A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.

• Allen, F., & Gale, D. (1992). Stock-Price Manipulation. Review of Financial Studies, 5, 503–529.

  It is generally agreed that speculators can make profits from insider trading or from the release of false information. Both forms of stock-price manipulation have now been made illegal. In this article, the authors ask whether it is possible to make profits from a different kind of manipulation, in which an uninformed speculator simply buys and sells shares. They show that in a rational expectations framework, where all agents maximize expected utility, it is possible for an uninformed manipulator to make a profit, provided investors attach a positive probability to the manipulator being an informed trader.

• Back, K. (1992). Insider Trading in Continuous Time. Review of Financial Studies, 5, 387–409.

  The continuous-time version of A. Kyle's (1985) model of asset pricing with asymmetric information is studied. It is shown that there is a unique equilibrium pricing rule within a certain class. This pricing rule is obtained in closed form for general distributions of the asset value. A particular example is a lognormal distribution, for which the equilibrium price process is a geometric Brownian motion. General trading strategies are allowed. In equilibrium, the informed agent, who is risk neutral, has many optima, but he does not correlate his trades locally with the noise trades nor does he submit discrete orders.

• Bessembinder, H. (1992). Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets. Review of Financial Studies, 5, 637–667.

  I examine the uniformity of risk pricing in futures and asset markets. Tests against a general alternative do not reject complete integration of futures and asset markets. As predicted, estimates of the "zero-beta" rate for futures are close to zero, and premiums for systematic risk do not differ significantly across assets and futures. There is, however, evidence consistent with a specific alternative model presented by Hirshleifer (1988). Returns in foreign currency and agricultural futures vary with the net holdings of hedgers, after controlling for systematic risk. These results imply a degree of market segmentation and support hedging pressure as a determinant of futures premiums.

• Brown, S. J. (1992). Survivorship Bias in Performance Studies. Review of Financial Studies, 5, 553–580.

  Recent evidence suggests that past mutual fund performance predicts future performance. We analyze the relationship between volatility and returns in a sample that is truncated by survivorship and show that this relationship gives rise to the appearance of predictability. We present some numerical examples to show that this effect can be strong enough to account for the strength of evidence favoring return predictability.

• Chan, K. (1992). A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market. Review of Financial Studies, 5, 123–152.

  The intraday lead-lag relation between returns of the Major Market cash index and returns of the Major Market Index futures and S&P 500 futures is investigated. Empirical results show strong evidence that the futures leads the cash index and weak evidence that the cash index leads the futures. The asymmetric lead-lag relation holds between the futures and all component stocks, including those that trade in almost every five-minute interval. Evidence indicates that when more stocks move together (market-wide information) the futures leads the cash index to a greater degree. This suggests that the futures market is the main source of market-wide information.

• Chen, R.-R., & Scott, L. O. (1992). Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure. Review of Financial Studies, 5, 613–636.

  Solutions are presented for prices on interest rate options in a two-factor version of the Cox-Ingersoll-Ross model of the term structure. Specific solutions are developed for caps on floating interest rates and for European options on discount bonds, coupon bonds, coupon bond futures, and Euro-dollar futures. The solutions for the options are expressed as multivariate integrals, and we show how to reduce the calculations to univariate numerical integrations, which can be calculated very quickly. The two-factor model provides more flexibility in fitting observed term structures, and the fixed parameters of the model can be set to capture the variability of the term structure over time.

• Cochrane, J. H. (1992). Explaining the Variance of Price-Dividend Ratios. Review of Financial Studies, 5, 243–280.

  The author reports a bound on the variance of price-dividend ratios and a decomposition of their variance into terms that reflect changes in dividend growth and discount rates. The specification is not restrictive. The test statistics do not require construction of ex post present values; instead, they are restrictions on means, variances, and covariances of price-dividend ratios, dividend growth, and discount rates. He considers implications for the mean price-dividend ratio, and he evaluates whether a low mean discount rate can rationalize the mean and variance of price-dividend ratios. The results do not indicate any striking rejections of present-value models. However, the bulk of the variance of price-dividend ratios must be accounted for by changing forecasts of discount rates, and discount rates must possess some unusual characteristics.

• Constantinides, G. M. (1992). A Theory of the Nominal Term Structure of Interest Rates. Review of Financial Studies, 5, 531–552.

  A model of the nominal term structure of interest rates is developed that has a positive and stationary process for the interest rate and delivers closed-form expressions for the prices of discount bonds and European options on bonds. Unlike the one-state-variable version of the Cox, Ingersoll, and Ross (1985) model, this model–even in its one-state-variable version–allows the term premium to change sign as a function of the state and the term to maturity, and also allows for shapes of the yield curve that are observed in the U.S. data but that are disallowed in the Cox, Ingersoll, and Ross model.

• Duffie, D., & Epstein, L. G. (1992). Asset Pricing with Stochastic Differential Utility. Review of Financial Studies, 5, 411–436.

  Asset pricing theory is presented with representative-agent utility given by a stochastic differential formulation of recursive utility. Asset returns are characterized from general first-order conditions of the Hamilton-Bellman-Jacobi equation for optimal control. Homothetic representative-agent recursive utility functions are shown to imply that excess expected rates of return on securities are given by a linear combination of the continuous-time market-portfolio-based capital asset pricing model (CAPM) and the consumption-based CAPM. The Cox, Ingersoll, and Ross characterization of the term structure is examined with a recursive generalization, showing the response of the term structure to variations in risk aversion. Also, a new multicommodity factor-return model, as well as an extension of the "usual" discounted expected value formula for asset prices, is introduced.

• Dumas, B. (1992). Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World. Review of Financial Studies, 5, 153–180.

  Two homogeneous stocks of physical capital are located in two different countries, separated by an "ocean." They are consumed by local residents, invested in a random production process yielding real returns, or transferred abroad. Under proportional transfer costs, trade, consumption, and capital imbalances are shown to be persistent. The heteroskedastic process for the relative price of capital in the two countries has a nonlinear, mean-reverting drift. Nevertheless, the conditional probability of the price moving from the parity value of unity is greater than the probability of it moving toward parity. The real interest-rate differential incorporates a simple risk premium.