Ivo Welch, Brown Economics: Unpublished Academic Research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.

Current Interest

As of late 2008, my introductory corporate finance book is finished. Thus, I can now devote more time to research again. I am actively working on papers that look at executive compensation, capital structure, and the investments literature on characteristics-vs-exposures. I am also interested in models of financial market (in-)stability, and some other empirical topics.

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 service to the profession.

Academic Working Papers

1. Better Factor Portfolios and Pricing Book-To-Market Characteristics with the Fama-French Factor Model (with Gerard Hoberg) offers a more powerful way to construct portfolios. It allows us to determine whether book-to-market [and size and momentum] are exposures or characteristics. It also offers improved Fama-French factors. [Nov 2009]
2. Aggregate Leverage and Preemptive Selling by Individual Financial Institutions (with Antonio Bernardo). [Oct 2009].
3. Attention (with Peter Iliev) has improved considerably from earlier versions. [Oct 2009]
4. How Quickly Do Firms Readjust Capital Structure? (with Peter Iliev). [Sep 2009]
5. Noise in Stock Returns as Natural Experiments: Forward- and Backward-Looking Market-Betas, Momentum, and Reversals (with Gerard Hoberg). [May 2009]

Academic Working Papers, Not To Be Submitted.

Older 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. Aged and Recent Market Betas in Securities Pricing [Sep 2007] — with Gerard Hoberg was withdrawn. The empirical results are correct, but we no longer believe that the theory (of slow recognition by investors) is correct.

Lots more coming soon...

Academic Working Papers, Not To Be Submitted.

1. Views of Economists About The Equity Premium and Policy, January 2009.
2. The Link between Fama-French Time-Series Tests and Fama-Macbeth Cross-Sectional Tests [Sep 2008].
3. The Consensus Estimate for the Equity Premium By Academic Financial Economists in December 2007 [Jan 2008]
4. A Different Way to Estimate the Equity Premium (for Capm and One-Factor Model Use Only) [Dec 2007]
5. The Equity Premium Consensus Forecast Revisited. [September 2001] — solo.
   
   (No plans for submission. Please cite original paper in the JB, instead of this update.)
6. 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.)
7. An opinion piece, writing up The Top Achievements, Challenges, and Failures of Finance, in 2001. Obviously dated by now, though still useful.

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 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. Underwriter Pricing Information, 2005-2007.
4. Welch, Ivo. (with support from Peter Tufano): Research Roundtable Discussion: The Market Risk Premium, published on ssrn, June 30, 2000.
5. 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.
6. A 3-hour Tour of Finance. A presentation I gave for graduate students with no background in finance.
7. An email exchange with Eugene Fama on whether we had an Internet bubble or not.

Some OpEd Type Opinion Pieces

• April 2002: Do not complain MBA students are wrong when they consider business school research irrelevant!
• October 2001: The 2000 Business Week rankings: Why they are wrong.

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

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

On The Lighter Side

• We must thank Roy F. Baumeister for the best-ever letter to the editor.

Complaints or Suggestions: .

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