Forthcoming Papers
This is the editor's page (ivo welch), not the journal's page (managed by Alet Heezemans). The journal editor and typesetter pull the final author version from this webpage, then collaboratively edit the author for English, and finally typeset the CFR version of the article. Any changes in the publisher's process are not reflected back here. Ergo, papers on the NOW Publisher's Site always supersede the ones posted here.
If you have an accepted paper and it is not on this website or on NOW publisher's website, please send an email to ivo welch.
Future Issues (No Ordering)
The volumes/issues have not yet been determined for the papers below. We try to bundle papers with similar topics to increase reader interest, although this changes the order of acceptance time and publication time across papers. You can cite the papers below as CFR, forthcoming, for now.
Corporate Financy
- Eric de Bodt and Jean-Gabriel Cousin and Micah S. Officer. The relation between equity misvaluation and stock payment in mergers is spurious
- Joseph T. Halford and John J. McConnell and Valeriy Sibilkov and Nataliya Zaiats. Existing Methods Provide Unreliable Estimates of the Marginal Value of Cash.
- Alice Bonaimé, Kathleen Kahle, David Moore, and Alok Nemani. Employee Compensation Still Impact Payout Policy.
- Nilanjan Basu and Imants Paeglis and Melissa Toffanin. Insider ownership and firm value: one shape does not fit all.
- Heitor Almeida, Murillo Campello, and Michael S. Weisbach. The Cash Flow Sensitivity of Cash: Replication, Extension, and Robustness.
Corporate Financy / Closer To AP
- John E. Hund and Donald Monk and Sheri Tice. The Berger-Ofek Diversification Discount is Just Poor Firm Matching. Note: Berger-Ofek have declined the invitation to write a response.
- Yongjin Kim and Bryan R. Routledge. Does Macro-Asset Pricing Matter for Corporate Finance.
- Timothy C. Johnson.
Economic Uncertainty, Aggregate Debt, and the Real Effects of Corporate Finance (appendices to go online in printed version, but not in electronic version). - James W. Kolari and Seppo Pynnonen and Ahmet M. Tuncez. On long-run stock returns after corporate events .
- Hendrik Bessembinder and Feng Zhang. Long Run Stock Returns after Corporate Events Revisited.
- Russell:
- Wei Wei and Alex Young. Selection Bias or Treatment Effect? A Re-Examination of Russell 1000/2000 Index Reconstitution. Not for Publication: Regression Discontinuity Versus Instrumental Variables: Response to Appel, Gormley, and Keim (2020)
- Simon Glossner. Russell Index Reconstitutions, Institutional Investors, and Corporate Social Responsibility .
- Appel, Gormley, Keim. Identification using Russell 1000/2000 index assignments: A discussion of methodologies.
- Liu, Clark, and Baolian Wang. Demand Curves for Stocks Slope Down in the Long Run: Evidence from the Chinese Split-Share Structure Reform.
Asset Pricy
- Andrew Y Chen and Tom Zimmerman. Open Source Cross-Sectional Asset Pricing. will maintain extensive website of factors. LINK http://www.openassetpricing.com.
- Hyuna Park. An Intangible-adjusted Book-to-market Ratio Still Predicts Stock Returns.
- Xing Han. Understanding the Performance of Components in Betting Against Beta. (Included appendix will become online.)
- Andrew Y. Chen and Fabian Winkler and Rebecca Wasyk. In full-information estimates, long-run risks explain at most a quarter of p/d variance, and habit explains even less.
- Erik Hjalmarsson and Tamas Kiss. Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog.
- Paul Borochin and Yanhui Zhao. Risk Neutral Skewness Predicts Price Rebounds and so can Improve Momentum Performance.
- Samuel Kruger. High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al. Valuation Risk Model.
- Sven Klingler. High Funding Risk and Low Hedge Fund Returns.
- Charles Martineau. Rest in Peace Post-Earnings Announcement Drift.
- Omri Even-Tov and Panos N. Patatoukas and Young S. Yoon. The Jobs Act Did Not Raise IPO Underpricing.
- Yu-An Chen and Dan Palmon. Analyst Recommendations Respond More Symmetrically to Major News after Regulation FD and the Global Settlement: A Replication and Extension of Conrad, Cornell, Landsman, and Rountree (2006)
- John Adams, Darren Hayunga, and Sattar Mansi. Scale and Performance in Active Management are Not Negatively Related.
- Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor, and Min Zhu. Diseconomies of Scale in Active Management: Robust Evidence.
- Thiago de Oliveira Souza. Dissecting market expectations in the cross-section of book-to-market ratios.
- Bryan Kelly and Seth Pruitt. Dissecting market expectations in the cross-section of book-to-market ratios: A Comment.
- Kuan-Cheng Ko and Nien-Tzu Yang. The Pre-Holiday Premium of Ariel (1990) Has Largely Become A Small-Firm Effect Out of Sample.
- Gunter Löffler, Equity Premium Forecasts Tend to Perform Worse Against a Buy-and-Hold Benchmark.
Not Easily Classifiable
- Andrew C. Chang and Phillip Li. Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say "Often Not".
- Ivo Welch. Simply Better Betas. Note: Handling editor was Campbell Harvey.
- Asset Pricy -- Derivatives: see 10-1.
Special Issue on Higher Moments (Ed: Juhani Linnainmaa)
- Andrew Detzel and Jefferson Duarte and Avraham Kamara and Stephan Siegel and Celine Sun. The Cross-Section of Volatility and Expected Returns: Then and Now.
- Seongkyu Gilbert Park and KC John Wei and Linti Zhang. The Fu (2009) Positive Relation between Idiosyncratic Volatility and Expected Returns Is Due to Look-Ahead Bias. (Code: sas and matlab code.)
- Mardy Chiah, Philip Gharghori, and Angel Zhong, Has Idiosyncratic Volatility Increased? Not in Recent Times. Sep 2020.
- Chaehyun Pyun. Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect.
- Markus Leippold and Michal Svaton. Trend and Reversal of Idiosyncratic Volatility Revisited.
- Russell P. Robins and Geoffrey Peter Smith, A New Look at Expected Stock Returns and Volatility.
- Juan Carlos Matallin-Saez, Better performance of mutual funds with lower R2's does not suggest that active management pays (web annex).
- Haimanot Kassa and Feifei Wang and Xuemin (Sterling) Yan. Expected Stock Market Returns and Volatility: Three Decades Later.
Replication Updates
- Petre Caraiani and Dan Gabriel Anghel. Stock Prices Still Move Too Much For Dividends But Less So: A Reappraisal of Shiller 1981. (Programs and Data)
- Philip Gray and Thanh Huynh. Treasury Rates No Longer Predict Returns: A Reappraisal of Breen, Glosten and Jagannathan (1989). (Programs and Data)
Replication papers could eventually be printed either in their areas or with one another. This has not yet been determined.
We try to bunch papers into volumes based on similarity. Thus, it may happen that some papers are published early, while other papers are published late. The idea is that papers have externalities on one another, making them more likely to be of interest when grouped together with other more similar papers.
Whenever possible, the CFR requests that authors choose titles that make the key point of their paper clear even without reading the abstract.