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Review of Asset Pricing Studies最新文献

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What Do Index Options Teach Us About COVID-19? 关于新冠肺炎，指数选项教会了我们什么？
IF 13.1
Review of Asset Pricing Studies Pub Date : 2020-06-14 DOI: 10.2139/ssrn.3573558
J. Jackwerth
{"title":"What Do Index Options Teach Us About COVID-19?","authors":"J. Jackwerth","doi":"10.2139/ssrn.3573558","DOIUrl":"https://doi.org/10.2139/ssrn.3573558","url":null,"abstract":"Abstract Risk-neutral distributions of the S&P 500 are informative about the COVID-19 pandemic beyond what one can learn from index values and the market fear gauge of the VIX alone. We learn that, on February 20, 2020, the index did not yet reflect the impending crisis. Only on March 16, 2020, was the full impact visible, with a pronounced bimodality for longer-maturity options revealing a sizeable crash scenario. The corresponding physical distribution is more symmetric and features a high-volatility crash scenario. Firms bought crash protection ahead of the index crash, whereas retail customers bought it as the index was already recovering.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":" ","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46218748","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 31
Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic 党派之争会影响投资者的信仰吗？新冠肺炎大流行的证据
IF 13.1
Review of Asset Pricing Studies Pub Date : 2020-06-06 DOI: 10.1093/rapstu/raaa018
J. Cookson, Joseph Engelberg, William Mullins
{"title":"Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic","authors":"J. Cookson, Joseph Engelberg, William Mullins","doi":"10.1093/rapstu/raaa018","DOIUrl":"https://doi.org/10.1093/rapstu/raaa018","url":null,"abstract":"Abstract We use party-identifying language—like “liberal media” and “MAGA”—to identify Republican users on the investor social platform StockTwits. Using a difference-in-difference design, we find that partisan Republicans remain relatively unfazed in their beliefs about equities during the COVID-19 pandemic, while other users become considerably more pessimistic. In cross-sectional tests, we find Republicans become relatively more optimistic about stocks that suffered the most during the COVID-19 crisis, but more pessimistic about Chinese stocks. Finally, stocks with the greatest partisan disagreement on StockTwits have significantly more trading in the broader market, explaining 28% of the increase in stock turnover during the pandemic.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":" ","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/rapstu/raaa018","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48836580","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 45
Coronavirus: Impact on Stock Prices and Growth Expectations 冠状病毒:对股价和增长预期的影响
IF 13.1
Review of Asset Pricing Studies Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3555917
N. J. Gormsen, R. Koijen
{"title":"Coronavirus: Impact on Stock Prices and Growth Expectations","authors":"N. J. Gormsen, R. Koijen","doi":"10.2139/ssrn.3555917","DOIUrl":"https://doi.org/10.2139/ssrn.3555917","url":null,"abstract":"Abstract We use data from aggregate stock and dividend futures markets to quantify how investors’ expectations about economic growth evolved across horizons following the outbreak of the novel coronavirus (COVID-19) and subsequent policy responses until July 2020. Dividend futures, which are claims to dividends on the aggregate stock market in a particular year, can be used to directly compute a lower bound on growth expectations across maturities or to estimate expected growth using a forecasting model. We show how the actual forecast and the bound evolve over time. As of July 20th, our forecast of annual growth in dividends points to a decline of 8% in both the United States and Japan and a 14% decline in the European Union compared to January 1. Our forecast of GDP growth points to a decline of 2% in the United States and Japan and 3% in the European Union. The lower bound on the change in expected dividends is -17% in the United States and Japan and -28% in the European Union at the 2-year horizon. News about U.S. monetary policy and the fiscal stimulus bill around March 24 boosted the stock market and long-term growth but did little to increase short-term growth expectations. Expected dividend growth has improved since April 1 in all geographies.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":" ","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41439227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 480
Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests 企业特征、横截面回归估计和资产定价测试
IF 13.1
Review of Asset Pricing Studies Pub Date : 2020-06-01 DOI: 10.1093/RAPSTU/RAZ005
Chris Kirby
{"title":"Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests","authors":"Chris Kirby","doi":"10.1093/RAPSTU/RAZ005","DOIUrl":"https://doi.org/10.1093/RAPSTU/RAZ005","url":null,"abstract":"\u0000 I test a number of well-known asset pricing models using regression-based managed portfolios that capture nonlinearity in the cross-sectional relation between firm characteristics and expected stock returns. Although the average portfolio returns point to substantial nonlinearity in the data, none of the asset pricing models successfully explain the estimated nonlinear effects. Indeed, the estimated expected returns produced by the models display almost no variation across portfolios. Because the tests soundly reject every model considered, it is apparent that nonlinearity in the relation between firm characteristics and expected stock returns poses a formidable challenge to asset pricing theory. (JEL G12, C58)","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"54 1","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84836421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
How Does Household Spending Respond to an Epidemic? Consumption during the 2020 COVID-19 Pandemic 家庭支出如何应对流行病?2020年COVID-19大流行期间的消费
IF 13.1
Review of Asset Pricing Studies Pub Date : 2020-03-31 DOI: 10.2139/ssrn.3565521
S. Baker, R. Farrokhnia, Steffen Meyer, Michaela Pagel, Constantine Yannelis
{"title":"How Does Household Spending Respond to an Epidemic? Consumption during the 2020 COVID-19 Pandemic","authors":"S. Baker, R. Farrokhnia, Steffen Meyer, Michaela Pagel, Constantine Yannelis","doi":"10.2139/ssrn.3565521","DOIUrl":"https://doi.org/10.2139/ssrn.3565521","url":null,"abstract":"Abstract Utilizing transaction-level financial data, we explore how household consumption responded to the onset of the COVID-19 pandemic. As case numbers grew and cities and states enacted shelter-in-place orders, Americans began to radically alter their typical spending across a number of major categories. In the first half of March 2020, individuals increased total spending by over 40% across a wide range of categories. This was followed by a decrease in overall spending of 25%–30% during the second half of March coinciding with the disease spreading, with only food delivery and grocery spending as major exceptions to the decline. Spending responded most strongly in states with active shelter-in-place orders, though individuals in all states had sizable responses. We find few differences across individuals with differing political beliefs, but households with children or low levels of liquidity saw the largest declines in spending during the latter part of March.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":" ","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42554309","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 846
Real Exchange Rates and Currency Risk Premiums 实际汇率和货币风险溢价
IF 13.1
Review of Asset Pricing Studies Pub Date : 2020-02-01 DOI: 10.1093/rapstu/raz002
Pierluigi Balduzzi, I-Hsuan Ethan Chiang
{"title":"Real Exchange Rates and Currency Risk Premiums","authors":"Pierluigi Balduzzi, I-Hsuan Ethan Chiang","doi":"10.1093/rapstu/raz002","DOIUrl":"https://doi.org/10.1093/rapstu/raz002","url":null,"abstract":"\u0000 Standard finite horizon tests uncover only weak evidence of the predictive power of the real exchange rate for excess currency returns. On the other hand, in long-horizon tests, the real exchange rate strongly and negatively predicts future excess currency returns. Conversely, we can attribute most of the variability in real exchange rates to changes in currency risk premiums. The “habit” and “long-run risks” models replicate the predictive power of the real exchange rate for excess currency returns, but substantially overstate the fraction of the volatility of the real exchange rate due to risk premiums.\u0000 Received December 14, 2017; Editorial decision October 14, 2018 by Editor: Raman Uppal. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"1 1","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88351501","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Annual Report of the Society for Financial Studies for 2018–2019 金融研究学会2018-2019年度报告
IF 13.1
Review of Asset Pricing Studies Pub Date : 2020-01-09 DOI: 10.1093/rapstu/raz009
A. Ellul, Itay Goldstein, C. Holden, Ronald W. Masulis, Jeffrey Pontiff, A. Schoar
{"title":"Annual Report of the Society for Financial Studies for 2018–2019","authors":"A. Ellul, Itay Goldstein, C. Holden, Ronald W. Masulis, Jeffrey Pontiff, A. Schoar","doi":"10.1093/rapstu/raz009","DOIUrl":"https://doi.org/10.1093/rapstu/raz009","url":null,"abstract":"","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"7 1","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84958135","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Supply Channel of Uncertainty Shocks and the Cross-Section of Returns: Evidence From the COVID-19 Crisis 不确定性冲击的供给渠道与收益横截面:来自COVID-19危机的证据
IF 13.1
Review of Asset Pricing Studies Pub Date : 2020-01-01 DOI: 10.2139/ssrn.3588418
Lorenzo Bretscher, Alex Hsu, A. Tamoni
{"title":"The Supply Channel of Uncertainty Shocks and the Cross-Section of Returns: Evidence From the COVID-19 Crisis","authors":"Lorenzo Bretscher, Alex Hsu, A. Tamoni","doi":"10.2139/ssrn.3588418","DOIUrl":"https://doi.org/10.2139/ssrn.3588418","url":null,"abstract":"","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"22 1","pages":""},"PeriodicalIF":13.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68610228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
Learning, Fast or Slow 学习，快还是慢
IF 13.1
Review of Asset Pricing Studies Pub Date : 2019-08-12 DOI: 10.1093/rapstu/raz006
B. Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean, Kecheng Zhang
{"title":"Learning, Fast or Slow","authors":"B. Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean, Kecheng Zhang","doi":"10.1093/rapstu/raz006","DOIUrl":"https://doi.org/10.1093/rapstu/raz006","url":null,"abstract":"\u0000 Rational models claim “trading to learn” explains widespread excessive speculative trading and challenge behavioral explanations of excessive trading. We argue rational learning models do not explain speculative trading by studying day traders in Taiwan. Consistent with previous studies of learning, unprofitable day traders are more likely than profitable traders to quit. Consistent with models of overconfidence and biased learning (but not with rational learning), the aggregate performance of day traders is negative; 74% of day trading volume is generated by traders with a history of losses; and 97% of day traders are likely to lose money in future day trading.\u0000 Received: March 4, 2019; Editorial decision: May 16, 2019 by Editor: Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"1 1","pages":""},"PeriodicalIF":13.1,"publicationDate":"2019-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89159761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 19
Consumption-Income Sensitivity and Portfolio Choice. 消费收入敏感性与投资组合选择。
IF 2.2
Review of Asset Pricing Studies Pub Date : 2019-06-01 Epub Date: 2018-07-17 DOI: 10.1093/rapstu/ray005
Jawad M Addoum, Stefanos Delikouras, George M Korniotis
{"title":"Consumption-Income Sensitivity and Portfolio Choice.","authors":"Jawad M Addoum, Stefanos Delikouras, George M Korniotis","doi":"10.1093/rapstu/ray005","DOIUrl":"10.1093/rapstu/ray005","url":null,"abstract":"<p><p>Contrary to the predictions of traditional life-cycle models, household consumption is excessively sensitive to current income. Similarly, weak evidence of income hedging runs against standard portfolio theory. We link these two puzzles by modifying the theoretical framework of Viceira (2001) to study how consumption-income sensitivities generated by income in the utility function affect households' portfolio choices. Empirically, we find that consumption-income sensitivities affect asset allocation through the income hedging channel. In particular, we show that the interaction between consumption-income sensitivity and the correlation of income growth to stock market returns is an important explanatory variable for households' stock market holdings. Received October 20, 2016; editorial decision April 25, 2018 by Editor Wayne Ferson.</p>","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":"9 1","pages":"91-136"},"PeriodicalIF":2.2,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6743673/pdf/ray005.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41211020","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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