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).
“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
Dimitri Vayanos and Clemens Sialm have been renewed for 3-year terms as associate editors. We thank Pietro Veronesi, who is retiring as an associate editor.