Oxford Index Browse

You are looking at 1-10 of 82 items for:

Asset Pricing x clear all

Refine by type

Refine by product

 

An Analysis of the Amihud Illiquidity Premium

Michael Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam.

in The Review of Asset Pricing Studies

June 2013; p ublished online January 2013 .

Journal Article. Subjects: Asset Pricing. 21474 words.

This paper analyzes the Amihud (2002) measure of illiquidity and its role in asset pricing. It is shown first that the effect of illiquidity on asset pricing is clarified by using the...

Go to Oxford Journals »  home page

Announcements

in The Review of Asset Pricing Studies

December 2014; p ublished online November 2014 .

Journal Article. Subjects: Asset Pricing. 70 words.

Go to Oxford Journals »  home page

Announcements

in The Review of Asset Pricing Studies

December 2015; p ublished online November 2015 .

Journal Article. Subjects: Asset Pricing. 67 words.

Go to Oxford Journals »  home page

Announcements

in The Review of Asset Pricing Studies

December 2012; p ublished online November 2012 .

Journal Article. Subjects: Asset Pricing. 50 words.

Go to Oxford Journals »  home page

Announcements

in The Review of Asset Pricing Studies

December 2013; p ublished online November 2013 .

Journal Article. Subjects: Asset Pricing. 56 words.

Go to Oxford Journals »  home page

Asset Pricing Tests with Long-run Risks in Consumption Growth

George M. Constantinides and Anisha Ghosh.

in The Review of Asset Pricing Studies

December 2011; p ublished online July 2011 .

Journal Article. Subjects: Asset Pricing. 17472 words.

We present a novel methodology for estimating/testing the Bansal and Yaron (2004) and related long-run risks (LRR) models based on the observation that the latent state variables are known...

Go to Oxford Journals »  home page

Call-Put Implied Volatility Spreads and Option Returns

James S. Doran, Andy Fodor and Danling Jiang.

in The Review of Asset Pricing Studies

December 2013; p ublished online July 2013 .

Journal Article. Subjects: Asset Pricing. 15372 words.

Prior literature shows that implied volatility spreads between call and put options are positively related to future underlying stock returns. In this paper, however, we demonstrate that...

Go to Oxford Journals »  home page

Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks

Malcolm Baker and Jeffrey Wurgler.

in The Review of Asset Pricing Studies

June 2012; p ublished online February 2012 .

Journal Article. Subjects: Asset Pricing. 13438 words.

Government bonds comove more strongly with bond-like stocks: stocks of large, mature, low-volatility, profitable, dividend-paying firms that are neither high growth nor distressed....

Go to Oxford Journals »  home page

Cover

in The Review of Asset Pricing Studies

December 2011; p ublished online December 2011 .

Journal Article. Subjects: Asset Pricing. 0 words.

Go to Oxford Journals »  home page

Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide

Florian Weigert.

in The Review of Asset Pricing Studies

June 2016; p ublished online December 2015 .

Journal Article. Subjects: Asset Pricing. 18555 words.

This paper examines whether investors receive compensation for holding stocks with a strong sensitivity to extreme market downturns in a sample covering forty countries. Worldwide, stocks...

Go to Oxford Journals »  home page