Ivo Welch, Brown Economics: Unpublished Academic Research

This page is generally disorganized. I am not particularly good at keeping it up-to-date. So, consider this to be more a "flavor" than a definitive list. You may also try my     SSRN Author Page       or my     Published Research. There is a better chance that they have more recent work.

SSRN

My SSRN Author Page. I have resisted for a long time linking to directly to them, because it is a for-profit venture. But they are doing a good job so far, fair to authors and readers alike. Thanks to Mike Jensen for a great service to the profession.

Academic Working Papers

  1. Common Flaws in Empirical Capital Structure Research [Sep 2006]
  2. Investor Sentiment Measures [Jun 2006] — with Lily Qiu. Don't miss this one—especially the referee reports at the end.
  3. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction [Jan 2005] — with Amit Goyal.
  4. Aged and Recent Market Betas in Securities Pricing [Sep 2007] — with Gerard Hoberg.
  5. A Different Way to Estimate the Equity Premium (for Capm and One-Factor Model Use Only) [Dec 2007]

Academic Working Papers, Not To Be Submitted.

  1. The Consensus Estimate for the Equity Premium By Academic Financial Economists in December 2007 [Jan 2008]
  2. The Equity Premium Consensus Forecast Revisited. [September 2001] — solo.
    (No plans for submission. Please cite original paper in the JB, instead of this update.)
  3. The Equity Size Puzzle. [1999] — solo.
    (Will not be submitted. I wrote this when the Dow Jones was at 12,000. It argued that the stock market was overvalued based on fundamentals. Well, the market is no longer at 12,000, so this paper is less interesting.)
  4. A Note on "Predicting Returns with Financial Ratios" [December 2003] — with Amit Goyal.
    (The data is here.)
  5. An opinion piece, writing up The Top Achievements, Challenges, and Failures of Finance.

Other Resources, Writeups, Methods, and Data, of Interest Primarily to Academics

  1. Free herding estimator: welch2000jfe provides all necessary computer code to estimate herding on your "discrete choice agent data" data set. Easy to use. For more information, please consult   Welch, Ivo, "Herding Among Security Analysts." Journal of Financial Economics 58-3, December 2000, 369-396.
  2. Free data: goyal-welch-data.txt is a data set of annual dividend yields, dividend price ratios, equity premia, and stock market returns, ending with 2002, as used in "Predicting the Equity Premium With Dividend Ratios" (with Amit Goyal). Also, the data for A Note on "Predicting Returns with Financial Ratios" is here.
  3. Free data: Discretionary Accruals Data, as used in   Teoh, Siew-Hong, Ivo Welch, and T.J. Wong. "Earnings Management and The Long-Run Market Performance of Initial Public Offerings." The Journal of Finance 53-6, Dec 1998, 1935-1974.
  4. Free data: Executive Changes Data Base.
  5. Free data: NYSE Stock Prices, 1880, 1900, 1915.. Also, annual stock market returns, dividend yields, etc., from 1926-2002 here.
  6. Free LaTeX sample styles for the Journal of Finance.
  7. Free LaTeX sample styles for the Review of Financial Studies.
  8. Almost free: I created a manageable data base of spreads and daily quotes, three times a day, from NYSE's TAQ, for distribution to academics. Alas, the NYSE went back on its earlier indications of allowing me to redistribute it. So, for anyone interested in working with NYSE data, some of my negative experience with the NYSE are here.
  9. Various IPO Related Resources, most importantly a bibliography of academic papers.
  10. Various Information Cascades Related Resources, most importantly a bibliography of academic papers.

Teaching Related Materials

  1. A Finance Text Book: A First Course in Finance. Freely available at welch.econ.brown.edu, at least until Addison-Wesley-Pearson will publish it. It tries to return to basics. Sometimes, less is more.
  2. Welch, Ivo. G-III. The best teaching case on IPOs. The case itself is available here.
  3. Welch, Ivo. (with support from Peter Tufano): Research Roundtable Discussion: The Market Risk Premium, published on ssrn, June 30, 2000.
  4. A Primer on Capital Structure, published in Finanzmarkt und Portfolio Management 9-2, 1995, 232-249 and freely distributable without copyright or royalty payment. Obsolete: It has been superseded by the chapters in my book.
  5. A 3-hour Tour of Finance. A presentation I gave for graduate students with no background in finance.

Some OpEd Type Opinion Pieces

Note that the epilogue of my book (at http://welch.econ.brown.edu/book/) contains these points, and much more. A number of faculty have emailed me that this should be required reading for any MBA student.

Published Papers

All published papers are listed (and abstracts and text linked to) from my curriculum vitae.

On The Lighter Side

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