Author name: Patricia Ponce

Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns
Kevin Aretz, Ming-Tsung Lin, Ser-Huang Poon
Review of Finance, Volume 27, Issue 1, February 2023, Pages Pages 289–323, https://doi.org/10.1093/rof/rfac003

While a large literature in finance suggests that the expected returns of European call (put) options fall (rise) with underlying asset volatility, the studies in that literature implicitly assume that variations in underlying asset volatility are exclusively driven by idiosyncratic volatility.… Read more...

Small Business Lending in Financial Crises: The Role of Government-Guaranteed Loans
John Hackney
Review of Finance, Volume 27, Issue 1, February 2023, Pages 247–287, https://doi.org/10.1093/rof/rfac002

The role of the government in ensuring access to credit for small businesses has been the focus of considerable research and policy debate.… Read more...

Market Timing and Predictability in FX Markets
Thomas A Maurer, Thuy-Duong Tô, Ngoc-Khanh Tran
Review of Finance, Volume 27, Issue 1, February 2023, Pages 223–246, https://doi.org/10.1093/rof/rfac014

Mean-variance optimized portfolios earn high out-of-sample (OOS) returns in foreign exchange (FX) markets [Baz et al.,… Read more...

How Do Options Add Value? Evidence from the Convertible Bond Market
Inmoo Lee, Rex Wang Renjie, Patrick Verwijmeren
Review of Finance, Volume 27, Issue 1, February 2023, Pages 189–222, https://doi.org/10.1093/rof/rfac001

In this paper, we study whether options add value to issuers of underlying stocks in the context of convertible bond issues.… Read more...

How Does Human Capital Affect Investing? Evidence from University Endowments
Matteo Binfarè, Gregory Brown, Robert Harris, Christian Lundblad
Review of Finance, Volume 27, Issue 1, February 2023, Pages 143–188, https://doi.org/10.1093/rof/rfac017

We examine the links between human capital and endowment investing.… Read more...

Dissemination, Publication, and Impact of Finance Research: When Novelty Meets Conventionality
Rui Dai, Lawrence Donohue, Qingyi (Freda) Drechsler, Wei Jiang
Review of Finance, Volume 27, Issue 1, February 2023, Pages 79–141, https://doi.org/10.1093/rof/rfac018

Using numeric and textual data extracted from over 50,000 finance articles in SSRN’s Financial and Economics Network (FEN) during 2001–2019, our study is the first large-scale empirical research that uncovers the determinants of research outcomes, such as publication outlet, impact and readership in academic finance.… Read more...

Search-Based Peer Groups and Commonality in Liquidity
Paul Brockman, Dennis Y Chung, Neal M Snow
Review of Finance, Volume 27, Issue 1, February 2023, Pages 33–77, https://doi.org/10.1093/rof/rfab033

In this study, we examine the relationship between EDGAR-initiated, search-based peer (SBP) groups proposed by (Lee, Ma, and Wang, 2015) as a potential determinant of commonality in liquidity.… Read more...

Responsible Hedge Funds
Hao Liang, Lin Sun, Melvyn Teo
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1585–1633, https://doi.org/10.1093/rof/rfac028

This paper sheds light on the investment implications of endorsing the United Nations Principles for Responsible Investment (PRI) by analyzing hedge funds.… Read more...

Financial Literacy in the Age of Green Investment
Anders Anderson, David T Robinson
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1551–1584, https://doi.org/10.1093/rof/rfab031

Anthropogenic climate change has made sustainable investment a hot topic across the globe. Increasingly, financial market participants place growing importance on sustainability and other ESG considerations.… Read more...

Climate Change Risk and the Cost of Mortgage Credit
Duc Duy Nguyen, Steven Ongena, Shusen Qi, Vathunyoo Sila
Review of Finance, Volume 26, Issue 6, November 2022, Pages 1509–1549, https://doi.org/10.1093/rof/rfac013

Does the residential property market incorporate risks related to sea level rise (SLR)?… Read more...