The Review of Asset Pricing Studies / Oxford University Press
Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
21
Impact Factor (IF)
0.94
5 Years IF
1.11
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
EconPapers]
[
trace new citations] [Missing
citations? Add them now]
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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 | |
| 2011 | 0 | 0.52 | 0 | 0 | 4 | 4 | 260 | 0 | 0 | 0 | 0 | 0 | 0.24 | |||||
| 2012 | 2.25 | 0.52 | 0.83 | 2.25 | 8 | 12 | 384 | 10 | 10 | 4 | 9 | 4 | 9 | 0 | 1 | 0.13 | 0.22 | |
| 2013 | 1.75 | 0.56 | 1.1 | 1.75 | 9 | 21 | 209 | 23 | 33 | 12 | 21 | 12 | 21 | 0 | 2 | 0.22 | 0.24 | |
| 2014 | 2.47 | 0.55 | 2.62 | 3.43 | 8 | 29 | 125 | 76 | 109 | 17 | 42 | 21 | 72 | 0 | 0 | 0.23 | ||
| 2015 | 1.53 | 0.55 | 2.16 | 2.69 | 8 | 37 | 85 | 80 | 189 | 17 | 26 | 29 | 78 | 2 | 2.5 | 0 | 0.23 | |
| 2016 | 1.06 | 0.53 | 2.78 | 3.24 | 8 | 45 | 50 | 125 | 314 | 16 | 17 | 37 | 120 | 0 | 0 | 0.21 | ||
| 2017 | 0.69 | 0.54 | 2.11 | 1.98 | 9 | 54 | 79 | 114 | 428 | 16 | 11 | 41 | 81 | 0 | 0 | 0.22 | ||
| 2018 | 1 | 0.56 | 2.47 | 1.79 | 5 | 59 | 20 | 142 | 574 | 17 | 17 | 42 | 75 | 0 | 0 | 0.24 | ||
| 2019 | 1.14 | 0.58 | 1.91 | 1.18 | 10 | 69 | 66 | 128 | 706 | 14 | 16 | 38 | 45 | 0 | 4 | 0.4 | 0.23 | |
| 2020 | 1.4 | 0.7 | 4.37 | 1.48 | 9 | 78 | 45 | 341 | 1047 | 15 | 21 | 40 | 59 | 0 | 8 | 0.89 | 0.33 | |
| 2021 | 1.47 | 0.87 | 4.19 | 1.29 | 23 | 101 | 45 | 423 | 1470 | 19 | 28 | 41 | 53 | 1 | 0.2 | 4 | 0.17 | 0.32 |
| 2022 | 0.94 | 1 | 1.87 | 1.11 | 23 | 124 | 16 | 232 | 1702 | 32 | 30 | 56 | 62 | 1 | 0.4 | 4 | 0.17 | 0.31 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years 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 | 224 |
| 2 | How Does Household Spending Respond to an Epidemic? Consumption during the 2020 COVID-19 Pandemic. (). Pontiff, Jeffrey ; Yannelis, Constantine ; Pagel, Michaela ; Meyer, Steffen ; Farrokhnia, Robert A ; Baker, Scott R. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:834-862.. Full description at Econpapers || Download paper | 213 | |
| 3 | 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 | 194 | |
| 4 | 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 | 120 |
| 5 | 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 | 78 |
| 6 | 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 | 63 |
| 7 | 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 | 53 |
| 8 | 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 | 45 |
| 9 | 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 | 38 |
| 10 | 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 | 34 |
| 11 | 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 | 33 |
| 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 | 32 |
| 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 | 32 |
| 14 | 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 | 29 |
| 15 | 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 | 28 |
| 16 | 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 | 26 |
| 17 | 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 | 24 |
| 18 | 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 | 24 |
| 19 | 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 | 23 |
| 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 | 23 |
| 21 | 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 | 22 |
| 22 | 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 | 21 |
| 23 | 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 | 21 |
| 24 | 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 | 20 |
| 25 | 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 | 20 |
| 26 | 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 | 19 |
| 27 | 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 | 18 |
| 28 | 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 | 17 |
| 29 | 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 | 16 |
| 30 | 2012 | The World Price of Credit Risk. (2012). Avramov, Doron ; Philipov, Alexander ; Jostova, Gergana ; Chordia, Tarun . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:112-152.. Full description at Econpapers || Download paper | 13 |
| 31 | 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 | 12 |
| 32 | 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 | 11 |
| 33 | 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 | 11 |
| 34 | 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 | 11 |
| 35 | Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic. (). Chen, Hui ; Mullins, William ; Engelberg, Joseph E ; Cookson, Anthony J. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:863-893.. Full description at Econpapers || Download paper | 11 | |
| 36 | COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission. (). Roussanov, Nikolai ; Tamoni, Andrea ; Simasek, Peter ; Hsu, Alex ; Bretscher, Lorenzo. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:705-741.. Full description at Econpapers || Download paper | 10 | |
| 37 | Earnings Expectations during the COVID-19 Crisis*. (). Pontiff, Jeffrey ; Thesmar, David ; Landier, Augustin. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:598-617.. Full description at Econpapers || Download paper | 10 | |
| 38 | 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 | 9 |
| 39 | 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 | 9 |
| 40 | 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 | 9 |
| 41 | 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 | 8 |
| 42 | 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 | 7 |
| 43 | 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 | 7 |
| 44 | 2017 | Speed of Information Diffusion within Fund Families. (2017). Cici, Gjergji ; Kempf, Alexander ; Jaspersen, Stefan. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:144-170.. Full description at Econpapers || Download paper | 7 |
| 45 | Monetary Policy and Corporate Bond Returns. (). Guo, Haifeng ; Maio, Paulo ; Kontonikas, Alexandros. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:3:p:441-489.. Full description at Econpapers || Download paper | 7 | |
| 46 | 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 | 7 |
| 47 | 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 | 7 |
| 48 | 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 |
| 49 | 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 | 7 |
| 50 | 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 | 7 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 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 | 143 | |
| 2 | How Does Household Spending Respond to an Epidemic? Consumption during the 2020 COVID-19 Pandemic. (). Pontiff, Jeffrey ; Yannelis, Constantine ; Pagel, Michaela ; Meyer, Steffen ; Farrokhnia, Robert A ; Baker, Scott R. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:834-862.. Full description at Econpapers || Download paper | 95 | |
| 3 | 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 | 52 |
| 4 | 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 | 47 |
| 5 | 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 | 17 |
| 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 | 15 |
| 7 | 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 | 14 |
| 8 | 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 | 14 |
| 9 | 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 | 13 |
| 10 | 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 | 13 |
| 11 | 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 | 13 |
| 12 | 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 |
| 13 | 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 | 11 |
| 14 | 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 | 10 |
| 15 | 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 |
| 16 | 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 | 9 |
| 17 | 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 | 9 |
| 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 | 9 |
| 19 | 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 | 9 |
| 20 | 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 | 8 |
| 21 | Earnings Expectations during the COVID-19 Crisis*. (). Pontiff, Jeffrey ; Thesmar, David ; Landier, Augustin. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:598-617.. Full description at Econpapers || Download paper | 8 | |
| 22 | Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic. (). Chen, Hui ; Mullins, William ; Engelberg, Joseph E ; Cookson, Anthony J. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:863-893.. Full description at Econpapers || Download paper | 8 | |
| 23 | 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 | 8 |
| 24 | COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission. (). Roussanov, Nikolai ; Tamoni, Andrea ; Simasek, Peter ; Hsu, Alex ; Bretscher, Lorenzo. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:705-741.. Full description at Econpapers || Download paper | 8 | |
| 25 | 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 | 7 |
| 26 | 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 | 7 |
| 27 | 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 | 7 |
| 28 | 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 | 7 |
| 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 | 7 |
| 30 | 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 |
| 31 | 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 | 6 |
| 32 | 2020 | An Evaluation of Alternative Multiple Testing Methods for Finance Applications. (2020). Harvey, Campbell R ; Pontiff, Jeffrey ; Saretto, Alessio ; Liu, Yan. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:2:p:199-248.. Full description at Econpapers || Download paper | 6 |
| 33 | 2017 | Speed of Information Diffusion within Fund Families. (2017). Cici, Gjergji ; Kempf, Alexander ; Jaspersen, Stefan. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:144-170.. Full description at Econpapers || Download paper | 6 |
| 34 | 2012 | The World Price of Credit Risk. (2012). Avramov, Doron ; Philipov, Alexander ; Jostova, Gergana ; Chordia, Tarun . In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:112-152.. Full description at Econpapers || Download paper | 6 |
| 35 | 2021 | The Value Premium. (2021). French, Kenneth R ; Fama, Eugene F. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:1:p:105-121.. Full description at Econpapers || Download paper | 6 |
| 36 | 2019 | A Market-Based Funding Liquidity Measure. (2019). Lu, Andrea ; Chen, Zhuo. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:2:p:356-393.. Full description at Econpapers || Download paper | 5 |
| 37 | 2022 | Working Remotely and the Supply-Side Impact of COVID-19. (2022). , Lawrence ; Papanikolaou, Dimitris. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:1:p:53-111.. Full description at Econpapers || Download paper | 5 |
| 38 | 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 | 5 |
| 39 | 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 | 5 |
| 40 | 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 | 5 |
| 41 | 2021 | Investing in Socially Responsible Mutual Funds. (2021). Levin, David ; Stambaugh, Robert F ; Geczy, Christopher C. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:2:p:309-351.. Full description at Econpapers || Download paper | 5 |
| 42 | 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 |
| 43 | 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 | 4 |
| 44 | 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 | 4 |
| 45 | Monetary Policy and Corporate Bond Returns. (). Guo, Haifeng ; Maio, Paulo ; Kontonikas, Alexandros. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:3:p:441-489.. Full description at Econpapers || Download paper | 4 | |
| 46 | 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 |
| 47 | 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 | 4 |
| 48 | 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 | 4 |
| 49 | 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 | 4 |
| 50 | 2022 | Volatility-of-Volatility Risk in Asset Pricing. (2022). Chordia, Tarun ; Chen, Te-Feng ; Lin, Ji-Chai ; Chung, San-Lin. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:1:p:289-335.. Full description at Econpapers || Download paper | 3 |
Citing documents used to
compute impact factor: 30
| Year | Title | |
|---|---|---|
| 2022 | Attention: How high-frequency trading improves price efficiency following earnings announcements. (2022). Wang, XU ; Moulton, Pamela C ; Chakrabarty, Bidisha. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100063x. Full description at Econpapers || Download paper | |
| 2022 | Noise trading and market stability. (2022). Ladley, Daniel ; Gao, Xing. In: The European Journal of Finance. RePEc:taf:eurjfi:v:28:y:2022:i:13-15:p:1283-1301. Full description at Econpapers || Download paper | |
| 2022 | Government policy approval and exchange rates. (2022). Liu, Yang ; Shaliastovich, Ivan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:303-331. Full description at Econpapers || Download paper | |
| 2022 | The missing risk premium in exchange rates. (2022). Penasse, Julien ; Dahlquist, Magnus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:2:p:697-715. Full description at Econpapers || Download paper | |
| 2022 | How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Tran, Thien Duy ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200232x. Full description at Econpapers || Download paper | |
| 2022 | 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 | |
| 2022 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
| 2022 | Listening in on investorsâ thoughts and conversations. (2022). Hwang, Byoung-Hyoun ; Chen, Hailiang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:426-444. Full description at Econpapers || Download paper | |
| 2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper | |
| 2022 | Chasing the ESG factor. (2022). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:139:y:2022:i:c:s0378426622000929. Full description at Econpapers || Download paper | |
| 2022 | Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section. (2022). Stalla-Bourdillon, Arthur ; Chinn, Menzie ; Chatelais, Nicolas. In: Working papers. RePEc:bfr:banfra:903. Full description at Econpapers || Download paper | |
| 2022 | Stock price movements: Evidence from global equity markets. (2022). Doan, Bao ; Lan, Chunhua. In: Journal of Empirical Finance. RePEc:eee:empfin:v:69:y:2022:i:c:p:123-143. Full description at Econpapers || Download paper | |
| 2022 | Have risk premia vanished?. (2022). Timmermann, Allan ; Smith, Simon C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:553-576. Full description at Econpapers || Download paper | |
| 2022 | Factor-Based Investing in Market Cycles: FamaâFrench Five-Factor Model of Market Interest Rate and Market Sentiment. (2022). Huang, Jen-Tsung ; Kuo, Yu-Shang. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:10:p:460-:d:941515. Full description at Econpapers || Download paper | |
| 2022 | Back to the futures: When short selling is banned. (2022). Strong, Cuyler ; Shimizu, Yoshiki ; Jiang, George J. In: Journal of Financial Markets. RePEc:eee:finmar:v:61:y:2022:i:c:s1386418122000283. Full description at Econpapers || Download paper | |
| 2022 | Fund manager skill in an era of globalization: Offshore concentration and fund performance. (2022). Wan, Chi ; Yuksel, Zafer H ; Tang, Yuehua ; Bai, John Jianqiu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:18-40. Full description at Econpapers || Download paper | |
| 2022 | Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867. Full description at Econpapers || Download paper | |
| 2022 | Bond riskâs role in the equity risk-return tradeoff. (2022). Stivers, Chris ; Bansal, Naresh. In: Journal of Financial Markets. RePEc:eee:finmar:v:60:y:2022:i:c:s1386418121000744. Full description at Econpapers || Download paper | |
| 2022 | Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium*. (2022). Pancost, Aaron N ; Damico, Stefania. In: Review of Finance. RePEc:oup:revfin:v:26:y:2022:i:1:p:117-162.. Full description at Econpapers || Download paper | |
| 2022 | Liquidity measurement: A comparative review of the literature with a focus on high frequency. (2022). Ekinci, Cumhur ; Guloglu, Zeynep Cobandag. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:41-74. Full description at Econpapers || Download paper | |
| 2022 | Interbank liquidity risk transmission to large emerging markets in crisis periods. (2022). Bouri, Elie ; Hosseini, Seyedmehdi ; Sifat, Imtiaz ; Zarei, Alireza. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001612. Full description at Econpapers || Download paper | |
| 2022 | A Bibliometric Retrospection of CSR from the Lens of Finance and Economics: Towards Sustainable Development. (2022). Alnori, Faisal ; Farooq, Umar ; Saeed, Asif ; Hamid, Samreen. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:24:p:16852-:d:1004567. Full description at Econpapers || Download paper | |
| 2022 | Ripples into waves: Trade networks, economic activity, and asset prices. (2022). Polk, Christopher ; Lou, Dong ; Du, Huancheng ; Chang, Jeffery. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:217-238. Full description at Econpapers || Download paper | |
| 2022 | Do I Really Want to Hear The News? Public Information Arrival and Investor Beliefs. (2022). Izhakian, Yehuda ; Cookson, Anthony J ; Ben-Rephael, Azi. In: SocArXiv. RePEc:osf:socarx:ud7yw. Full description at Econpapers || Download paper | |
| 2022 | Comments on âInformation acquisition and expected returns: Evidence from EDGAR search traffic,â by Weikai Li and Chengzhu Sun. (2022). Xiong, Yan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000896. Full description at Econpapers || Download paper | |
| 2022 | Reprint of: Delegated asset management and performance when some investors are unsophisticated. (2022). Malliaris, Anastasios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426622000061. Full description at Econpapers || Download paper | |
| 2022 | Globalisation, Exchange Rate Regimes, and Financial Contagion. (2022). Uroevia, Branko ; Nikitin, Maxim. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:4:p:3-33. Full description at Econpapers || Download paper | |
| 2022 | Stabilizing the Financial Markets through Informed Trading. (2022). Wang, Gaowang ; Huang, Shao'An ; Guo, QI. In: MPRA Paper. RePEc:pra:mprapa:115470. Full description at Econpapers || Download paper | |
| 2022 | Activist Manipulation Dynamics. (2022). Viswanathan, S ; Kolb, A ; Cisternas, G ; Cetemen, D. In: Working Papers. RePEc:cty:dpaper:22/04. Full description at Econpapers || Download paper | |
| 2022 | Do financial performance indicators predict 10-K text sentiments? An application of artificial intelligence. (2022). Derouiche, Imen ; Shahab, Yasir ; Gull, Ammar Ali ; Mushtaq, Rizwan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000678. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2022
| Year | Citing document | |
|---|---|---|
| 2022 | Volatility of implied volatility and mergers and acquisitions. (2022). Switzer, Lorne N ; el Meslmani, Nabil ; Betton, Sandra. In: Journal of Corporate Finance. RePEc:eee:corfin:v:75:y:2022:i:c:s0929119922000864. Full description at Econpapers || Download paper | |
| 2022 | European firms, Panic Borrowing and Credit Lines Drawdowns: What did we learn from the COVID-19 shock?. (2022). Mei, Shengfeng ; Ramian, Hormoz ; Cerrato, Mario. In: Working Papers. RePEc:gla:glaewp:2022_12. Full description at Econpapers || Download paper | |
| 2022 | Profile and Financial Behaviour of Crypto Adopters â Evidence from Macedonian Population Survey. (2022). Milica, Trajkovska ; Irena, Bogoevska-Gavrilova ; Nikola, Levkov. In: South East European Journal of Economics and Business. RePEc:vrs:seejeb:v:17:y:2022:i:2:p:172-185:n:5. Full description at Econpapers || Download paper | |
| 2022 | Bidens economic agenda risks mid-term elections: An analysis of Bidens economic agenda and its effects on the American economy. (2022). Obst, Thomas ; Matthes, Jurgen ; Kunath, Gero. In: IW-Reports. RePEc:zbw:iwkrep:592022. Full description at Econpapers || Download paper |
Recent citations received in 2021
| Year | Citing document | |
|---|---|---|
| 2021 | Strategic Trading, Welfare and Prices with Futures Contracts. (2021). Dastarac, Hugues. In: Working papers. RePEc:bfr:banfra:841. Full description at Econpapers || Download paper | |
| 2021 | Delegated asset management and performance when some investors are unsophisticated. (2021). Malliaris, Anastasios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002454. Full description at Econpapers || Download paper | |
| 2021 | To own or not to own: Stock loans around dividend payments. (2021). Fox, Corbin A ; Dixon, Peter N ; Kelley, Eric K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:539-559. Full description at Econpapers || Download paper | |
| 2021 | Passive ESG Portfolio ManagementâThe Benchmark Strategy for Socially Responsible Investors. (2021). Weinmayer, Karl ; Rammerstorfer, Margarethe ; Amon, Julian. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:16:p:9388-:d:618851. Full description at Econpapers || Download paper |
Recent citations received in 2020
| Year | Citing document | |
|---|---|---|
| 2020 | . Full description at Econpapers || Download paper | |
| 2020 | Asymmetric information and daily stock prices in Brazil. (2020). Ichimura, Denis ; Videira, Raphael ; Ripamonti, Alexandre. In: Estudios Gerenciales. RePEc:col:000129:019082. 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 | |
| 2019 | Asset Prices, Corporate Actions, and Bank of Japan Equity Purchases. (2019). Morck, Randall ; Wiwattanakantang, Yupana ; Charoenwong, Ben. In: NBER Working Papers. RePEc:nbr:nberwo:25525. Full description at Econpapers || Download paper |
10 most frequent citing series