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

• Ivo Welch Editorial
• Heitor Almeida; Murillo Campello; Bruno Laranjeira; Scott Weisbenner Corporate Debt Maturity and the Real Effects of the 2007 Credit Crisis
• Eugene F. Fama; Kenneth R. French Capital Structure Choices
• Kent Daniel; Sheridan Titman Testing Factor-Model Explanations of Market Anomalies
• Jason Beeler; John Y. Campbell The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
• Ravi Bansal; Dana Kiku; Amir Yaron An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

2013, Vol 2

• Martijn Cremers; Antti Petajisto; Eric Zitzewitz Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
• Charles W. Calomiris; Stanley D. Longhofer; William Miles The Housing Wealth Effect: The Crucial Roles of Demographics, Wealth Distribution and Wealth Shares
• Karl E. Case; John M. Quigley; Robert J. Shiller Wealth Effects Revisited 1975-2012
• Michael Weisbach Editor's Letter by Michael Weisbach
• Ivo Welch A Critique of Recent Quantitative and Deep-Structure Modeling in Capital Structure Research and Beyond
• Ilya A. Strebulaev; Toni M. Whited Dynamic Corporate Finance is Useful: A Comment on Welch (2013)
• Christopher A. Hennessy Model Before Measurement

2014, Vol 3

• Ross Levine; Yona Rubinstein; Alexey Levkov Bank Deregulation and Racial Inequality in America
• Gavin S. Smith; Peter L. Swan Do Concentrated Institutional Investors Really Reduce Executive Compensation Whilst Raising Incentives?
• Jay C. Hartzell; Laura T. Starks Institutional Investors and Executive Compensation Redux:
  A Comment on "Do Concentrated Institutional Investors Really Reduce Executive Compensation Whilst Raising Incentives"
• Kam-Ming Wan Incentive Contracts are not Rigged by Powerful CEOs
• Adair Morse; Vikram Nanda; Amit Seru Compensation Rigging by Powerful CEOs: A Reply and Cross-Sectional Evidence

2015, Vol 4

• Jonathan Lewellen The Cross-section of Expected Stock Returns
• Mark J. Kamstra; Lisa A. Kramer; Maurice D. Levi Seasonal Variation in Treasury Returns
• Jason T. Greene; David Rakowski A Note on the Sources of Portfolio Returns: Underlying Stock Returns and the Excess Growth Rate
• Moshe Levy; Richard Roll (Im)Possible Frontiers: A Comment
• Jonathan E. Ingersoll Always Possible Frontiers
• Thomas J. Brennan; Andrew W. Lo Reply to '(Im)Possible Frontiers: A Comment'

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:
  • Campbell Harvey, Editorial
  • Matthew Spiegel, Editorial
  • Avanidhar Subrahmanyam, Editorial
  • Ivo Welch, Editorial
• 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.
• 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
• 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
• 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)

11-1 (Theme: Equity Premium, Beta, Corporate Finance)

• 11-1 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).
• 11-1 James W. Kolari and Seppo Pynnonen and Ahmet M. Tuncez. On long-run stock returns after corporate events .
  • 11-1 Hendrik Bessembinder and Feng Zhang. Long Run Stock Returns after Corporate Events Revisited.
• 11-1 Xing Han. Understanding the Performance of Components in Betting Against Beta. (Included appendix will become online.)
• 11-1 Gunter Löffler, Equity Premium Forecasts Tend to Perform Worse Against a Buy-and-Hold Benchmark.
• 11-1 Andrew C. Chang and Phillip Li. Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say "Often Not".
• 11-1 Ivo Welch. Simply Better Betas. Note: Handling editor was Campbell Harvey.

11-2 (Theme: Asset Pricy)

• 11-2 Andrew Y Chen and Tom Zimmerman. Open Source Cross-Sectional Asset Pricing. will maintain extensive website of factors. LINK http://www.openassetpricing.com.
• 11-2 Hyuna Park. An Intangible-adjusted Book-to-market Ratio Still Predicts Stock Returns.
• 11-2 Andrea L. Eisfeldt, Edward T. Kim, Dimitris Papanikolaou. Intangible Value.
• 11-2 Baruch Lev and Anup Srivastava, Explaining the Recent Failure of Value Investing.
• 11-2 Thiago de Oliveira Souza. Dissecting market expectations in the cross-section of book-to-market ratios.
  • 11-2 Bryan Kelly and Seth Pruitt. Dissecting market expectations in the cross-section of book-to-market ratios: A Comment.
• 11-2 Paul Borochin and Yanhui Zhao. Risk Neutral Skewness Predicts Price Rebounds and so can Improve Momentum Performance.

11-3 Special Issue on Higher Moments (Ed: Juhani Linnainmaa)

• 11-3 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.
• 11-3 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.)
• 11-3 Mardy Chiah, Philip Gharghori, and Angel Zhong, Has Idiosyncratic Volatility Increased? Not in Recent Times. Sep 2020.
• 11-3 John Y. Campbell and Martin Lettau and Burton Malkiel and Yexiao Xu. Idiosyncratic Equity Risk Two Decades Later, Mar 2022.
• 11-3 Markus Leippold and Michal Svaton. Trend and Reversal of Idiosyncratic Volatility Revisited.
• 11-3 Russell P. Robins and Geoffrey Peter Smith, A New Look at Expected Stock Returns and Volatility.
• 11-3 Juan Carlos Matallin-Saez, Better performance of mutual funds with lower R2's does not suggest that active management pays (web annex).
• 11-3 Haimanot Kassa and Feifei Wang and Xuemin (Sterling) Yan. Expected Stock Market Returns and Volatility: Three Decades Later.
• 11-3 Anghel, Dan Gabriel and Petre Caraiani and Alina Rosu and Ioanid Rosu. Asset Pricing with Systematic Skewness.
• 11-3 Harvey, Campbell R. and Akhtar Siddique. /Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence.

11-4 (Theme: Asset Pricy)

• 11-4 Omri Even-Tov and Panos N. Patatoukas and Young S. Yoon. The Jobs Act Did Not Raise IPO Underpricing.
• 11-4 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)
• 11-4 Sven Klingler. High Funding Risk and Low Hedge Fund Returns.
• 11-4 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.
• 11-4 Charles Martineau. Rest in Peace Post-Earnings Announcement Drift.
• 11-4 Gorman, Jake, Farida Akhtar, Robert B Durand and John Gould, It Could Be Overreaction, Not Lottery-Seeking, That Is Behind Bali, Cakici And Whitelaw's Max Effect.
• 11-4 Chen, Minxia, and Joseph Cherian and Ziyun Li and Yuping Shao and Marti G. Subramanyam, Clientele Effect in Sovereign Bonds: Evidence from Malaysia.

12-1/2/3/4 (Theme: Volatility and Higher Moments)

• 12- 1/4 Juhani T. Linnainmaa. Special Issue on Volatility and Higher Moments: Introduction
• 12- 1/4 Andrew Detzel | Jefferson Duarte | Avraham Kamara | Stephan Siegel | Celine Sun. The Cross-Section of Volatility and Expected Returns: Then and Now
• 12- 1/4 Seongkyu Gilbert Park | K. C. John Wei | Linti Zhang. The Fu (2009) Positive Relation Between Idiosyncratic Volatility and Expected Returns is Due to Look-Ahead Bias
• 12- 1/4 Mardy Chiah | Philip Gharghori | Angel Zhong. Has Idiosyncratic Volatility Increased? Not in Recent Times
• 12- 1/4 Markus Leippold | Michal Svatoň. Trend and Reversal of Idiosyncratic Volatility Revisited
• 12- 1/4 John Y. Campbell | Martin Lettau | Burton Malkiel | Yexiao Xu. Idiosyncratic Equity Risk Two Decades Later
• 12- 1/4 Russell P. Robins | Geoffrey Peter Smith. A New Look at Expected Stock Returns and Volatility
• 12- 1/4 Haimanot Kassa | Feifei Wang | Yan Xuemin (Sterling). Expected Stock Market Returns and Volatility: Three Decades Later
• 12- 1/4 Dan Gabriel Anghel | Petre Caraiani | Alina Roşu | Ioanid Roşu. Asset Pricing with Systematic Skewness: Two Decades Later
• 12- 1/4 Campbell R. Harvey | Akhtar Siddique. Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence
• 12- 1/4 Juan Carlos Matallín-Sáez Better Performance of Mutual Funds with Lower R2’s Does Not Suggest that Active Management Pays

13-1/2 (Theme: Corporate Financy / Closer To AP)

• 13-1/2 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.
• 13-1/2 Yongjin Kim and Bryan R. Routledge. Does Macro-Asset Pricing Matter for Corporate Finance.
• Russell:
  • 13-1/2 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)
  • 13-1/2 Simon Glossner. Russell Index Reconstitutions, Institutional Investors, and Corporate Social Responsibility .
  • 13-1/2 Appel, Gormley, Keim. Identification using Russell 1000/2000 index assignments: A discussion of methodologies.
• 13-1/2 Liu, Clark, and Baolian Wang. Demand Curves for Stocks Slope Down in the Long Run: Evidence from the Chinese Split-Share Structure Reform.

13-3/4 (Theme: Corporate Financy)

• 13-3/4 Eric de Bodt and Jean-Gabriel Cousin and Micah S. Officer. The relation between equity misvaluation and stock payment in mergers is spurious
• 13-3/4 Joseph T. Halford and John J. McConnell and Valeriy Sibilkov and Nataliya Zaiats. Existing Methods Provide Unreliable Estimates of the Marginal Value of Cash.
• 13-3/4 Heitor Almeida, Murillo Campello, and Michael S. Weisbach. The Cash Flow Sensitivity of Cash: Replication, Extension, and Robustness.
• Vikram K. Nanda and Alexander A. Vadilyev The Corporate Propensity to Dissave.
• 13-3/4 Alice Bonaimé, Kathleen Kahle, David Moore, and Alok Nemani. Employee Compensation Still Impact Payout Policy.
• 13-3/4 Nilanjan Basu and Imants Paeglis and Melissa Toffanin. Insider ownership and firm value: one shape does not fit all.
• 13-3/4 Zdrojewski, Antony, and Alexander W. Butler. Are two-way fixed-effect difference-in-differences estimates blowing smoke? A cautionary tale from state- level bank branching deregulation.
• (Short Replication Paper:) Kuan-Cheng Ko and Nien-Tzu Yang. The Pre-Holiday Premium of Ariel (1990) Has Largely Become A Small-Firm Effect Out of Sample.