The Review of Asset Pricing Studies / Society for Financial Studies
Citation Profile [Updated: 2026-03-14 21:09:38]
5 Years H Index
25
Impact Factor (IF)
0.51
5 Years IF
0.79
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]
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trace new citations] [Missing
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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 | 0.51 | 0 | 0 | 4 | 4 | 315 | 1 | 0 | 0 | 0 | 0 | 0.23 | |||||
| 2012 | 2.25 | 0.5 | 0.83 | 2.25 | 8 | 12 | 431 | 10 | 11 | 4 | 9 | 4 | 9 | 0 | 1 | 0.13 | 0.21 | |
| 2013 | 1.83 | 0.54 | 1.14 | 1.83 | 9 | 21 | 235 | 24 | 35 | 12 | 22 | 12 | 22 | 0 | 2 | 0.22 | 0.24 | |
| 2014 | 2.53 | 0.53 | 2.69 | 3.52 | 8 | 29 | 157 | 78 | 113 | 17 | 43 | 21 | 74 | 0 | 0 | 0.22 | ||
| 2015 | 1.59 | 0.52 | 2.19 | 2.72 | 8 | 37 | 116 | 81 | 194 | 17 | 27 | 29 | 79 | 2 | 2.5 | 0 | 0.22 | |
| 2016 | 1.06 | 0.5 | 2.82 | 3.3 | 8 | 45 | 59 | 127 | 321 | 16 | 17 | 37 | 122 | 0 | 0 | 0.2 | ||
| 2017 | 0.63 | 0.52 | 2.09 | 1.95 | 9 | 54 | 101 | 113 | 434 | 16 | 10 | 41 | 80 | 0 | 0 | 0.21 | ||
| 2018 | 1 | 0.53 | 2.49 | 1.79 | 5 | 59 | 29 | 143 | 581 | 17 | 17 | 42 | 75 | 0 | 0 | 0.22 | ||
| 2019 | 1.14 | 0.54 | 1.94 | 1.18 | 10 | 69 | 102 | 130 | 715 | 14 | 16 | 38 | 45 | 0 | 4 | 0.4 | 0.21 | |
| 2020 | 1.4 | 0.64 | 4.41 | 1.5 | 9 | 78 | 68 | 344 | 1059 | 15 | 21 | 40 | 60 | 0 | 8 | 0.89 | 0.3 | |
| 2021 | 1.47 | 0.74 | 4.19 | 1.32 | 23 | 101 | 107 | 423 | 1482 | 19 | 28 | 41 | 54 | 2 | 0.5 | 4 | 0.17 | 0.27 |
| 2022 | 1.03 | 0.73 | 1.98 | 1.18 | 23 | 124 | 74 | 245 | 1727 | 32 | 33 | 56 | 66 | 1 | 0.4 | 4 | 0.17 | 0.22 |
| 2023 | 1.15 | 0.69 | 1.56 | 1.31 | 20 | 144 | 20 | 225 | 1952 | 46 | 53 | 70 | 92 | 0 | 3 | 0.15 | 0.2 | |
| 2024 | 0.81 | 0.81 | 1.17 | 0.92 | 19 | 163 | 15 | 190 | 2142 | 43 | 35 | 85 | 78 | 1 | 0.5 | 6 | 0.32 | 0.23 |
| 2025 | 0.51 | 0.86 | 0.79 | 10 | 173 | 1 | 148 | 2290 | 39 | 20 | 94 | 74 | 0 | 1 | 0.1 |
| 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, Jingzhi. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:153-202.. Full description at Econpapers || Download paper | 250 |
| 2 | How Does Household Spending Respond to an Epidemic? Consumption during the 2020 COVID-19 Pandemic. (). Yannelis, Constantine ; Baker, Scott ; Farrokhnia, Robert A ; Pagel, Michaela ; Pontiff, Jeffrey ; Meyer, Steffen. In: The 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. (). Davis, Steven ; bloom, nicholas ; Baker, Scott ; Sammon, Marco ; Kost, Kyle ; Pontiff, Jeffrey ; Viratyosin, Tasaneeya. In: The 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). Teoh, Siew Hong ; Hirshleifer, David ; Lim, Sonya S. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:35-73.. Full description at Econpapers || Download paper | 157 |
| 5 | 2011 | Does a Central Clearing Counterparty Reduce Counterparty Risk?. (2011). Zhu, Haoxiang ; Duffie, Darrell. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:74-95.. Full description at Econpapers || Download paper | 90 |
| 6 | 2011 | Asset Pricing Tests with Long-run Risks in Consumption Growth. (2011). Constantinides, George ; Ghosh, Anisha. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:96-136.. Full description at Econpapers || Download paper | 69 |
| 7 | 2012 | Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks. (2012). Wurgler, Jeffrey ; Baker, Malcolm. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:57-87.. Full description at Econpapers || Download paper | 59 |
| 8 | 2013 | An Analysis of the Amihud Illiquidity Premium. (2013). Huh, Sahn-Wook ; Brennan, Michael ; Subrahmanyam, Avanidhar. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:133-176.. Full description at Econpapers || Download paper | 57 |
| 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: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:206-246.. Full description at Econpapers || Download paper | 42 |
| 10 | 2013 | The Puzzle of Index Option Returns. (2013). Savov, Alexi ; Constantinides, George ; Jackwerth, Jens Carsten. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:229-257.. Full description at Econpapers || Download paper | 41 |
| 11 | 2012 | Go Down Fighting: Short Sellers vs. Firms. (2012). Lamont, Owen A. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:1-30.. Full description at Econpapers || Download paper | 40 |
| 12 | 2019 | Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan. (2019). Gianinazzi, Virginia ; Barbon, Andrea. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:2:p:210-255.. Full description at Econpapers || Download paper | 38 |
| 13 | 2013 | The Wealth-Consumption Ratio. (2013). Verdelhan, Adrien ; Van Nieuwerburgh, Stijn ; Lustig, Hanno. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:38-94.. Full description at Econpapers || Download paper | 37 |
| 14 | 2015 | Managerial Activeness and Mutual Fund Performance. (2015). Elkamhi, Redouane ; Simutin, Mikhail ; Doshi, Hitesh. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:156-184.. Full description at Econpapers || Download paper | 36 |
| 15 | 2013 | Limited Capital Market Participation and Human Capital Risk. (2013). Berk, Jonathan B ; Walden, Johan. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:1-37.. Full description at Econpapers || Download paper | 34 |
| 16 | 2014 | Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility. (2014). Christensen, Peter O ; Larsen, Kasper. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:247-285.. Full description at Econpapers || Download paper | 33 |
| 17 | 2013 | Does Active Management Pay? New International Evidence. (2013). Lins, Karl ; Pomorski, Lukasz ; Dyck, Alexander. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:200-228.. Full description at Econpapers || Download paper | 31 |
| 18 | 2012 | Does Mutual Fund Size Matter? The Relationship Between Size and Performance. (2012). Gruber, Martin J ; Elton, Edwin J ; Blake, Christopher R. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:31-55.. Full description at Econpapers || Download paper | 31 |
| 19 | 2017 | Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties. (2017). Menkveld, Albert. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:209-242.. Full description at Econpapers || Download paper | 28 |
| 20 | 2013 | Does the Fed Control Interest Rates?. (2013). Fama, Eugene F. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:180-199.. Full description at Econpapers || Download paper | 28 |
| 21 | 2020 | Publication Bias and the Cross-Section of Stock Returns. (2020). Zimmermann, Tom ; Pontiff, Jeffrey ; Chen, Andrew Y. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:2:p:249-289.. Full description at Econpapers || Download paper | 28 |
| 22 | 2014 | Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas. (2014). Siegel, Stephan ; Gilbert, Thomas ; Kalodimos, Jonathan ; Hrdlicka, Christopher. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:78-117.. Full description at Econpapers || Download paper | 28 |
| 23 | 2015 | Price Contagion through Balance Sheet Linkages. (2015). Larsson, Martin ; Capponi, Agostino. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:227-253.. Full description at Econpapers || Download paper | 27 |
| 24 | 2014 | Rating-Based Investment Practices and Bond Market Segmentation. (2014). Schuerhoff, Norman ; Chen, Zhihua ; Schurhoff, Norman ; Seppi, Duane J ; Lookman, Aziz A. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:162-205.. Full description at Econpapers || Download paper | 27 |
| 25 | 2015 | Internationally Correlated Jumps. (2015). Roll, Richard ; Pukthuanthong, Kuntara. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:1:p:92-111.. Full description at Econpapers || Download paper | 25 |
| 26 | 2017 | Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market*. (2017). Zurita, Virgilio ; Jacobs, Kris ; Doshi, Hitesh. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:43-80.. Full description at Econpapers || Download paper | 24 |
| 27 | 2022 | The Cross-Section of Cryptocurrency Returns. (2022). Borri, Nicola ; Shakhnov, Kirill. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:3:p:667-705.. Full description at Econpapers || Download paper | 23 |
| 28 | 2021 | Investing in Socially Responsible Mutual Funds. (2021). Stambaugh, Robert ; Levin, David ; Geczy, Christopher C. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:2:p:309-351.. Full description at Econpapers || Download paper | 22 |
| 29 | 2019 | Relative Tick Size and the Trading Environment. (2019). Zhong, Zhuo ; Ohara, Maureen ; Saar, Gideon. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:47-90.. Full description at Econpapers || Download paper | 20 |
| 30 | 2012 | Mutual Fund Industry Selection and Persistence. (2012). Tong, Qing ; Busse, Jeffrey A. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:245-274.. Full description at Econpapers || Download paper | 19 |
| 31 | 2019 | A Fresh Look at Return Predictability Using a More Efficient Estimator. (2019). Johnson, Travis L. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:1-46.. Full description at Econpapers || Download paper | 19 |
| 32 | 2022 | Working Remotely and the Supply-Side Impact of COVID-19. (2022). Schmidt, 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 | 18 |
| 33 | 2018 | Hedge Fund Holdings and Stock Market Efficiency. (2018). Lo, Andrew ; Petrasek, Lubomir ; Cao, Charles ; Liang, Bing. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:77-116.. Full description at Econpapers || Download paper | 17 |
| 34 | 2012 | The World Price of Credit Risk. (2012). Chordia, Tarun ; Jostova, Gergana ; Avramov, Doron ; Philipov, Alexander. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:112-152.. Full description at Econpapers || Download paper | 17 |
| 35 | 2012 | Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?. (2012). Brown, Stephen ; Pascalau, Razvan ; Gregoriou, Greg N. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:89-110.. Full description at Econpapers || Download paper | 17 |
| 36 | 2014 | Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity. (2014). Kramer, Lisa ; Wang, Tan ; Levi, Maurice D ; Kamstra, Mark J. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:39-77.. Full description at Econpapers || Download paper | 14 |
| 37 | 2017 | Extended Stock Returns in Response to S&P 500 Index Changes. (2017). welch, ivo ; Patel, Nimesh. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:172-208.. Full description at Econpapers || Download paper | 14 |
| 38 | 2016 | Economic Uncertainty and Interest Rates. (2016). Hartzmark, Samuel M. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:2:p:179-220.. Full description at Econpapers || Download paper | 13 |
| 39 | 2016 | Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide. (2016). Weigert, Florian. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:135-178.. Full description at Econpapers || Download paper | 12 |
| 40 | Does Partisanship Shape Investor Beliefs? Evidence from the COVID-19 Pandemic. (). Engelberg, Joseph ; Mullins, William ; Chen, Hui ; Cookson, Anthony J. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:863-893.. Full description at Econpapers || Download paper | 11 | |
| 41 | Earnings Expectations during the COVID-19 Crisis*. (). Landier, Augustin ; Pontiff, Jeffrey ; Thesmar, David. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:598-617.. Full description at Econpapers || Download paper | 10 | |
| 42 | 2017 | Speed of Information Diffusion within Fund Families. (2017). Jaspersen, Stefan ; Cici, Gjergji ; Kempf, Alexander. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:144-170.. Full description at Econpapers || Download paper | 10 |
| 43 | 2018 | Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings. (2018). Zhong, Zhaodong ; Qian, Hong. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:117-152.. Full description at Econpapers || Download paper | 10 |
| 44 | COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission. (). Simasek, Peter ; Roussanov, Nikolai ; Bretscher, Lorenzo ; Tamoni, Andrea ; Hsu, Alex. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y::i:4:p:705-741.. Full description at Econpapers || Download paper | 10 | |
| 45 | 2020 | An Evaluation of Alternative Multiple Testing Methods for Finance Applications. (2020). Saretto, Alessio ; Liu, Yan ; Pontiff, Jeffrey ; Harvey, Campbell R. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:2:p:199-248.. Full description at Econpapers || Download paper | 10 |
| 46 | 2016 | Macro Disagreement and the Cross-Section of Stock Returns. (2016). Li, Frank Weikai. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:1-45.. Full description at Econpapers || Download paper | 9 |
| 47 | 2017 | A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:2-42.. Full description at Econpapers || Download paper | 9 |
| 48 | 2016 | Idiosyncratic Risk Innovations and the Idiosyncratic Risk-ReturnRelation. (2016). Wen, Quan ; Rachwalski, Mark. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:2:p:303-328.. Full description at Econpapers || Download paper | 9 |
| 49 | 2021 | The Night and Day of Amihudâs (2002) Liquidity Measure. (2021). Ruchti, Thomas ; Bernhardt, Dan ; Barardehi, Yashar H ; Weidenmier, Marc. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:2:p:269-308.. Full description at Econpapers || Download paper | 9 |
| 50 | 2017 | Transparency and Liquidity in the Structured Product Market. (2017). Jankowitsch, Rainer ; Friewald, Nils ; Subrahmanyam, Marti G. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:316-348.. Full description at Econpapers || Download paper | 9 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2011 | Limited Investor Attention and Stock Market Misreactions to Accounting Information. (2011). Teoh, Siew Hong ; Hirshleifer, David ; Lim, Sonya S. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:35-73.. Full description at Econpapers || Download paper | 29 |
| 2 | 2012 | How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?. (2012). Huang, Jingzhi. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:153-202.. Full description at Econpapers || Download paper | 16 |
| 3 | 2021 | Investing in Socially Responsible Mutual Funds. (2021). Stambaugh, Robert ; Levin, David ; Geczy, Christopher C. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:2:p:309-351.. Full description at Econpapers || Download paper | 14 |
| 4 | 2019 | Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan. (2019). Gianinazzi, Virginia ; Barbon, Andrea. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:2:p:210-255.. Full description at Econpapers || Download paper | 13 |
| 5 | 2022 | The Cross-Section of Cryptocurrency Returns. (2022). Borri, Nicola ; Shakhnov, Kirill. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:3:p:667-705.. Full description at Econpapers || Download paper | 13 |
| 6 | 2015 | Managerial Activeness and Mutual Fund Performance. (2015). Elkamhi, Redouane ; Simutin, Mikhail ; Doshi, Hitesh. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:156-184.. Full description at Econpapers || Download paper | 11 |
| 7 | 2022 | Working Remotely and the Supply-Side Impact of COVID-19. (2022). Schmidt, 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 | 11 |
| 8 | 2020 | Publication Bias and the Cross-Section of Stock Returns. (2020). Zimmermann, Tom ; Pontiff, Jeffrey ; Chen, Andrew Y. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:2:p:249-289.. Full description at Econpapers || Download paper | 10 |
| 9 | 2013 | An Analysis of the Amihud Illiquidity Premium. (2013). Huh, Sahn-Wook ; Brennan, Michael ; Subrahmanyam, Avanidhar. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:133-176.. Full description at Econpapers || Download paper | 9 |
| 10 | 2014 | Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility. (2014). Christensen, Peter O ; Larsen, Kasper. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:247-285.. Full description at Econpapers || Download paper | 8 |
| 11 | 2011 | Does a Central Clearing Counterparty Reduce Counterparty Risk?. (2011). Zhu, Haoxiang ; Duffie, Darrell. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:74-95.. Full description at Econpapers || Download paper | 7 |
| 12 | 2021 | Is Positive Sentiment in Corporate Annual Reports Informative? Evidence from Deep Learning. (2021). Azimi, Mehran ; Agrawal, Anup. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:4:p:762-805.. Full description at Econpapers || Download paper | 6 |
| 13 | 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: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:206-246.. Full description at Econpapers || Download paper | 6 |
| 14 | 2012 | Go Down Fighting: Short Sellers vs. Firms. (2012). Lamont, Owen A. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:1-30.. Full description at Econpapers || Download paper | 6 |
| 15 | 2024 | Trend Factor in China: The Role of Large Individual Trading. (2024). Zhu, Yingzi ; Liu, Yang ; Zhou, Guofu. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:14:y:2024:i:2:p:348-380.. Full description at Econpapers || Download paper | 6 |
| 16 | 2019 | A Fresh Look at Return Predictability Using a More Efficient Estimator. (2019). Johnson, Travis L. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:1-46.. Full description at Econpapers || Download paper | 5 |
| 17 | 2021 | Multifactor Models and Their Consistency with the APT. (2021). Cooper, Ilan ; Maio, Paulo ; Philip, Dennis. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:2:p:402-444.. Full description at Econpapers || Download paper | 4 |
| 18 | 2015 | Price Contagion through Balance Sheet Linkages. (2015). Larsson, Martin ; Capponi, Agostino. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:227-253.. Full description at Econpapers || Download paper | 4 |
| 19 | 2012 | The World Price of Credit Risk. (2012). Chordia, Tarun ; Jostova, Gergana ; Avramov, Doron ; Philipov, Alexander. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:2:p:112-152.. Full description at Econpapers || Download paper | 4 |
| 20 | 2022 | Volatility-of-Volatility Risk in Asset Pricing. (2022). Chen, Te-Feng ; Chordia, Tarun ; Chung, San-Lin ; Lin, Ji-Chai. 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 | 4 |
| 21 | 2017 | A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:2-42.. Full description at Econpapers || Download paper | 4 |
| 22 | 2023 | Short Interest and Aggregate Stock Returns: International Evidence. (2023). Kacperczyk, Marcin ; Gorbenko, Arseny. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:4:p:691-733.. Full description at Econpapers || Download paper | 4 |
| 23 | 2021 | Strategic Trading When Central Bank Intervention Is Predictable. (2021). Yang, Liyan ; Zhu, Haoxiang. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:4:p:735-761.. Full description at Econpapers || Download paper | 4 |
| 24 | 2022 | What Drives the Size and Value Factors?. (2022). Li, Jiacui. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:4:p:845-885.. Full description at Econpapers || Download paper | 3 |
| 25 | 2015 | Target Date Funds: Characteristics and Performance. (2015). Gruber, Martin J ; Elton, Edwin J ; Blake, Christopher R ; de Souza, Andre. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:5:y:2015:i:2:p:254-272.. Full description at Econpapers || Download paper | 3 |
| 26 | 2023 | The Effect of Innovation Similarity on Asset Prices: Evidence from Patentsâ Big Data. (2023). Bekkerman, Ron ; Khimich, Natalya V ; Pontiff, Jeffrey ; Fich, Eliezer M. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:1:p:99-145.. Full description at Econpapers || Download paper | 3 |
| 27 | 2011 | Asset Pricing Tests with Long-run Risks in Consumption Growth. (2011). Constantinides, George ; Ghosh, Anisha. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:1:y:2011:i:1:p:96-136.. Full description at Econpapers || Download paper | 3 |
| 28 | 2013 | The Puzzle of Index Option Returns. (2013). Savov, Alexi ; Constantinides, George ; Jackwerth, Jens Carsten. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:229-257.. Full description at Econpapers || Download paper | 3 |
| 29 | 2012 | Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks. (2012). Wurgler, Jeffrey ; Baker, Malcolm. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:2:y:2012:i:1:p:57-87.. Full description at Econpapers || Download paper | 3 |
| 30 | 2018 | Hedge Fund Holdings and Stock Market Efficiency. (2018). Lo, Andrew ; Petrasek, Lubomir ; Cao, Charles ; Liang, Bing. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:77-116.. Full description at Econpapers || Download paper | 3 |
| 31 | 2024 | A Survey of Short-Selling Regulations. (2024). Saffi, Pedro ; Reed, Adam V ; Edwards, Amy K. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:14:y:2024:i:4:p:613-639.. Full description at Econpapers || Download paper | 3 |
| 32 | 2021 | The Night and Day of Amihudâs (2002) Liquidity Measure. (2021). Ruchti, Thomas ; Bernhardt, Dan ; Barardehi, Yashar H ; Weidenmier, Marc. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:2:p:269-308.. Full description at Econpapers || Download paper | 3 |
| 33 | 2021 | When and Where Is It Cheaper to Issue Inflation-Linked Debt?. (2021). Ermolov, Andrey. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:3:p:610-653.. Full description at Econpapers || Download paper | 3 |
| 34 | 2017 | Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties. (2017). Menkveld, Albert. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:209-242.. Full description at Econpapers || Download paper | 3 |
| 35 | 2017 | Extended Stock Returns in Response to S&P 500 Index Changes. (2017). welch, ivo ; Patel, Nimesh. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:2:p:172-208.. Full description at Econpapers || Download paper | 3 |
| 36 | 2023 | Limits of Arbitrage and Primary Risk-Taking in Derivative Securities. (2023). He, Zhiguo ; Tian, Meng ; Wu, Liuren. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:3:p:405-439.. Full description at Econpapers || Download paper | 3 |
| 37 | 2021 | CDS Momentum: Slow-Moving Credit Ratings and Cross-Market Spillovers. (2021). Sirmans, Stace ; Lee, Jongsub ; Naranjo, Andy. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:2:p:352-401.. Full description at Econpapers || Download paper | 3 |
| 38 | 2014 | Rating-Based Investment Practices and Bond Market Segmentation. (2014). Schuerhoff, Norman ; Chen, Zhihua ; Schurhoff, Norman ; Seppi, Duane J ; Lookman, Aziz A. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:162-205.. Full description at Econpapers || Download paper | 3 |
| 39 | 2022 | Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data. (2022). Lunghi, Sandro ; Schmidt, Daniel ; von Beschwitz, Bastian. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:1:p:199-242.. Full description at Econpapers || Download paper | 3 |
| 40 | 2018 | Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings. (2018). Zhong, Zhaodong ; Qian, Hong. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:8:y:2018:i:1:p:117-152.. Full description at Econpapers || Download paper | 3 |
| 41 | 2017 | Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market*. (2017). Zurita, Virgilio ; Jacobs, Kris ; Doshi, Hitesh. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:43-80.. Full description at Econpapers || Download paper | 3 |
| 42 | 2021 | Can Individual Investors Beat the Market?. (2021). Hirshleifer, David ; Shumway, Tyler ; Coval, Joshua D. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:3:p:552-579.. Full description at Econpapers || Download paper | 3 |
| 43 | 2017 | Speed of Information Diffusion within Fund Families. (2017). Jaspersen, Stefan ; Cici, Gjergji ; Kempf, Alexander. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:7:y:2017:i:1:p:144-170.. Full description at Econpapers || Download paper | 2 |
| 44 | 2013 | Does Active Management Pay? New International Evidence. (2013). Lins, Karl ; Pomorski, Lukasz ; Dyck, Alexander. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:2:p:200-228.. Full description at Econpapers || Download paper | 2 |
| 45 | 2013 | The Wealth-Consumption Ratio. (2013). Verdelhan, Adrien ; Van Nieuwerburgh, Stijn ; Lustig, Hanno. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:3:y:2013:i:1:p:38-94.. Full description at Econpapers || Download paper | 2 |
| 46 | 2014 | Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas. (2014). Siegel, Stephan ; Gilbert, Thomas ; Kalodimos, Jonathan ; Hrdlicka, Christopher. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:1:p:78-117.. Full description at Econpapers || Download paper | 2 |
| 47 | 2016 | Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide. (2016). Weigert, Florian. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:6:y:2016:i:1:p:135-178.. Full description at Econpapers || Download paper | 2 |
| 48 | 2021 | The Sound of Many Funds Rebalancing. (2021). Fos, Vyacheslav ; Chinco, Alex. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:3:p:502-551.. Full description at Econpapers || Download paper | 2 |
| 49 | 2022 | Asset Pricing Tests of Infrequently Traded Securities: The Case of Municipal Bonds. (2022). Chen, Yao-Tsung ; Yeh, Chung-Ying ; Wu, Chunchi. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:3:p:754-807.. Full description at Econpapers || Download paper | 2 |
| 50 | 2022 | Active and Passive Investing: Understanding Samuelsonâs Dictum. (2022). Grleanu, Nicolae ; Pedersen, Lasse Heje. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:12:y:2022:i:2:p:389-446.. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 20
| Year | Title | |
|---|---|---|
| 2025 | Central BankâDriven Mispricing. (2025). Pelizzon, Loriana ; Subrahmanyam, Marti G ; Tomio, Davide. In: Journal of Financial Economics. RePEc:eee:jfinec:v:166:y:2025:i:c:s0304405x25000121. Full description at Econpapers || Download paper | |
| 2025 | Collateral choice. (2025). Ballensiefen, Benedikt Fabian. In: CFR Working Papers. RePEc:zbw:cfrwps:319642. Full description at Econpapers || Download paper | |
| 2025 | Does investor attention drive cryptocurrency markets? Insights from network connectedness and portfolio applications. (2025). Wang, Ming-Hui ; Wu, Feng-Lin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001263. Full description at Econpapers || Download paper | |
| 2025 | Autodeleveraging: Impossibilities and Optimization. (2025). Chitra, Tarun. In: Papers. RePEc:arx:papers:2512.01112. Full description at Econpapers || Download paper | |
| 2025 | In the shadows of opacity: Firm information quality and latent factor model performance. (2025). Zhang, Guanglong ; Wang, Chuyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000572. Full description at Econpapers || Download paper | |
| 2025 | Have the Chinese crude oil futures prices made a progress towards becoming the regional oil pricing benchmark? Empirical analysis from the asset pricing perspective. (2025). Xu, Zhiwei ; Zhang, Teng ; Gou, Xinyi. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002336. Full description at Econpapers || Download paper | |
| 2025 | A Bayesian stochastic discount factor for the cross-section of individual equity options. (2025). Mrke, Mathis ; Kfer, Niclas ; Weigert, Florian ; Wiest, Tobias. In: CFR Working Papers. RePEc:zbw:cfrwps:311832. Full description at Econpapers || Download paper | |
| 2025 | Option Return Predictability via Machine Learning: New Evidence From China. (2025). Xiao, Zhengyan ; Wang, Zhuo ; Huang, Yuxiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1232-1252. Full description at Econpapers || Download paper | |
| 2025 | Director informativeness following board gender balancing: Evidence from insider trading. (2025). Ãdegaard, Bernt ; Eckbo, Bjorn. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001191. Full description at Econpapers || Download paper | |
| 2025 | How should we measure the performance of corporate bond mutual funds? Evaluating model quality and impact on inferences. (2025). Liu, Yuekun ; Riley, Timothy B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426624002814. Full description at Econpapers || Download paper | |
| 2025 | Factor Investing with Delays. (2025). Robotti, Cesare ; Nozawa, Yoshio ; Dickerson, Alexander. In: Discussion Paper Series. RePEc:hit:hituec:771. Full description at Econpapers || Download paper | |
| 2025 | Short selling and product market competition. (2025). Matta, Rafael ; Rocha, Sergio H ; Vaz, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002498. Full description at Econpapers || Download paper | |
| 2025 | Climate risk and predictability of global stock market volatility. (2025). Ma, Yong ; Zhou, Mingtao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000253. Full description at Econpapers || Download paper | |
| 2025 | Hedge funds, short sales, and the 52-week high. (2025). Rui, Yixuan ; Durand, Robert B. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:47:y:2025:i:c:s2214635025000644. Full description at Econpapers || Download paper | |
| 2025 | How prevalent are short squeezes? Evidence from the US and Europe. (2025). Haas, Marlene ; Pirovano, Matteo ; Tengulov, Angel ; Allen, Franklin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000561. Full description at Econpapers || Download paper | |
| 2025 | Stealthy shorts: Informed liquidity supply. (2025). Goyal, Amit ; Reed, Adam V ; Smajlbegovic, Esad ; Soebhag, Amar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:172:y:2025:i:c:s0304405x25001631. Full description at Econpapers || Download paper | |
| 2025 | The Signaling Effects of Tightening and Easing Monetary Policy. (2025). Hubert, Paul ; Portier, Rose. In: Working papers. RePEc:bfr:banfra:999. Full description at Econpapers || Download paper | |
| 2025 | The Shadow Rate Model: Letâs Make it Real!. (2025). Renne, Jean-Paul ; Guilloux-Nefussi, Sophie ; Golinski, Adam. In: Working papers. RePEc:bfr:banfra:1014. Full description at Econpapers || Download paper | |
| 2025 | Organizational form and liquidity management: Evidence from open- vs. closed-end municipal bond funds. (2025). Yang, Jingyun ; Wang, Jay Z ; Chalmers, John. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324015289. Full description at Econpapers || Download paper | |
| 2025 | Optimizing investment strategies: Harnessing the power of K-line complex networks. (2025). Lan, Qiujun ; Li, Haojie ; Mi, Xianhua ; Zhang, Chunyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s105905602500187x. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2025
| Year | Citing document | |
|---|---|---|
| 2025 | The Nonstationarity-Complexity Tradeoff in Return Prediction. (2025). Wang, Kaizheng ; Zou, Jiacheng ; Huang, Chengpiao ; Sidaoui, Antonio J ; Capponi, Agostino. In: Papers. RePEc:arx:papers:2512.23596. Full description at Econpapers || Download paper |
Recent citations received in 2024
| Year | Citing document | |
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| 2024 | To disclose or not to disclose: Investor sentiment and risk disclosure. (2024). Jiang, Yifan ; Yang, Shengqi ; Mao, Hanjie ; Xiao, Gang. In: Economics Letters. RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524003021. Full description at Econpapers || Download paper | |
| 2024 | Speculative trading, stock returns and asset pricing anomalies. (2024). Xu, Zhiwei ; Zhang, Teng ; Li, Jiaqi. In: Emerging Markets Review. RePEc:eee:ememar:v:61:y:2024:i:c:s1566014124000608. Full description at Econpapers || Download paper | |
| 2024 | Is firm-level political risk priced in the corporate bond market?. (2024). Piljak, Vanja ; Ceballos, Luis ; Swinkels, Laurens. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000963. Full description at Econpapers || Download paper | |
| 2024 | Asymmetry, earnings announcements, and the beta-return relation. (2024). faff, robert ; Kim, Young-Mee ; Lee, Deok-Hyeon ; Min, Byoung-Kyu. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009723. Full description at Econpapers || Download paper | |
| 2024 | Global mispricing matters. (2024). Yu, Jiasheng ; Liu, Hongkui ; Tang, Guohao ; Jiang, Fuwei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001232. Full description at Econpapers || Download paper | |
| 2024 | Volatility-managed portfolios in the Chinese equity market. (2024). Li, Junye ; Wang, Chuyu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24003263. Full description at Econpapers || Download paper |
Recent citations received in 2023
| Year | Citing document | |
|---|---|---|
| 2023 | An exploration of the mathematical structure and behavioural biases of 21st century financial crises. (2023). James, Nick ; Menzies, Max. In: Papers. RePEc:arx:papers:2307.15402. Full description at Econpapers || Download paper | |
| 2023 | An exploration of the mathematical structure and behavioural biases of 21st century financial crises. (2023). James, Nick ; Menzies, Max. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008117. Full description at Econpapers || Download paper | |
| 2023 | Capital Structure with Information about the Upside and the Downside. (2023). Chaigneau, Pierre. In: MPRA Paper. RePEc:pra:mprapa:121397. Full description at Econpapers || Download paper |
Recent citations received in 2022
| Year | Citing document | |
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| 2022 | Volatility of implied volatility and mergers and acquisitions. (2022). Switzer, Lorne ; Betton, Sandra ; el Meslmani, Nabil. 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? (updated version February 2023). (2022). Mei, Shengfeng ; Cerrato, Mario ; Ramian, Hormoz. 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 ; Nikola, Levkov ; Irena, Bogoevska-Gavrilova. 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 |
10 most frequent citing series