Ivo Welch, Brown Economics: Unpublished Academic Research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 2008, my introductory corporate finance book is
finished, so 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
- Exposures or
Characteristics? offers a more powerful way to do Fama-French time-series
tests, which allows it to conclusively answer whether book-to-market [and
size and momentum] are exposures or characteristics. [Jan 2009]
- Attention
has improved considerably from earlier versions. [Oct 2008]
- Common
Flaws in Empirical Capital Structure Research [Sep 2006]
- Investor
Sentiment Measures [Jun 2006] — with Lily Qiu. Don't miss this
one—especially the referee reports at the end.
- 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Gerard Hoberg was withdrawn.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.
- Views of Economists About The Equity Premium and Policy, January 2009.
-
The Link between Fama-French
Time-Series Tests and Fama-Macbeth Cross-Sectional Tests [Sep 2008].
- The Consensus Estimate for the Equity Premium By Academic Financial Economists in December 2007
[Jan 2008]
- A
Different Way to Estimate the Equity Premium (for Capm and One-Factor Model
Use Only) [Dec 2007]
- The
Equity Premium Consensus Forecast Revisited. [September 2001] —
solo.
(No plans for submission. Please cite original
paper in the JB, instead of this update.)
- 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.)
- 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
- 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.
- 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.
- 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.
- Free data: Executive Changes Data
Base.
- Free data: NYSE Stock Prices, 1880,
1900, 1915.. Also, annual stock market returns, dividend
yields, etc., from 1926-2002 here.
- Free LaTeX sample
styles for the Journal of
Finance.
- Free LaTeX sample styles for the Review of Financial Studies.
- 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.
- Various Information
Cascades Related Resources, most importantly a bibliography of
academic papers.
Teaching Related Materials
- 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.
- Welch, Ivo. G-III.
The best teaching case on IPOs. The case itself is available here.
- Underwriter Pricing Information, 2005-2007.
- Welch, Ivo. (with support from
Peter Tufano): Research
Roundtable Discussion: The Market Risk Premium, published on ssrn, June 30, 2000.
- 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.
- A
3-hour Tour of Finance. A presentation I gave for graduate
students with no background in finance.
- An email exchange with Eugene Fama
on whether we had an Internet bubble or not.
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
My published papers are listed (and abstracts and text linked to) from
my curriculum vitae.
On The Lighter Side
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