diff --git a/doc/source/whatsnew/v0.20.0.txt b/doc/source/whatsnew/v0.20.0.txt
index 86fa919fec304..07c90b1e64f29 100644
--- a/doc/source/whatsnew/v0.20.0.txt
+++ b/doc/source/whatsnew/v0.20.0.txt
@@ -327,7 +327,7 @@ Other API Changes
 - ``pd.read_csv()`` will now raise a ``ValueError`` for the C engine if the quote character is larger than than one byte (:issue:`11592`)
 - ``inplace`` arguments now require a boolean value, else a ``ValueError`` is thrown (:issue:`14189`)
 - ``pandas.api.types.is_datetime64_ns_dtype`` will now report ``True`` on a tz-aware dtype, similar to ``pandas.api.types.is_datetime64_any_dtype``
-
+ - ``DataFrame.asof()`` will return a null filled ``Series`` instead the scalar ``NaN`` if a match is not found (:issue:`15118`)
 .. _whatsnew_0200.deprecations:
 
 Deprecations
diff --git a/pandas/core/generic.py b/pandas/core/generic.py
index 2bb492055bcd0..869062bd231fe 100644
--- a/pandas/core/generic.py
+++ b/pandas/core/generic.py
@@ -3783,7 +3783,8 @@ def asof(self, where, subset=None):
 
         .. versionadded:: 0.19.0 For DataFrame
 
-        If there is no good value, NaN is returned.
+        If there is no good value, NaN is returned for a Series
+        a Series of NaN values for a DataFrame
 
         Parameters
         ----------
@@ -3839,6 +3840,9 @@ def asof(self, where, subset=None):
                 start = start.ordinal
 
             if where < start:
+                if not is_series:
+                    from pandas import Series
+                    return Series(index=self.columns, name=where)
                 return np.nan
 
             # It's always much faster to use a *while* loop here for
diff --git a/pandas/tests/frame/test_asof.py b/pandas/tests/frame/test_asof.py
index 47d56c39757db..f68219120b48e 100644
--- a/pandas/tests/frame/test_asof.py
+++ b/pandas/tests/frame/test_asof.py
@@ -3,9 +3,10 @@
 import nose
 
 import numpy as np
-from pandas import DataFrame, date_range
+from pandas import (DataFrame, date_range, Timestamp, Series,
+                    to_datetime)
 
-from pandas.util.testing import assert_frame_equal
+from pandas.util.testing import assert_frame_equal, assert_series_equal
 import pandas.util.testing as tm
 
 from .common import TestData
@@ -67,6 +68,23 @@ def test_subset(self):
 
         assert_frame_equal(result, expected)
 
+    def test_missing(self):
+        # GH 15118
+        # no match found - `where` value before earliest date in index
+        N = 10
+        rng = date_range('1/1/1990', periods=N, freq='53s')
+        df = DataFrame({'A': np.arange(N), 'B': np.arange(N)},
+                       index=rng)
+        result = df.asof('1989-12-31')
+
+        expected = Series(index=['A', 'B'], name=Timestamp('1989-12-31'))
+        assert_series_equal(result, expected)
+
+        result = df.asof(to_datetime(['1989-12-31']))
+        expected = DataFrame(index=to_datetime(['1989-12-31']),
+                             columns=['A', 'B'], dtype='float64')
+        assert_frame_equal(result, expected)
+
 if __name__ == '__main__':
     nose.runmodule(argv=[__file__, '-vvs', '-x', '--pdb', '--pdb-failure'],
                    exit=False)