Our publisher, Oxford University Press, has pledged to make content related to COVID-19 freely accessible online. The Review of Asset Pricing Studies and The Review of Corporate Finance Studies have forthcoming special issues on COVID-19. These papers will be freely accessible online as part of OUP’s collection. You can read these papers as they become available on advance access (RAPS) and advance access (RCFS).
Oxford University Press presents the Responses to Economic Shocks Collection, featuring papers from RAPS, RCFS, and RFS. The following papers are included:
-Preventing Controversial Catastrophes by Steven D. Baker, Burton Hollifield, and Emilio Osambela
-Economic Uncertainty and Interest Rates by Samuel M. Hartzmark
-How Do Laws and Institutions Affect Recovery Rates for Collateral? by Hans Degryse, Vasso Ioannidou, José María Liberti, and Jason Sturgess
-The Financial Crisis of 2007–2009: Why Did It Happen and What Did We Learn? by Anjan V. Thakor
-Macroeconomic Risk and Debt Overhang by Hui Chen and Gustavo Manso
-Uncertainty and Economic Activity: A Multicountry Perspective by Ambrogio Cesa-Bianchi, M. Hashem Pesaran, and Alessandro Rebucci
-Destructive Creation at Work: How Financial Distress Spurs Entrepreneurship by Tania Babina
-Asset Price Bubbles and Systemic Risk by Markus Brunnermeier, Simon Rother, and Isabel Schnabel
-Shock Transmission Through Cross-Border Bank Lending: Credit and Real Effects by Galina Hale, Tümer Kapan, and Camelia Minoiu
The featured papers are free to read through the end of September on Oxford University Press’s web site.
“How Does Household Spending Respond to an Epidemic? Consumption During the 2020 COVID-19 Pandemic” by Scott Ross Baker, Robert Farrokhnia, Steffen Meyer, Michaela Pagel, and Constantine Yannelis
“CDS Momentum: Slow Moving Credit Ratings and Cross-Market Spillovers” by Andy Naranjo, Jongsub Lee, and Stace Sirmans
“The Unprecedented Stock Market Reaction to COVID-19” by Scott Ross Baker, Nicholas Bloom, Steven J Davis, Kyle Kost, Marco Sammon, and Tasaneeya Viratyosin
The video of Campbell Harvey’s keynote presentation at Cavalcade North America 2020 can now be viewed on the Cavalcade web site.
The market portfolio plays a special role in asset pricing. Although many finance researchers use a U.S. equity portfolio to proxy for the market portfolio, theory usually dictates a broad, world portfolio that includes global equities, global real estate, commodities, and fixed income. In a new Review of Asset Pricing Studies paper, “Historical Returns of the Market Portfolio,” Ronald Doeswijk, Trevin Lam, and Laurens Swinkels introduce the best proxy for the global market portfolio to date. Since 1960, this portfolio has delivered a realized annual compound return (in U.S. dollars) of 4.45%. Their index and its components may be downloaded for free.
Spotlight by Jeffrey Pontiff
Photos courtesy of Ronald Doeswijk, Trevin Lam, and Laurens Swinkels
Reliable proxies for informed trading are required to test many theories in finance. Theory suggests several possible proxies; however, validating these empirically has been challenging because trades by informed investors cannot (in general) be observed. Kenneth Ahern’s new paper, “Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades,” addresses this challenge by using hand-collected data on illegal insider trades. He shows that the effective bid-ask spread and the absolute order imbalance are robust predictors of informed trading (illegal insider trading) while other measures are not because of strategic timing of their trades by insiders and sampling bias.
Spotlight by Thierry Foucault
Photo courtesy of Kenneth Ahern