Printed from https://ideas.repec.org/s/now/jnlcfr.html
Content
Undated material is presented at the end, although it may be more recent than other items
August 2023, Volume 12, Issue 1-4
- 1-7 Introduction
by Juhani T. Linnainmaa - 9-56 The Cross-Section of Volatility and Expected Returns: Then and Now
by Andrew Detzel & Jefferson Duarte & Avraham Kamara & Stephan Siegel & Celine Sun - 57-124 The Fu (2009) Positive Relation Between Idiosyncratic Volatility and Expected Returns is Due to Look-Ahead Bias
by Seongkyu Gilbert Park & K. C. John Wei & Linti Zhang - 125-170 Has Idiosyncratic Volatility Increased? Not in Recent Times
by Mardy Chiah & Philip Gharghori & Angel Zhong - 171-202 Trend and Reversal of Idiosyncratic Volatility Revisited
by Markus Leippold & Michal Svatoň - 203-223 Idiosyncratic Equity Risk Two Decades Later
by John Y. Campbell & Martin Lettau & Burton Malkiel & Yexiao Xu - 225-270 A New Look at Expected Stock Returns and Volatility
by Russell P. Robins & Geoffrey Peter Smith - 271-307 Expected Stock Market Returns and Volatility: Three Decades Later
by Haimanot Kassa & Feifei Wang & Yan Xuemin (Sterling) - 309-354 Asset Pricing with Systematic Skewness: Two Decades Later
by Dan Gabriel Anghel & Petre Caraiani & Alina RoÅŸu & Ioanid RoÅŸu - 355-366 Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence
by Campbell R. Harvey & Akhtar Siddique - 367-387 Better Performance of Mutual Funds with Lower R2’s Does Not Suggest that Active Management Pays
by Juan Carlos MatallÃn-Sáez
August 2022, Volume 11, Issue 3-4
- 431-471 The Jobs Act Did Not Raise IPO Underpricing
by Even-Tov Omri & N. Patatoukas Panos & S. Yoon Young - 473-504 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)
by Yu-An Chen & Dan Palmon - 505-539 High Funding Risk and Low Hedge Fund Returns
by Sven Klingler - 541-592 Scale and Performance in Active Management are Not Negatively Related
by John Adams & Darren Hayunga & Sattar Mansi - 593-611 Diseconomies of Scale in Active Management: Robust Evidence
by Luboš Pástor & Robert F. Stambaugh & Lucian A. Taylor & Min Zhu - 613-646 Rest in Peace Post-Earnings Announcement Drift
by Charles Martineau - 647-675 It Could Be Overreaction, Not Lottery Seeking, That Is Behind Bali, Cakici and Whitelaw’s Max Effect
by Jake Gorman & Farida Akhtar & Robert B. Durand & John Gould - 677-745 Clientele Effect in Sovereign Bonds: Evidence From Islamic Sukuk Bonds in Malaysia
by Minxia Chen & Joseph Cherian & Ziyun Li & Yuping Shao & Marti G. Subrahmanyam
May 2022, Volume 11, Issue 2
- 207-264 Open Source Cross-Sectional Asset Pricing
by Andrew Y. Chen & Tom Zimmermann - 265-297 An Intangible-Adjusted Book-to-Market Ratio Still Predicts Stock Returns
by Hyuna Park - 299-332 Intangible Value
by Andrea L. Eisfeldt & Edward T. Kim & Dimitris Papanikolaou - 333-360 Explaining the Recent Failure of Value Investing
by Baruch Lev & Srivastava Anup - 361-373 Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios
by Thiago de Oliveira Souza - 375-381 Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment
by Bryan Kelly & Seth Pruitt - 383-429 Risk Neutral Skewness Predicts Price Rebounds and So Can Improve Momentum Performance
by Paul Borochin & Yanhui Zhao
February 2022, Volume 11, Issue 1
- 1-36 Understanding the Performance of Components in Betting Against Beta
by Xing Han - 37-64 Simply Better Market Betas
by Ivo Welch - 65-77 Equity Premium Forecasts Tend to Perform Worse Against a Buy-and-Hold Benchmark
by Gunter Löffler - 79-116 Economic Uncertainty, Aggregate Debt, and the Real Effects of Corporate Finance
by Timothy C. Johnson - 117-167 On Long-Run Stock Returns After Corporate Events
by James W. Kolari & Seppo Pynnonen & Ahmet M. Tuncez - 169-183 Long Run Stock Returns after Corporate Events Revisited
by Hendrik Bessembinder & Feng Zhang - 185-206 Is Economics Research Replicable? Sixty Published Papers From Thirteen Journals Say “Often Notâ€
by Andrew C. Chang & Phillip Li
August 2021, Volume 10, Issue 3
- 329-381 In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less
by Andrew Y. Chen & Fabian Winkler & Rebecca Wasyk - 383-408 High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model
by Samuel Kruger - 409-418 Stock Prices Still Move Too Much For Dividends But Less So: A Reappraisal of Shiller 1981
by Dan Gabriel Anghel & Petre Caraiani - 419-427 Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect
by Chaehyun Pyun - 429-444 Treasury Rates No Longer Predict Returns: A Reappraisal of Breen, Glosten and Jagannathan (1989)
by Philip Gray & Thanh Huynh - 445-464 Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog
by Erik Hjalmarsson & Tamás Kiss - 465-470 The Dog and the Straw Man: Response to “Dividend Growth Does Not Help Predict Returns Compared to Likelihood-Based Tests: An Anatomy of the Dogâ€
by John H. Cochrane
April 2021, Volume 10, Issue 1
- 1-20 The Supply and Demand of S&P 500 Put Options
by Constantinides, George M. & Lian, Lei - 21-55 Mispricing of Index Options with Respect to Stochastic Dominance Bounds?
by Wallmeier, Martin - 57-63 Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply
by Constantinides, George M. & Czerwonko, Michal & Jackwerth, Jens Carsten & Perrakis, Stylianos - 65-81 Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns
by Andreou, Panayiotis C. & Kagkadis, Anastasios & Maio, Paulo & Philip, Dennis - 83-123 Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications
by Hodrick, Robert J. & Tomunen, Tuomas
June 2020, Volume 9, Issue 1-2
- 1-28 Corporate Taxes and Capital Structure: A Long-Term Historical Perspective
by Fleckenstein, Matthias & Longstaff, Francis A. & Strebulaev, Ilya A. - 29-76 Real Options, Taxes and Financial Leverage
by Myers, Stewart C. & Read Jr., James A. - 77-114 Repo Priority Right and the Bankruptcy Code
by Kyung Auh, Jun & Sundaresan, Suresh - 115-155 Are Corporate Spin-offs Prone to Insider Trading?
by Augustin, Patrick & Brenner, Menachem & Hu, Jianfeng & Subrahmanyam, Marti G. - 157-199 Patents Do Not Measure Innovation Success
by Reeb, David M. & Zhao, Wanli - 201-265 The Choice of Valuation Techniques in Practice: Education Versus Profession
by Mukhlynina, Lilia & Nyborg, Kjell G. - 267-303 Are Competitive Banking Systems Really More Stable?
by Bandaranayake, Bandaranayake & Das, Kuntal K. & Reed, W. Robert - 305-351 Firms from Financially Developed Economies Do Not Save Less
by Vadilyev, Alexander A.
December 2019, Volume 8, Issue 1-2
- 1-9 Editorial: Replication in Financial Economics
by Harvey, Campbell R. - 11-13 Editorial: Replication? Do You Even Have Access to the Data?
by Spiegel, Matthew - 15-17 Editorial: Realistic Academic Standards and the Value of Replications
by Subrahmanyam, Avanidhar - 19-24 Editorial: An Opinionated FAQ
by Welch, Ivo - 25-28 Introduction
by Welch, Ivo - 29-71 Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication
by Holden, Craig W. & Nam, Jayoung - 73-110 Asset Pricing with Liquidity Risk: A Replication and Out-of-Sample Tests with the Recent US and the Japanese Market Data
by Kazumori, Eiichiro & Sharman, Raj & Takeda, Fumiko & Yu, Hong - 111-125 Economics with Market Liquidity Risk
by Acharya, Viral V. & Pedersen, Lasse Heje - 127-171 A Review of the Return—Illiquidity Relationship
by Drienko, Jozef & Smith, Tom & von Reibnitz, Anna - 173-202 Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication
by Harris, Larry & Amato, Andrea - 203-221 Illiquidity and Stock Returns: A Revisit
by Amihud, Yakov - 223-255 Liquidity Risk and Asset Pricing
by Li, Hongtao & Novy-Marx, Robert & Velikov, Mihail - 257-276 Liquidity Risk?
by Pontiff, Jeffrey & Singla, Rohit - 277-299 Liquidity Risk After 20 Years
by Pástor, Luboš & Stambaugh, Robert F. - 301-304 Reproducing, Extending, Updating, Replicating, Reexamining, and Reconciling
by Welch, Ivo
December 2018, Volume 7, Issue 2
- 201-240 Closed-End Fund IPOs: Sold, Not Bought
by Shao, Diana & Ritter, Jay R. - 273-329 Conditional Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: What Do the Outliers in the Data Tell Us?
by Adams, John & Hayunga, Darren & Mansi, Sattar - 331-372 Conditional Benchmarks and Predictors of Mutual Fund Performance
by Cederburg, Scott & O’Doherty, Michael S. & Savin, N. E. & Tiwari, Ashish - 373-377 Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: Fund Industry: What Do the Outliers in the Data Tell Us?: A Response
by Hong, Harrison & Jiang, Wenxi
July 2018, Volume 7, Issue 1
- 85-110 Why Do Firms Go Public Through Debt Instead of Equity?
by Glushkov, Denys & Khorana, Ajay & Rau, P. Raghavendra & Zhang, Jingxuan
March 2017, Volume 7, Issue 1
- 1-41 The Changing Nature of Institutional Stock Investing
by Blume, Marshall E. & Keim, Donald B. - 43-75 Catering Through Nominal Share Prices Revisited
by Perez, M. Fabricio & Shkilko, Andriy - 133-178 Obesity and Household Financial Distress
by Guthrie, Katherine & Sokolowsky, Jan - 179-209 Corporate Sport Sponsorship and Stock Returns: Evidence from the NFL
by Eisdorfer, Assaf & Kohl, Elizabeth
September 2017, Volume 6, Issue 2
- 211-262 The Carry Trade: Risks and Drawdowns
by Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin - 263-301 Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
by Campbell, John Y. & Sunderam, Adi & Viceira, Luis M. - 303-356 When Opportunity Knocks: Cross-Sectional Return Dispersion and Active Fund Performance
by von Reibnitz, Anna - 357-376 An Improved Version of the Volume-Synchronized Probability of Informed Trading
by Ke, Wen-Chyan & Lin, Hsiou-Wei William - 377-379 An Improved Version of the Volume-Synchronized Probability of Informed Trading: A Comment
by Easley, David & Lopez de Prado, Marcos & O'Hara, Maureen - 381-393 Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006)
by Borri, Nicola & Ragusa, Giuseppe
March 2017, Volume 6, Issue 1
- 77-132 Acquisitions as Lotteries? The Selection of Target-Firm Risk and its Impact on Merger Outcomes
by Schneider, Christoph & Spalt, Oliver
December 2016, Volume 5, Issue 2
- 177-206 Supply Constraints Are Not Valid Instrumental Variables for Home Prices Because They Are Correlated With Many Demand Factors
by Davidoff, Thomas - 207-304 Shock-Based Causal Inference in Corporate Finance and Accounting Research
by Atanasov, Vladimir & Black, Bernard - 305-350 Cumulative Prospect Theory, Aggregation, and Pricing
by Ingersoll, Jonathan E. - 351-398 Past Performance May Be an Illusion: Performance, Flows, and Fees in Mutual Funds
by Phillips, Blake & Pukthuanthong, Kantura & Rau, P. Raghavendra - 399-415 How Should Firms Hedge Market Risk?
by Chowdhry, Bhagwan & Schwartz, Eduardo - 417-424 No More Weekend Effect
by Robins, Russell P. & Smith, Geoffrey Peter
May 2016, Volume 5, Issue 1
- 1-40 Problems Using Aggregate Data to Infer Individual Behavior: Evidence from Law, Finance, and Ownership Concentration
by Holderness, Clifford G. - 41-83 Law and Ownership Reexamined
by Holderness, Clifford G. - 85-128 Uncertainty and Valuations
by Cremers, Martijn & Yan, Hongjun - 129-134 Uncertainty and Valuations: A Comment
by Pastor, Lubos & Veronesi, Pietro - 135-163 Market Reactions to Tangible and Intangible Information Revisited
by Gerakos, Joseph & Linnainmaa, Juhani T. - 165-175 Another Look at Market Responses to Tangible and Intangible Information
by Daniel, Kent & Titman, Sheridan
June 2015, Volume 4, Issue 1
- 1-44 The Cross-section of Expected Stock Returns
by Lewellen, Jonathan - 45-115 Seasonal Variation in Treasury Returns
by Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. - 117-138 A Note on the Sources of Portfolio Returns: Underlying Stock Returns and the Excess Growth Rate
by Greene, Jason T. & Rakowski, David - 139-148 (Im)Possible Frontiers: A Comment
by Levy, Moshe & Roll, Richard - 149-155 Always Possible Frontiers
by Ingersoll, Jr., Jonathan E. - 157-171 Reply to “(Im)Possible Frontiers: A Commentâ€
by Brennan, Thomas J. & Lo, Andrew W.
January 2014, Volume 3, Issue 1
- 1-48 Bank Deregulation and Racial Inequality in America
by Levine, Ross & Rubinstein, Yona & Levkov, Alexey - 49-83 Do Concentrated Institutional Investors Really Reduce Executive Compensation Whilst Raising Incentives?
by Smith, Gavin S. & Swan, Peter L. - 85-97 Institutional Investors and Executive Compensation Redux: A Comment on "Do Concentrated Institutional Investors Really Reduce Executive Compensation Whilst Raising Incentives"
by Hartzell, Jay C. & Starks, Laura T. - 99-152 Incentive Contracts are not Rigged by Powerful CEOs
by Wan, Kam-Ming - 153-190 Compensation Rigging by Powerful CEOs: A Reply and Cross-Sectional Evidence
by Morse, Adair & Nanda, Vikram & Seru, Amit
July 2013, Volume 2, Issue 1
- 1-48 Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
by Cremers, Martijn & Petajisto, Antti & Zitzewitz, Eric - 049-099 The Housing Wealth Effect: The Crucial Roles of Demographics, Wealth Distribution and Wealth Shares
by Calomiris, Charles W. & Longhofer, Stanley D. & Miles, William - 101-128 Wealth Effects Revisited 1975-2012
by Case, Karl E. & Quigley, John M. & Shiller, Robert J. - 131-172 A Critique of Recent Quantitative and Deep-Structure Modeling in Capital Structure Research and Beyond
by Welch, Ivo - 173-191 Dynamic Corporate Finance is Useful: A Comment on Welch (2013)
by Strebulaev, Ilya A. & Whited, Toni M. - 193-215 Model Before Measurement
by Hennessy, Christopher A.
January 2012, Volume 1, Issue 1
- 3-58 Corporate Debt Maturity and the Real Effects of the 2007 Credit Crisis
by Almeida, Heitor & Campello, Murillo & Laranjeira, Bruno & Weisbenner, Scott - 59-101 Capital Structure Choices
by Fama, Eugene F. & French, Kenneth R. - 103-139 Testing Factor-Model Explanations of Market Anomalies
by Daniel, Kent & Titman, Sheridan - 141-182 The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
by Beeler, Jason & Campbell, John Y. - 183-221 An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
by Bansal, Ravi & Kiku, Dana & Yaron, Amir