This is the editor's page (ivo welch), not the journal's page (managed by Alet Heezemans). Changes by the publisher may not be reflected back here. Ergo, papers on the NOW Publisher's Site always supersede the ones posted here.
2012, Vol 1
- Editorial
- Corporate Debt Maturity and the Real Effects of the 2007 Credit Crisis
- Capital Structure Choices
- Testing Factor-Model Explanations of Market Anomalies
- The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
- An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
2013, Vol 2
- Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
- The Housing Wealth Effect: The Crucial Roles of Demographics, Wealth Distribution and Wealth Shares
- Wealth Effects Revisited 1975-2012
- Editor's Letter by Michael Weisbach
- A Critique of Recent Quantitative and Deep-Structure Modeling in Capital Structure Research and Beyond
- Dynamic Corporate Finance is Useful: A Comment on Welch (2013)
- Model Before Measurement
2014, Vol 3
- Bank Deregulation and Racial Inequality in America
- Do Concentrated Institutional Investors Really Reduce Executive Compensation Whilst Raising Incentives?
- Institutional Investors and Executive Compensation Redux:
A Comment on "Do Concentrated Institutional Investors Really Reduce Executive Compensation Whilst Raising Incentives" - Incentive Contracts are not Rigged by Powerful CEOs
- Compensation Rigging by Powerful CEOs: A Reply and Cross-Sectional Evidence
2016, Vol 5-1
- Holderness, Clifford G., Problems Using Aggregate Data to Infer Individual Behavior: Evidence from Law, Finance, and Ownership Concentration.
- Holderness, Clifford G., Law and Ownership Reexamined.
- Martijn Cremers and Hongjun Yan, Uncertainty and Valuations.
- Lubos Pastor and Pietro Veronesi, Uncertainty and Valuations: A Comment.
- Joseph Gerakos and Juhani T. Linnainmaa, Market reactions to tangible and intangible information revisited.
- Sheridan Titman and Kent Daniel. Another Look at Market Responses to Tangible and Intangible Information.
2016, Vol 5-2
- Thomas Davidoff. Supply Constraints Are Not Valid Instrumental Variables for Home Prices Because They Are Correlated With Many Demand Factors.
- Vladimir Atanasov and Bernard Black. Shock-Based Causal Inference in Corporate Finance and Accounting Research.
- Jonathan E. Ingersoll, Jr., Cumulative Prospect Theory, Aggregation, and Pricing.
- Blake Phillips, Kuntara Pukthuanthong, and P. Raghavendra Rau, Past performance may be an illusion: Performance, flows, and fees in mutual funds.
- Bhagwan Chowdhry and Eduardo Schwartz, How Should Firms Hedge Market Risk?
- Russell P. Robins and Geoffrey Peter Smith, No More Weekend Effect.
2017, Vol 6-1
- Christoph Schneider and Oliver Spalt, Acquisitions as Lotteries? The Selection of Target-Firm Risk and its Impact on Merger Outcomes.
- Katherine Guthrie and Jan Sokolowsky, Obesity and Household Financial Distress.
- Assaf Eisdorfer and Elizabeth Kohl, Corporate Sport Sponsorship and Stock Returns: Evidence from the NFL.
- M. Fabricio Perez and Andriy Shkilko, Catering Through Nominal Share Prices Revisited.
- Marshall E. Blume and Donald B. Keim, The Changing Nature of Institutional Investors.
2017, Vol 6-2
- Kent Daniel and Robert J. Hodrick and Zhongjin Lu. The Carry Trade: Risks and Drawdowns.
- John Y. Campbell, Adi Sunderam, and Luis M. Viceira, Inflation Hedges? The Changing Risks of Nominal Bonds.
- Anna von Reibnitz, When Opportunity Knocks: Cross-Sectional Return Dispersion and Active Fund Performance.
- Wen-Chyan Ke and Hsiou-Wei William Lin, An Improved Version of the Volume-Synchronized Probability of Informed Trading (VPIN).
- David Easley and Marcos Lopez de Prado and Maureen O'Hara, An Improved Version of the Volume-Synchronized Probability of Informed Trading (VPIN): A Comment.
- Nicola Borri and Giuseppe Ragusa. Sensitivity, Moment Conditions, and the Risk-free Rate in Yogo (2006) .
2018, Vol 7-1
- Kathryn Dewenter, Catherine Schrand, and Clare Wang. The impact of currency risk on US MNCs: New evidence from returns and cross-border investment around currency crises.
- Dudley, Evan, and Christopher James. Capital-structure changes around IPOs.
- Alti, Aydogan. Response: Capital-structure changes around IPOs: A Comment.
- Denys Glushkov and Ajay Khorana and P. Raghavendra Rau and Jingxuan Zhang. Why do firms go public through debt instead of equity?
- Ming Dong and Marie Dutordoir and Chris Veld. Why do firms issue convertible bonds? .
- Lewis Gaul and Jonathan Jones and Pinar Uysal. Takeover Defense Provisions, Firm Volatility, and Corporate Loan Finance.
- Sudheer Chava and Dmitry Livdan and Amiyatosh Purnanandam Shareholder Rights Do Affect the Cost of Bank Loans..
2018, Vol 7-2
- Diana Shao and Jay Ritter. Closed-end Fund IPOs: Sold, Not Bought.
- Edwin J. Elton and Martin J. Gruber and Andre de Souza. Fund of Funds Selection of Mutual Funds.
- John Adams, Darren Hayunga and Sattar Mansi. Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: What Do the Outliers in the Data Tell Us?
- Harrison Hong and Wenxi Jiang. A Response to "Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: What Do the Outliers in the Data Tell Us?" by Adams, Hayunga, and Mansi
- Scott Cederburg, Michael S. O'Doherty, N. E. Savin, and Ashish Tiwari. Conditional Benchmarks and Predictors of Mutual Fund Performance.
2019, Vol 8-1/2: (Liquidity: Replications, Extensions, and Critique)
- Editorials:
- Welch, Ivo. Introduction.
- Original: acharya-pedersen jfe 2005
- Craig W. Holden and Jayoung Nam. Do the LCAPM Predictions Hold? Replication and Extension Evidence
Code: replication.sas - Eiichiro Kazumori and Fei Fang and Raj Sharman and Fumiko Takeda and Hong Yu. Asset Pricing with Liquidity Risk: A Replication and Out-of-Sample Tests with the Recent US and the Japanese Market Data.
Code: - Viral V. Acharya and Lasse Heje Pedersen. Economics with Market Liquidity Risk.
- Craig W. Holden and Jayoung Nam. Do the LCAPM Predictions Hold? Replication and Extension Evidence
- Original: amihud jfm 2002
- Jozef Drienko and Tom Smith and Anna von Reibnitz. A Review of the Return-Illiquidity Relationship
Code: - Larry Harris and Andrea Amato. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication
Code: - Yakov Amihud, Illiquidity and Stock Returns: A Revisit
- Jozef Drienko and Tom Smith and Anna von Reibnitz. A Review of the Return-Illiquidity Relationship
- Original: pastor-stambaugh jpe 2003
- Hongtao Li and Robert Novy-Marx and Mihail Velikov. Liquidity Risk and Asset Pricing
Code: - Jeffrey Pontiff and Rohit Singla. Liquidity Risk?
Code: - Lubos Pastor and Robert F. Stambaugh. Liquidity Risk After 20 Years
- Hongtao Li and Robert Novy-Marx and Mihail Velikov. Liquidity Risk and Asset Pricing
- Welch, Ivo. Reproducing, Extending, Updating, Replicating, Reexamining, and Reconciling
2019, Vol 9-1/2
- Matthias Fleckenstein, Francis A. Longstaff, and Ilya A. Strebulaev. Corporate Taxes and Capital Structure: A Long-term Historical Perspective.
- Stewart C. Myers and James A. Read, Jr. Real Options, Taxes and Financial Leverage.
- Jun Kyung Auh and Suresh Sundaresan. Repo Priority Right and the Bankruptcy Code.
- Patrick Augustin and Menachem Brenner and Jianfeng Hu and Marti G. Subrahmanyam. Are Corporate Spin-offs Prone to Insider Trading.
- David M. Reeb and Wanli Zhao. Patents Do Not Measure Innovation Success, Feb 2019.
- Lilia Mukhlynina and Kjell G. Nyborg. The Choice of Valuation Techniques in Practice: Education versus Profession. (Supp)
- Samangi Bandaranayake, Kuntal Das, and W. Robert Reed. Are Competitive Banking Systems Really More Stable? (corrected May 2018).
- Alexander A. Vadilyev. Firms from Financially Developed Economies Do Not Save Less.
2021, Vol 10-1
- 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.
- 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.
2021, Vol 10-2
- Grace Xing Hu and Jun Pan and Jiang Wang. Chinese Capital Market: An Empirical Overview.
- Ming Dong and Andreanne Tremblay. Does the Weather Influence Global Stock Returns?. October 2019. (web)
- Timothy B. Riley. Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006).
- James J. Choi and Kevin Zhao. Carhart (1997) Mutual Fund Performance Persistence Disappears Out of Sample. Data: choi2020carhart.zip.
- Juha Joenväärä, Mikko Kauppila, Robert Kosowski, and Pekka Tolonen. Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?, (data)
2021, Vol 10-3
- Andrew Y. Chen | Fabian Winkler | Rebecca Wasyk In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less
- Samuel Kruger High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model
- Dan Gabriel Anghel | Petre Caraiani Stock Prices Still Move Too Much For Dividends But Less So: A Reappraisal of Shiller 1981
- Chaehyun Pyun Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect
- Philip Gray | Thanh Huynh Treasury Rates No Longer Predict Returns: A Reappraisal of Breen, Glosten and Jagannathan (1989)
- Erik Hjalmarsson | Tamás Kiss Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog.