2019 and Beyond --- Cite as Volume 8+ for nowPlanned Volume 8-1 (some must change --- it's too long!).
- 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.
- 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 .
- Samangi Bandaranayake, Kuntal Das, and W. Robert Reed. Are Competitive Banking Systems Really More Stable? (corrected May 2018).
- Hendrik Bessembinder and Feng Zhang. Long Run Stock Returns after Corporate Events Revisited .
- George D. Blind and Stefania Lottanti von Mandach. Not a Coincidence: Sons-in-Law as Successors in Successful Japanese Family Firms .
- Patrick Augustin and Menachem Brenner and Jianfeng Hu and Marti G. Subrahmanyam. Are Corporate Spin-offs Prone to Insider Trading.
- 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.
- George M. Constantinides and Lei Lan. The Supply and Demand of S&P 500 Put Options.
- Lilia Mukhlynina and Kjell G. Nyborg. The Choice of Valuation Techniques in Practice: Education versus Profession. (Supp)
- Andrew C. Chang and Phillip Li. Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say "Often Not".
- John E. Hund and Donald Monk and Sheri Tice. A Manufactured Diversification Discount.
- Timothy B. Riley. Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006).
- David M. Reeb and Wanli Zhao. Patents Do Not Measure Innovation Success, Feb 2019.
- Juha Joenväärä, Mikko Kauppila, Robert Kosowski, and Pekka Tolonen. Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?, March 2019. (data)
- 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)
Liquidity: Replications, Extensions, and Critique (2019, Vol 8-2)
The CFR has invited replications of the three most influential liquidity papers of the last 20 years (RFP Liquidity call). The papers and lead authors will be
- pastor-stambaugh 2003:
- acharya-pedersen 2005:
- Eiichiro Kazumori. Asset Pricing with Liquidity Risk: A Replication and Out-of-Sample Tests with the Recent US and the Japanese Market Data. Sep 2018. Accepted.
- Craig W. Holden and Jayoung Nam. Testing the LCAPM vs. Generalized Liquidity-Adjusted Asset Pricing: New Evidence and New Perspectives. May 2018. Accepted. Code: replication.sas, extension.sas
- amihud 2002:
- Larry Harris and Andrea Amato. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication. Jan 2018, accepted.
- Jozef Drienko and Tom Smith and Anna von Reibnitz. A Review of the Return-Illiquidity Relationship. Feb 2017. accepted.
- Yakov Amihud, Illiquidity and Stock Returns: A Revisit Jul 30, 2018, accepted.
Please do not consider these papers definitive until we have collected them and offered the original authors a chance to respond.