Home
Subscribe Latest Issue
Executive Editor: Matthew Spiegel ♦ Editors: Geert Bekaert, Alexander Ljungqvist, Laura Starks, Pietro Veronesi, Michael Weisbach
For Papers Currently Under Review

 

New to the profession? See if you are eligible for the RFS's Young Researcher Prize!

News

July 29, 2010:

The RFS is looking to add freelance technical paper copy editors. If you know somebody in the area please contact Matthew Spiegel.

July 21, 2010:

Coming soon a new slimed down RFS! It has taken some time but we have finally managed to whittle down the backlog to about six months. That is where we hope to keep it and the new slimmer issues should do that.

July 6, 2010:

The SFS is currently in the process of moving its back office operations to a permanent setting that will ultimately be independent from any university. As you may know by now, the SFS will soon have three journals under its publication umbrella. With editors coming and going, from potentially the world over, the board felt it was time to find the back office its own permanent home. Like any transition this one will take time and undoubtedly glitches will occur. Please bear with us while we work out all of the bugs. To facilitate the transition the SFS will not be issuing any checks until all of the accounting has been transferred. We expect this to occur sometime in mid to late August. So if the SFS owes you money for a referee report or any other reason please be patient. You should get paid in full by early September. Thank you in advance for your patience.

Send comments regarding this web page to Matthew Spiegel.

Turnaround:
Mean: 56.22 days
Median: 50 days
Total Submissions
(since 07/30/09): 1118
Acceptance Rate: 7.87%

Conference Announcements
6th NY Fed/NYU Stern Conference On Financial Intermediation
November 4-5, 2010
Federal Reserve Bank of New York
New York, NY
SUBMISSION DEADLINE: July 30, 2010

Information, Liquidity and Trust in Incomplete Financial Markets
October 11-13, 2010
Freiburg University
Freiburg Germany
SUBMISSION DEADLINE: June 25, 2010


COLOR Pages!
The RFS publishes pages in color! You can include figures for free in the PDF files posted at Oxford University's web page Advanced Access. If you want some or all of the figures to appear in color in the printed version as well there is a service fee of $600 per figure. This just covers the journal's costs.
Forthcoming in the RFS

Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
by Benjamin Yibin Zhang, Hao Zhou, and Haibin Zhu

This paper attempts to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from high-frequency equity prices. Our empirical results suggest that the volatility risk alone predicts 48% of the variation in CDS spread levels, whereas the jump risk alone forecasts 19%. After controlling for credit ratings, macroeconomic conditions, and firms' balance sheet information, we can explain 73% of the total variation. We calibrate a Merton-type structural model with stochastic volatility and jumps, which can help to match credit spreads after controlling for the historical default rates. Simulation evidence suggests that the high-frequency-based volatility measures can help to explain the credit spreads, above and beyond what is already captured by the true leverage ratio.

 

   Contact | Yale University | Yale School of Management