Skip to content

The Review of Financial Studies

Volume 21 · Issue 3

May 200811 articles

A GARCH Option Pricing Model with Filtered Historical Simulation

Giovanni Barone-Adesi · Robert F. Engle · Loriano Mancini

Discuss this article →

May 2008pp. 1223-1258DOI: 10.1093/rfs/hhn031 ↗

Average Idiosyncratic Volatility in G7 Countries

Hui Guo · Robert Savickas

Discuss this article →

May 2008pp. 1259-1296DOI: 10.1093/rfs/hhn043 ↗

Does Capital Account Liberalization Lead to Growth?

Dennis P. Quinn · A. Maria Toyoda

Discuss this article →

May 2008pp. 1403-1449DOI: 10.1093/rfs/hhn034 ↗

Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence

Praveen Kumar · Sorin M. Sorescu · Rodney D. Boehme · Bartley R. Danielsen

Discuss this article →

May 2008pp. 1037-1075DOI: 10.1093/rfs/hhn016 ↗

Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights

Robin Greenwood

Discuss this article →

May 2008pp. 1153-1186DOI: 10.1093/rfs/hhm052 ↗

Expected returns, yield spreads, and asset pricing tests

Murillo Campello · Long Chen · Lu Zhang

Discuss this article →

May 2008pp. 1297-1338DOI: 10.1093/rfs/hhn011 ↗

Forecasting Default with the Merton Distance to Default Model

Sreedhar T. Bharath · Tyler Shumway

Discuss this article →

May 2008pp. 1339-1369DOI: 10.1093/rfs/hhn044 ↗

Robust Stochastic Discount Factors

Phelim Boyle · Shui Feng · Weidong Tian · Tan Wang

Discuss this article →

May 2008pp. 1077-1122DOI: 10.1093/rfs/hhm067 ↗

Small Trades and the Cross-Section of Stock Returns

Soeren Hvidkjaer

Discuss this article →

May 2008pp. 1123-1151DOI: 10.1093/rfs/hhn049 ↗

The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes

Robert F. Engle · Jose Gonzalo Rangel

Discuss this article →

May 2008pp. 1187-1222DOI: 10.1093/rfs/hhn004 ↗

Who Monitors the Monitor? The Effect of Board Independence on Executive Compensation and Firm Value

Praveen Kumar · K. Sivaramakrishnan

Discuss this article →

May 2008pp. 1371-1401DOI: 10.1093/rfs/hhn010 ↗