher ; Gilbert, Thomas. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:78-117.. Full description at Econpapers || Download paper | 14 |
| 19 | 2020 | Publication Bias and the Cross-Section of Stock Returns. (2020). Zimmermann, Tom ; Chen, Andrew Y ; Pontiff, Jeffrey . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:2:p:249-289.. Full description at Econpapers || Download paper | 13 |
| 20 | 2014 | Rating-Based Investment Practices and Bond Market Segmentation. (2014). Schuerhoff, Norman ; Seppi, Duane J ; Schurhoff, Norman ; Lookman, Aziz A ; Chen, Zhihua. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:162-205.. Full description at Econpapers || Download paper | 13 |
| 21 | 2015 | Price Contagion through Balance Sheet Linkages. (2015). Capponi, Agostino ; Larsson, Martin. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:227-253.. Full description at Econpapers || Download paper | 12 |
| 22 | 2019 | Relative Tick Size and the Trading Environment. (2019). Zhong, Zhuo ; Saar, Gideon ; Ohara, Maureen. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:47-90.. Full description at Econpapers || Download paper | 11 |
| 23 | 2017 | Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market*. (2017). Doshi, Hitesh ; Zurita, Virgilio ; Jacobs, Kris. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:43-80.. Full description at Econpapers || Download paper | 10 |
| 24 | 2015 | Managerial Activeness and Mutual Fund Performance. (2015). Doshi, Hitesh ; Simutin, Mikhail ; Elkamhi, Redouane . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:156-184.. Full description at Econpapers || Download paper | 10 |
| 25 | 2012 | Mutual Fund Industry Selection and Persistence. (2012). Busse, Jeffrey A ; Tong, Qing. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:245-274.. Full description at Econpapers || Download paper | 7 |
| 26 | 2013 | Hard Times. (2013). Polk, Christopher ; Campbell, John ; Giglio, Stefano. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:95-132.. Full description at Econpapers || Download paper | 7 |
| 27 | 2014 | Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity. (2014). Kamstra, Mark J ; Wang, Tan ; Levi, Maurice D ; Kramer, Lisa A. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:39-77.. Full description at Econpapers || Download paper | 6 |
| 28 | 2015 | The Impact of Hedge Funds on Asset Markets. (2015). Ramadorai, Tarun ; Patton, Andrew J ; Kruttli, Mathias S. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:185-226.. Full description at Econpapers || Download paper | 6 |
| 29 | 2017 | Transparency and Liquidity in the Structured Product Market. (2017). Friewald, Nils ; Subrahmanyam, Marti G ; Jankowitsch, Rainer. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:316-348.. Full description at Econpapers || Download paper | 6 |
| 30 | 2019 | A Fresh Look at Return Predictability Using a More Efficient Estimator. (2019). Johnson, Travis L. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:1-46.. Full description at Econpapers || Download paper | 6 |
| 31 | 2012 | Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?. (2012). Brown, Stephen ; Pascalau, Razvan ; Gregoriou, Greg N. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:89-110.. Full description at Econpapers || Download paper | 6 |
| 32 | 2016 | Economic Uncertainty and Interest Rates. (2016). Hartzmark, Samuel M. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:2:p:179-220.. Full description at Econpapers || Download paper | 5 |
| 33 | 2018 | Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings. (2018). Qian, Hong ; Zhong, Zhaodong . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:117-152.. Full description at Econpapers || Download paper | 5 |
| 34 | 2019 | Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan. (2019). Gianinazzi, Virginia ; Barbon, Andrea. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:2:p:210-255.. Full description at Econpapers || Download paper | 4 |
| 35 | 2015 | A Credit Spread Puzzle for Reduced-Form Models. (2015). Berndt, Antje. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:1:p:48-91.. Full description at Econpapers || Download paper | 4 |
| 36 | 2017 | Extended Stock Returns in Response to S&P 500 Index Changes. (2017). Patel, Nimesh ; Welch, Ivo. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:172-208.. Full description at Econpapers || Download paper | 4 |
| 37 | 2016 | Heterogeneous Innovation, Firm Creation and Destruction, and Asset Prices. (2016). GrÃÆüning, Patrick ; Gruning, Patrick ; Garlappi, Lorenzo ; Bena, Jan. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:46-87.. Full description at Econpapers || Download paper | 4 |
| 38 | 2016 | Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide. (2016). Weigert, Florian. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:135-178.. Full description at Econpapers || Download paper | 4 |
| 39 | 2017 | The Cross-Section of Expected Returns in the Secondary Corporate Loan Market. (2017). Beyhaghi, Mehdi ; Ehsani, Sina. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:243-277.. Full description at Econpapers || Download paper | 3 |
| 40 | 2014 | Detecting Superior Mutual Fund Managers: Evidence from Copycats. (2014). Rau, Raghavendra ; Pukthuanthong, Kuntara ; Phillips, Blake. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:286-321.. Full description at Econpapers || Download paper | 3 |
| 41 | 2016 | Macro Disagreement and the Cross-Section of Stock Returns. (2016). Li, Frank Weikai. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:1-45.. Full description at Econpapers || Download paper | 3 |
| 42 | 2018 | Hedge Fund Holdings and Stock Market Efficiency. (2018). Cao, Charles ; Petrasek, Lubomir ; Lo, Andrew W ; Liang, Bing. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:77-116.. Full description at Econpapers || Download paper | 3 |
| 43 | 2014 | Safety First, Learning Under Ambiguity, and the Cross-Section of Stock Returns. (2014). Viale, Ariel ; Giannetti, Antoine ; Garcia-Feijoo, Luis. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:118-159.. Full description at Econpapers || Download paper | 3 |
| 44 | 2013 | Call-Put Implied Volatility Spreads and Option Returns. (2013). Doran, James S ; Jiang, Danling ; Fodor, Andy. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:258-290.. Full description at Econpapers || Download paper | 3 |
| 45 | 2019 | Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market. (2019). Nguyen, Giang ; Fleming, Michael J. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:2:p:256-295.. Full description at Econpapers || Download paper | 3 |
| 46 | 2016 | International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Solnik, Bruno ; Watewai, Thaisiri . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:2:p:221-260.. Full description at Econpapers || Download paper | 3 |
| 47 | 2018 | Aggregate Tail Risk and Expected Returns. (2018). Gallmeyer, Michael ; Martin, Spencer J ; Chapman, David A. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:36-76.. Full description at Econpapers || Download paper | 2 |
| 48 | 2016 | Leisure Preferences, Long-Run Risks, and Human Capital Returns. (2016). Dittmar, Robert F ; Yang, Wei ; Palomino, Francisco. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:88-134.. Full description at Econpapers || Download paper | 2 |
| 49 | 2019 | Downside Risk Timing by Mutual Funds. (2019). Simonov, Andrei ; Chokaev, Bekhan ; Bodnaruk, Andriy . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:171-196.. Full description at Econpapers || Download paper | 2 |
| 50 | The Unprecedented Stock Market Reaction to COVID-19. (). Viratyosin, Tasaneeya ; Sammon, Marco ; Kost, Kyle ; Davis, Steven J ; Bloom, Nicholas ; Baker, Scott R ; Pontiff, Jeffrey . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:742-758.. Full description at Econpapers || Download paper | 2 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2012 | How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?. (2012). Huang, Jing-Zhi. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:153-202.. Full description at Econpapers || Download paper | 51 |
| 2 | 2011 | Limited Investor Attention and Stock Market Misreactions to Accounting Information. (2011). Hirshleifer, David ; Teoh, Siew Hong ; Lim, Sonya S. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:35-73.. Full description at Econpapers || Download paper | 30 |
| 3 | 2011 | Does a Central Clearing Counterparty Reduce Counterparty Risk?. (2011). Duffie, Darrell ; Zhu, Haoxiang. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:74-95.. Full description at Econpapers || Download paper | 15 |
| 4 | 2012 | Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks. (2012). Baker, Malcolm ; Wurgler, Jeffrey. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:57-87.. Full description at Econpapers || Download paper | 15 |
| 5 | 2013 | An Analysis of the Amihud Illiquidity Premium. (2013). Brennan, Michael ; Subrahmanyam, Avanidhar ; Huh, Sahn-Wook. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:133-176.. Full description at Econpapers || Download paper | 13 |
| 6 | 2013 | The Puzzle of Index Option Returns. (2013). Savov, Alexi ; Constantinides, George ; Jackwerth, Jens Carsten. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:229-257.. Full description at Econpapers || Download paper | 12 |
| 7 | 2017 | Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties. (2017). Menkveld, Albert. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:209-242.. Full description at Econpapers || Download paper | 12 |
| 8 | 2012 | Does Mutual Fund Size Matter? The Relationship Between Size and Performance. (2012). Elton, Edwin J ; Blake, Christopher R ; Gruber, Martin J. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:31-55.. Full description at Econpapers || Download paper | 12 |
| 9 | 2014 | Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?. (2014). Bali, Turan G ; Whitelaw, Robert F ; Cakici, Nusret. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:206-246.. Full description at Econpapers || Download paper | 12 |
| 10 | 2020 | Publication Bias and the Cross-Section of Stock Returns. (2020). Zimmermann, Tom ; Chen, Andrew Y ; Pontiff, Jeffrey . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:2:p:249-289.. Full description at Econpapers || Download paper | 12 |
| 11 | 2012 | Go Down Fighting: Short Sellers vs. Firms. (2012). Lamont, Owen A. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:1-30.. Full description at Econpapers || Download paper | 12 |
| 12 | 2019 | Relative Tick Size and the Trading Environment. (2019). Zhong, Zhuo ; Saar, Gideon ; Ohara, Maureen. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:47-90.. Full description at Econpapers || Download paper | 11 |
| 13 | 2014 | Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility. (2014). Christensen, Peter O ; Larsen, Kasper. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:247-285.. Full description at Econpapers || Download paper | 11 |
| 14 | 2014 | Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas. (2014). Siegel, Stephan ; Kalodimos, Jonathan ; Hrdlicka, Christopher ; Gilbert, Thomas. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:78-117.. Full description at Econpapers || Download paper | 10 |
| 15 | 2015 | Price Contagion through Balance Sheet Linkages. (2015). Capponi, Agostino ; Larsson, Martin. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:227-253.. Full description at Econpapers || Download paper | 10 |
| 16 | 2015 | Internationally Correlated Jumps. (2015). Pukthuanthong, Kuntara ; Roll, Richard. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:1:p:92-111.. Full description at Econpapers || Download paper | 8 |
| 17 | 2013 | Limited Capital Market Participation and Human Capital Risk. (2013). Berk, Jonathan B ; Walden, Johan. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:1-37.. Full description at Econpapers || Download paper | 7 |
| 18 | 2011 | Asset Pricing Tests with Long-run Risks in Consumption Growth. (2011). Constantinides, George ; Ghosh, Anisha. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:96-136.. Full description at Econpapers || Download paper | 7 |
| 19 | 2017 | Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market*. (2017). Doshi, Hitesh ; Zurita, Virgilio ; Jacobs, Kris. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:43-80.. Full description at Econpapers || Download paper | 7 |
| 20 | 2013 | The Wealth-Consumption Ratio. (2013). Van Nieuwerburgh, Stijn ; Verdelhan, Adrien ; Lustig, Hanno. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:38-94.. Full description at Econpapers || Download paper | 6 |
| 21 | 2015 | Managerial Activeness and Mutual Fund Performance. (2015). Doshi, Hitesh ; Simutin, Mikhail ; Elkamhi, Redouane . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:156-184.. Full description at Econpapers || Download paper | 6 |
| 22 | 2014 | Rating-Based Investment Practices and Bond Market Segmentation. (2014). Schuerhoff, Norman ; Seppi, Duane J ; Schurhoff, Norman ; Lookman, Aziz A ; Chen, Zhihua. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:162-205.. Full description at Econpapers || Download paper | 6 |
| 23 | 2019 | A Fresh Look at Return Predictability Using a More Efficient Estimator. (2019). Johnson, Travis L. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:1-46.. Full description at Econpapers || Download paper | 5 |
| 24 | 2017 | Transparency and Liquidity in the Structured Product Market. (2017). Friewald, Nils ; Subrahmanyam, Marti G ; Jankowitsch, Rainer. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:316-348.. Full description at Econpapers || Download paper | 5 |
| 25 | 2012 | Mutual Fund Industry Selection and Persistence. (2012). Busse, Jeffrey A ; Tong, Qing. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:245-274.. Full description at Econpapers || Download paper | 5 |
| 26 | 2013 | Does Active Management Pay? New International Evidence. (2013). Dyck, Alexander ; Pomorski, Lukasz ; Lins, Karl V. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:200-228.. Full description at Econpapers || Download paper | 5 |
| 27 | 2018 | Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings. (2018). Qian, Hong ; Zhong, Zhaodong . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:117-152.. Full description at Econpapers || Download paper | 5 |
| 28 | 2013 | Does the Fed Control Interest Rates?. (2013). Fama, Eugene F. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:180-199.. Full description at Econpapers || Download paper | 5 |
| 29 | 2016 | Economic Uncertainty and Interest Rates. (2016). Hartzmark, Samuel M. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:2:p:179-220.. Full description at Econpapers || Download paper | 4 |
| 30 | 2019 | Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan. (2019). Gianinazzi, Virginia ; Barbon, Andrea. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:2:p:210-255.. Full description at Econpapers || Download paper | 4 |
| 31 | 2017 | Extended Stock Returns in Response to S&P 500 Index Changes. (2017). Patel, Nimesh ; Welch, Ivo. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:172-208.. Full description at Econpapers || Download paper | 3 |
| 32 | 2017 | The Cross-Section of Expected Returns in the Secondary Corporate Loan Market. (2017). Beyhaghi, Mehdi ; Ehsani, Sina. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:243-277.. Full description at Econpapers || Download paper | 3 |
| 33 | 2019 | Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market. (2019). Nguyen, Giang ; Fleming, Michael J. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:2:p:256-295.. Full description at Econpapers || Download paper | 3 |
| 34 | 2018 | Hedge Fund Holdings and Stock Market Efficiency. (2018). Cao, Charles ; Petrasek, Lubomir ; Lo, Andrew W ; Liang, Bing. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:77-116.. Full description at Econpapers || Download paper | 3 |
| 35 | 2015 | The Impact of Hedge Funds on Asset Markets. (2015). Ramadorai, Tarun ; Patton, Andrew J ; Kruttli, Mathias S. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:185-226.. Full description at Econpapers || Download paper | 3 |
| 36 | 2013 | Call-Put Implied Volatility Spreads and Option Returns. (2013). Doran, James S ; Jiang, Danling ; Fodor, Andy. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:258-290.. Full description at Econpapers || Download paper | 3 |
| 37 | 2015 | A Credit Spread Puzzle for Reduced-Form Models. (2015). Berndt, Antje. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:1:p:48-91.. Full description at Econpapers || Download paper | 3 |
| 38 | 2014 | Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity. (2014). Kamstra, Mark J ; Wang, Tan ; Levi, Maurice D ; Kramer, Lisa A. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:39-77.. Full description at Econpapers || Download paper | 3 |
| 39 | 2016 | Idiosyncratic Risk Innovations and the Idiosyncratic Risk-ReturnRelation. (2016). Rachwalski, Mark ; Wen, Quan. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:2:p:303-328.. Full description at Econpapers || Download paper | 2 |
| 40 | 2016 | Heterogeneous Innovation, Firm Creation and Destruction, and Asset Prices. (2016). GrÃÆüning, Patrick ; Gruning, Patrick ; Garlappi, Lorenzo ; Bena, Jan. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:46-87.. Full description at Econpapers || Download paper | 2 |
| 41 | 2014 | Safety First, Learning Under Ambiguity, and the Cross-Section of Stock Returns. (2014). Viale, Ariel ; Giannetti, Antoine ; Garcia-Feijoo, Luis. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:118-159.. Full description at Econpapers || Download paper | 2 |
| 42 | The Unprecedented Stock Market Reaction to COVID-19. (). Viratyosin, Tasaneeya ; Sammon, Marco ; Kost, Kyle ; Davis, Steven J ; Bloom, Nicholas ; Baker, Scott R ; Pontiff, Jeffrey . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:742-758.. Full description at Econpapers || Download paper | 2 | |
| 43 | 2020 | Learning, Fast or Slow. (2020). Barber, Brad ; Zhang, KE ; Odean, Terrance ; Liu, Yu-Jane ; Lee, Yi-Tsung. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:1:p:61-93.. Full description at Econpapers || Download paper | 2 |
| 44 | 2016 | The Noninformation Cost of Trading and Its Relative Importance inAsset Pricing. (2016). Chung, Keeh ; Huh, Sahn-Wook. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:2:p:261-302.. Full description at Econpapers || Download paper | 2 |
| 45 | 2019 | The Causal Effects of Short-Selling Bans: Evidence from Eligibility Thresholds. (2019). Naranjo, Patricia ; Michenaud, Sebastien ; Crotty, Kevin ; Crane, Alan D. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:137-170.. Full description at Econpapers || Download paper | 2 |
| 46 | 2018 | Aggregate Tail Risk and Expected Returns. (2018). Gallmeyer, Michael ; Martin, Spencer J ; Chapman, David A. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:36-76.. Full description at Econpapers || Download paper | 2 |
| 47 | 2016 | International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Solnik, Bruno ; Watewai, Thaisiri . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:2:p:221-260.. Full description at Econpapers || Download paper | 2 |
| 48 | 2016 | Leisure Preferences, Long-Run Risks, and Human Capital Returns. (2016). Dittmar, Robert F ; Yang, Wei ; Palomino, Francisco. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:88-134.. Full description at Econpapers || Download paper | 2 |
| 49 | 2016 | Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide. (2016). Weigert, Florian. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:135-178.. Full description at Econpapers || Download paper | 2 |
| 50 | 2016 | Macro Disagreement and the Cross-Section of Stock Returns. (2016). Li, Frank Weikai. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:1-45.. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 16
| Year | Title | |
|---|---|---|
| 2020 | Is the credit spread puzzle a myth?. (2020). Yang, Fan ; Goldstein, Robert S ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:297-319. Full description at Econpapers || Download paper | |
| 2020 | Sophisticated investors and market efficiency: Evidence from a natural experiment. (2020). Kelly, Bryan ; Chen, Yong ; Wu, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:316-341. Full description at Econpapers || Download paper | |
| 2020 | Prime (information) brokerage. (2020). Kumar, Nitish ; Tang, Yuehua ; Ray, Sugata ; Mullally, Kevin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:371-391. Full description at Econpapers || Download paper | |
| 2020 | The term structure of liquidity provision. (2020). Wahal, Sunil ; Conrad, Jennifer. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:239-259. Full description at Econpapers || Download paper | |
| 2020 | Limit order submission risks, order choice, and tick size. (2020). Yamamoto, Ryuichi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302732. Full description at Econpapers || Download paper | |
| 2020 | Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50. Full description at Econpapers || Download paper | |
| 2020 | Tick size and market quality: Simulations based on agentââ¬Âbased artificial stock markets. (2020). Ye, Qing ; Zhang, Jie ; Yang, Xinhui. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:27:y:2020:i:3:p:125-141. Full description at Econpapers || Download paper | |
| 2020 | Price discovery, order submission, and tick size during preopen period. (2020). Yamamoto, Ryuichi ; Xiao, Xijuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302067. Full description at Econpapers || Download paper | |
| 2020 | How does competition among high-frequency traders affect market liquidity?. (2020). Breckenfelder, Johannes. In: Research Bulletin. RePEc:ecb:ecbrbu:2020:0078:. Full description at Econpapers || Download paper | |
| 2020 | The price effects of liquidity shocks: A study of the SECâs tick size experiment. (2020). Yao, Chen ; Song, Shiyun ; Albuquerque, Rui. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:700-724. Full description at Econpapers || Download paper | |
| 2020 | Short-sale constraints and stock price crash risk: Causal evidence from a natural experiment. (2020). Deng, Xiaohu ; Kim, Jeong-Bon ; Gao, Lei. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s092911991830470x. Full description at Econpapers || Download paper | |
| 2020 | Worldwide short selling regulations and IPO underpricing. (2020). Zutter, Chad J ; Smart, Scott B ; Boulton, Thomas J. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300407. Full description at Econpapers || Download paper | |
| 2020 | Factor exposure variation and mutual fund performance. (2020). Weigert, Florian ; Fischer, Sebastian ; Ammann, Manuel. In: CFR Working Papers. RePEc:zbw:cfrwps:2006. Full description at Econpapers || Download paper | |
| 2020 | Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX. (2020). D'Amico, Stefania ; Lee, Stephen M. In: Working Paper Series. RePEc:fip:fedhwp:92703. Full description at Econpapers || Download paper | |
| 2020 | Intraday market making with overnight inventory costs. (2020). Vogt, Erik ; Fleming, Michael ; Capponi, Agostino ; Adrian, Tobias ; Zhang, Hongzhong. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300331. Full description at Econpapers || Download paper | |
| 2020 | Market Structure and Transaction Costs of Index CDSs. (2020). Collindufresne, Pierre ; Trolle, Anders B ; Junge, Benjamin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2719-2763. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2020
| Year | Citing document | |
|---|---|---|
| 2020 | Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273. Full description at Econpapers || Download paper | |
| 2020 | Anomalies across the globe: Once public, no longer existent?. (2020). Jacobs, Heiko ; Muller, Sebastian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:213-230. Full description at Econpapers || Download paper | |
| 2020 | The price effects of liquidity shocks: A study of the SECâs tick size experiment. (2020). Yao, Chen ; Song, Shiyun ; Albuquerque, Rui. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:700-724. Full description at Econpapers || Download paper | |
| 2020 | The impact of weather on order submissions and trading performance. (2020). Weng, Pei-Shih ; Tsai, Wei-Che ; Chuang, Yi-Wei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306685. Full description at Econpapers || Download paper | |
| 2020 | Zeroing in on the Expected Returns of Anomalies. (2020). Chen, Andrew ; Velikov, Mihail. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-39. Full description at Econpapers || Download paper | |
| 2020 | Raiders of the Lost High-Frequency Forecasts: New Data and Evidence on the Efficiency of the Feds Forecasting. (2020). Levinson, Trace J ; Chang, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-90. Full description at Econpapers || Download paper | |
| 2020 | Open source cross-sectional asset pricing. (2020). Zimmermann, Tom ; Chen, Andrew Y. In: CFR Working Papers. RePEc:zbw:cfrwps:2004. Full description at Econpapers || Download paper |
Recent citations received in 2019
| Year | Citing document | |
|---|---|---|
| 2019 | Priority Rules. (2019). Karagiannis, Nikolaos ; Degryse, Hans. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14127. Full description at Econpapers || Download paper | |
| 2019 | Particle filtering, learning, and smoothing for mixed-frequency state-space models. (2019). Yang, Hanlin ; Leippold, Markus. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:25-41. Full description at Econpapers || Download paper | |
| 2019 | Inverted fee structures, tick size, and market quality. (2019). Zhong, Zhuo ; Gregoire, Vincent ; Comerton-Forde, Carole. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:141-164. Full description at Econpapers || Download paper |
Recent citations received in 2018
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Recent citations received in 2017
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10 most frequent citing series