“The Value Premium” by Eugene F. Fama and Kenneth R. French
Invitation for Survey Proposals
The Review of Asset Pricing Studies seeks to occasionally publish high quality surveys of topics in asset pricing. Interested authors should send a brief proposal to Executive Editor Jeffrey Pontiff. All areas of asset pricing will be considered. If other surveys on the same topic have already been published, the proposal should note the potential marginal contribution.
Forthcoming Papers
“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
Keynote Video
The video of Campbell Harvey’s keynote presentation at Cavalcade North America 2020 can now be viewed on the Cavalcade web site.
Forthcoming Paper
“Double-Adjusted Mutual Fund Performance” by Jeffrey Busse, Lei Jiang, and Yuehua Tang
Paper Spotlight: Historical Returns of the Market Portfolio
Ronald Doeswijk
Trevin Lam
Laurens Swinkels
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
Paper Spotlight: Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades
Kenneth Ahern
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
Statement of the SFS Council
The Society of Financial Studies Council believes that we cannot remain silent about the continued acts of racism that exist in our society. We acknowledge the numerous voices of the peaceful protesters and are determined to not let this moment pass without contributing to a changed society. In particular, the future of a robust financial system lies on the path of justice and equity. We are actively investigating ways to participate.
Chairs for SFS Cavalcade Asia-Pacific
The SFS is happy to announce that the Vice Chair for SFS Cavalcade Asia-Pacific will be Jun Pan (Shanghai Jiao Tong University) and the Associate Chair will be Chen Lin (University of Hong Kong). They join Chair Jun-Koo Kang (Nanyang Technological University). The 2020 conference has been postponed to 2021.
Associate Chair for SFS Cavalcade North America 2021
The SFS is happy to announce that the Associate Chair for SFS Cavalcade North America 2021 will be Victoria Ivashina (Harvard Business School). Professor Ivashina joins Chair Ulrike Malmendier (UC Berkeley) and Vice Chair Andrea Eisfeldt (UCLA).
