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Publication Name: The Review of Financial Studies
Brief description: The Review of Financial Studies is a major forum for the promotion and wide dissemination of significant new research in financial economics.
Publication URL: http://rfs.oxfordjournals.org/
RSS Feed: link
Joined: August 20th, 2011
Activity
The Review of Financial Studies wrote a new blog post titled Investors' Horizons and the Amplification of Market Shocks
This paper shows that during episodes of market turmoil, 13F institutional investors with short trading horizons sell their stockholdings to a larger extent than 13F institutional investors with longer trading horizons. This creates price pressure for stocks held mostly by short-horizon investors, which, as a consequence, experience larger price drops, and subsequent reversals, than stocks held mostly by long-horizon investors. These findings, obtained after controlling for the withdrawals experienced by the investors, are not driven by other institutional investors' and firms'...
(22 days ago)
The Review of Financial Studies wrote a new blog post titled Do Implicit Barriers Matter for Globalization?
Market liberalization may not result in full market integration if implicit barriers are important. We test this proposition for investable and non-investable segments of twenty-two emerging markets (EMs). We also measure the degree of integration for six major developed markets (DMs) as a meaningful benchmark. We find that while the DMs are close to fully integrated, both EM segments are not effectively integrated with the global economy. We quantify the importance of implicit barriers and show that better institutions, stronger corporate governance, and more transparent markets in EMs would...
(22 days ago)
The Review of Financial Studies wrote a new blog post titled Momentum in Corporate Bond Returns
This paper documents significant momentum in a comprehensive sample of 81,491 U.S. corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum is driven by noninvestment grade (NIG) bonds. Momentum profits have increased over time, along with the growth of this segment. From 1991 to 2011, they average 59 basis points (bps) per month across all bonds and 192 bps in NIG bonds. NIG bonds issued by private firms earn even higher profits (282 bps). Momentum profits do not appear to compensate for risk or persist as a result of trading frictions. Bond momentum is not...
(22 days ago)
About:
The Review of Financial Studies is a major forum for the promotion and wide dissemination of significant new research in financial economics. As reflected by its broadly based editorial board, the Review balances theoretical and empirical contributions. The primary criteria for publishing a paper are its quality and importance to the field of finance, without undue regard to its technical difficulty. Finance is interpreted broadly to include the interface between finance and economics.
The Review is sponsored by The Society for Financial Studies. The editors of the Review and officers of the Society are elected for limited terms.
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