News
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
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
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.
October 29, 2014: Associate Editor Keynote Speaker at International Conference on Credit Risk Evaluation
Associate Editor Thierry Foucault was recently a keynote speaker at the 13th International Conference on Credit Risk Evaluation held in Venice, Italy on the 25th and 26th of September 2014. For more, click here
October 24, 2014: A Message from Wayne Ferson, Executive Editor, RAPS
I am honored to have been appointed to a second three-year term as the Executive Editor of theReview of Asset Pricing Studies (RAPS). The past three years have been rewarding and exciting, and your new journal is doing well. The Society of Financial Studies (SFS) has been very supportive. You, our authors and referees, are submitting high-quality papers and writing high-quality reviews. Some of the world’s leading scholars serve on our editorial board. Oxford University Press, our publisher, is producing great-looking volumes and managing various web-based forums for our journal’s dissemination.
We are still seeing a tiny fraction of the paper flow that the Big Three journals manage, and the fraction of submissions from established scholars with excellent reputations continues to be high. Our biggest challenge remains the “chicken and the egg” problem. Younger and untenured scholars are the chickens, holding back their submissions for fear that they might not get full credit for publishing outside of the Big Three when tenure decisions are made. Our journal’s reputation is the egg, and it is trying to hatch.
While we are not part of the ISI citations club yet, recently Oxford University Press calculated the index for us as if we were. The calculation was based on what the impact factor would have been if the journal had been indexed by ISI in 2013. This index is the number of citations from published papers per paper that we publish. It came in at 2.417, above the JFQA but below the Big Three. In our December 2013 issue I reported on a similar calculation using Google Scholar, which showed us above even the Big Three. As you know, Google Scholar catches citations from unpublished papers. As these get published, it suggests that our ISI citation index will rise. Stay tuned. And think of us as the outlet that can give you the visibility that your best paper in asset pricing deserves.
Forthcoming in the RAPS
A Credit Spread Puzzle for Reduced-form Models
byAntje Berndt
Price Dividend Ratio Factors for Long Run Risks
bySrikant Marakani and Ravi Jagannathan
Inferring Correlations of Asset Values and Distances-to-Default from CDS Spreads: A Structural Model Approach
by Chanatip Kitwiwattanachai and Neil D. PearsonUsing 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 RollStock 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)