{"title":"Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment","authors":"B. Kelly, Seth Pruitt","doi":"10.1561/104.00000114","DOIUrl":"https://doi.org/10.1561/104.00000114","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67075606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Jobs Act Did Not Raise IPO Underpricing","authors":"Even-Tov Omri, N. Patatoukas Panos, S. Yoon Young","doi":"10.1561/104.00000117","DOIUrl":"https://doi.org/10.1561/104.00000117","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67075636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Minxia Chen, Joseph A. Cherian, Ziyun Li, Yuping Shao, Marti G. Subrahmanyam
{"title":"Clientele Effect in Sovereign Bonds: Evidence From Islamic Sukuk Bonds in Malaysia","authors":"Minxia Chen, Joseph A. Cherian, Ziyun Li, Yuping Shao, Marti G. Subrahmanyam","doi":"10.1561/104.00000124","DOIUrl":"https://doi.org/10.1561/104.00000124","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67075663","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"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)","authors":"Yu-An Chen, Dan Palmon","doi":"10.1561/104.00000118","DOIUrl":"https://doi.org/10.1561/104.00000118","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67075647","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Jacqueline Gorman, Farida Akhtar, Robert B. Durand, J. Gould
{"title":"It Could Be Overreaction, Not Lottery Seeking, That Is Behind Bali, Cakici and Whitelaw’s Max Effect","authors":"Jacqueline Gorman, Farida Akhtar, Robert B. Durand, J. Gould","doi":"10.25917/W1VE-5R50","DOIUrl":"https://doi.org/10.25917/W1VE-5R50","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2021-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44458971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The Dog and the Straw Man: Response to “Dividend Growth Does Not Help Predict Returns Compared to Likelihood-Based Tests: An Anatomy of the Dog”
狗和稻草人:对“与基于可能性的测试相比，股息增长无助于预测回报:对狗的剖析”的回应
{"title":"The Dog and the Straw Man: Response to “Dividend Growth Does Not Help Predict Returns Compared to Likelihood-Based Tests: An Anatomy of the Dog”","authors":"J. Cochrane","doi":"10.1561/104.00000106","DOIUrl":"https://doi.org/10.1561/104.00000106","url":null,"abstract":"The Dog and the Straw Man: Response to “Dividend Growth Does Not Help Predict Returns Compared to Likelihood-Based Tests: An Anatomy of the Dog”","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42151803","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model
在Albuquerque等人的估值风险模型中，对随机时间偏好冲击的高度厌恶和反事实长期风险
{"title":"High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model","authors":"Samuel Kruger","doi":"10.1561/104.00000093","DOIUrl":"https://doi.org/10.1561/104.00000093","url":null,"abstract":"High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44955691","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Carhart (1997) found that U.S. equity mutual funds’ past-year returns positively predict their raw excess return and one-factor alpha over the next year. Based on these results, an investor may believe that she can earn higher returns by buying mutual funds with high past-year returns. We find that significant performance persistence does not exist in the post-Carhart 1994 to 2018 period. Even during the Carhart 1963 to 1993 period, performance persistence weakened in later years. The disappearance of performance persistence is due to lower returns to favorable styles, as well as less favorable style tilts and increased style-adjusted underperformance by past winning funds.
{"title":"Carhart (1997) Mutual Fund Performance Persistence Disappears Out of Sample","authors":"James J. Choi, Kevin M. Zhao","doi":"10.1561/104.00000103","DOIUrl":"https://doi.org/10.1561/104.00000103","url":null,"abstract":"Carhart (1997) found that U.S. equity mutual funds’ past-year returns positively predict their raw excess return and one-factor alpha over the next year. Based on these results, an investor may believe that she can earn higher returns by buying mutual funds with high past-year returns. We find that significant performance persistence does not exist in the post-Carhart 1994 to 2018 period. Even during the Carhart 1963 to 1993 period, performance persistence weakened in later years. The disappearance of performance persistence is due to lower returns to favorable styles, as well as less favorable style tilts and increased style-adjusted underperformance by past winning funds.","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2021-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44413282","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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