Society for Financial Studies

News

May 11, 2015: LaTeX Style Files Now Available

We are happy to announce that our publisher has made LaTeX style files available to help authors format their papers according to RAPS style. You can reach the files on our publisher’s web site or on our web site under Accepted Papers. Please note: these files are for formatting your accepted paper. When submitting a paper, you will still need to follow the guidelines for submissions.

Please contact Jaclyn with any feedback regarding the new files.

March 24, 2015: Final Week for Early Registration

Register for the Cavalcade by March 31 to pay the early registration fee of $100 for SFS members or $140 for nonmembers. Registration fees increase on April 1! Register online at Cavalcade 2015.

March 6, 2015: Cavalcade 2015 Program Now Available

The program for Cavalcade 2015 is now available. Check it out on the Cavalcade 2015 web site!

February 18, 2015: Registration is Now Open for Cavalcade 2015

You can now register online for the 2015 SFS Finance Cavalcade, which will take place May 17-20, 2015, at the Scheller College of Business at Georgia Tech. Early registration will be $100 for members and $140 for nonmembers. Beginning April 1, the registration rate will increase to $125 for members and $165 for nonmembers. The registration fee will be waived for doctoral students and Georgia Tech faculty. To register, visit the Cavalcade 2015 web site.

December 19, 2014: Editor Keynote Speaker at International Conference on Finance in Bali

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RAPS Editor Maureen O’Hara delivered the keynote address at the Second Annual IFMA (the Indonesian Financial Management Association) International Conference on Finance in Bali, Indonesia held on 16-17 of December , 2014.   For more, click here

December 1, 2014: Cavalcade 2015 Submission Deadline Approaching

There is only one week left to submit your paper to Cavalcade 2015! The deadline for submissions is midnight PST December 8, 2014. To submit, visit Cavalcade 2015.

November 24, 2014: Dual Submission to Cavalcade 2015

Did you know that Cavalcade 2015 features a dual submission option with The Review of Asset Pricing Studies? The submission deadline is December 8, 2014. For details, visit Cavalcade 2015.

November 19, 2014: December 2014 Issue of RAPS

The December issue of RAPS has now published online. View the issue here and check out the Editor’s Choice article, “Rating-Based Investment Practices and Bond Market Segmentation,” by Zhihua Chen, Aziz A. Lookman, Norman Schürhoff, and Duane J. Seppi here for free!

November 10, 2014: Submission Period is Now Open for Cavalcade 2015

The Cavalcade 2015 submission period is now open. To submit, please visit Cavalcade 2015. The deadline for submissions is midnight PST December 8, 2014.

Reminder for doctoral students: For papers in which ALL co-authors are doctoral students, the submission fee is waived.

Cavalcade 2015 features dual submission with RAPS! To be considered for dual submission, be sure to select the dual submission with RAPS option while submitting in the online system.

November 5, 2014: Upcoming Keynote Speeches

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Associate Editor Allan Timmermann will be the keynote speaker at the Ninth Imperial Conference on Advances in the Analysis of Hedge Fund Strategies in London, December 2014. He will also be the keynote speaker at the Finance Down Under Conference in Melbourne, March 5-7 2015. For more, click here.

He is also to give the lecture at the  EC^2 meetings in Barcelona, December 2014. For more, click here.

  • Journal Stats

    (January 1, 2014 through December 31, 2014)

    Turnaround (Mean): 39 days
    Turnaround (Median): 34 days
    Acceptance Rate: 11.4%

  • Citation Impact Factor: 2.417
    Note: This figure was computed by Oxford University Press based on what the impact factor would be if the journal had been indexed by ISI in 2013.
  • Conference Announcements

  • Color Pages

    The RAPS publishes pages in color! You can include figures for free in the online publication on Oxford University's web page. If you want some or all of the figures to appear in color in the printed version as well, there is a service fee of $300 per figure to cover the journal's costs.

  • RSS Feed

    Want to be notified by RSS about new RAPS papers? Visit the RSS information on our publisher's website.

Forthcoming in the RAPS

A Credit Spread Puzzle for Reduced-form Models

by Antje Berndt
Reduced-form models of default calibrated to expected default losses and comovements between default losses and an equity-based pricing kernel generate CDS spreads that tend to fall below historical values. In frictionless markets, resolving this credit spread puzzle requires credit-market investors, especially those in high-quality debt, to be more risk adverse than equity-market investors. In the absence of market segmentation, however, the puzzle points to a liquidity component that, depending on the model specification, can account for more than half of historical CDS spreads. These findings caution against fitting reduced-form models to CDS spreads without accounting for market segmentation or frictions.

Price Dividend Ratio Factors for Long Run Risks

by Ravi Jagannathan and Srikant Marakani
We show that several asset pricing models that rely on long-run risks imply that the state of the economy can be captured by factors derived from the price-dividend ratios of stock portfolios. We find two factors with small growth and large value tilts are important for this purpose, thereby relating the Fama-French model and the Bansal-Yaron and Merton intertemporal asset pricing models. As predicted by the model, these price-dividend ratio factors track consumption volatility and predict future consumption and stock dividends, and the covariance of returns with their innovations explains the cross-section of average returns of several stock portfolios.

Inferring Correlations of Asset Values and Distances-to-Default from CDS Spreads: A Structural Model Approach

by Chanatip Kitwiwattanachai and Neil D. Pearson
Using structural credit risk models to estimate default dependence requires estimates of correlations of changes in distance-to-default. We present a structural model that yields simple relations between asset value, distance-to-default, and CDS spreads, allowing the correlations to be estimated from CDS spreads. We generalize the model to include a randomly varying default boundary; in this version the distance-to-default dynamics also depend on the movement of the default boundary. The CDS spread correlations we estimate exceed equity correlations, consistent with a randomly varying default boundary. We also present evidence that variations in funding liquidity affect the correlations, consistent with recent models. (JEL G13, G23)

Internationally Correlated Jumps

by Kuntara Pukthuanthong, Richard Roll
Stock returns are characterized by extreme observations, jumps that would not occur under the smooth variation typical of a Gaussian process. Jumps are prevalent in most countries, but their cross-country comovements have not been extensively documented. This is important because international diversification is less effective if jumps are frequent, unpredictable, and strongly correlated. We investigate using returns on broad equity indexes from eighty-two countries and modern statistical measures of jumps. We find that jumps are weakly correlated internationally, except within Europe. Although the variation in ordinary returns seems to reflect systematic global factors, jumps are more idiosyncratic. (JEL G11, G12, G15)