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.
Future Issues (No Ordering)
Planned Volumes beyond #8. The volumes/issues have not yet been determined. We will try to bundle papers with similar topics to increase reader interest, although this changes the order of acceptance time and publication time across papers. However, you can cite these papers as CFR, 2020, forthcoming, for now.
- 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.
- George D. Blind and Stefania Lottanti von Mandach. Not a Coincidence: Sons-in-Law as Successors in Successful Japanese Family Firms . (R&R)
- Vikas Mehrotra and Randall Morck and Jung-wook Shim and Yupana Wiwattankantang, Adoptive Expectations Are Impregnable.
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.
- Wei Wei and Alex Young. Selection Bias or Treatment Effect? A Re-Examination of Russell 1000/2000 Index Reconstitution.
- Simon Glossner. Russell Index Reconstitutions, Institutional Investors, and Corporate Social Responsibility .
Asset Pricy -- Derivatives (planned 10 2)
- George M. Constantinides and Lei Lian. The Supply and Demand of S&P 500 Put Options.
- Martin Wallmeier. Mispricing of Index Options with Respect to Stochastic Dominance Bounds?
- George M. Constantinides and Michal Czerwonko and Jens Carsten Jackwerth and Stylianos Perrakis. Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply.
- Panayiotis C. Andreou and Anastasios Kagkadis and Paulo Maio and Dennis Philip. Dispersion in options investors’ versus analysts’ expectations: Predictive inference for stock returns (Supplementals), August 2019.
Asset Pricy -- Other (planned 10 2)
- Hyuna Park. An Intangible-adjusted Book-to-market Ratio Still Predicts Stock Returns.
- Andrew C. Chang and Phillip Li. Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say "Often Not".
- Robert J. Hodrick and Tuomas Tomunen. Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications, Jul 2019. Data and Programs.
- Juha Joenväärä, Mikko Kauppila, Robert Kosowski, and Pekka Tolonen. Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?, March 2019. (data)
- Xing Han. Understanding the Performance of Components in Betting Against Beta. (Included appendix will become online.)
- Ming Dong and Andreanne Tremblay. Does the Weather Influence Global Stock Returns?. October 2019. (web)
- 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.
- John Cochrane. The Dog and the Straw Man: Response to Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog.
- Paul Borochin and Yanhui Zhou. 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.
- Grace Xing Hu and Jun Pan and Jiang Wang. Chinese Capital Market: An Empirical Overview.
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.
- Chaehyun Pyun. Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect.
- Timothy B. Riley. Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006).
- 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)
- James J. Choi and Kevin Zhao. Carhart (1997) Mutual Fund Performance Persistence Disappears Out of Sample. Data: choi2020carhart.zip.
Replication papers could eventually be printed either in their areas or with one another. This has not yet been determined.
Whenever possible, the CFR requests that authors choose titles that make the key point of their paper clear even without reading the abstract.