Ivo Welch, Brown Economics: Unpublished Academic Research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.

Link To Published Papers

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

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.

Recent Presentations

Oct 2011: FMA Tutorial on Structural Estimation.

May 2011: Brown Student Workshop on Government Bailouts.

Apr 2011: Wharton presentation on A Critique of Quantitative and Deep-Structure Modeling in Capital Structure Research and Beyond.

Mar 2011: URI presentation on Hoberg-Welch and how to form better test portfolios in Fama-French (Black-Jensen-Scholes) tests.

Jan 2011: AFA 2011, Leverage and Preemptive Selling of Financial Institutions (with Antonio Bernardo).

Jan 2011: AFA 2011, Discussion of Hertzel, Huson, Parrino, "Public Market Staging."

Main Current Academic Working Papers

(Again, this is not complete.)
  1. Challenging Structural Models in Corporate Finance [Mar 2010].
  2. Reconciling Estimates of the Speed of Adjustment of Leverage Ratios (with Peter Iliev). [Jan 2010].
    There are a set of "placebo" leverage ratios in "leverage.placebo".
  3. Optimized vs. Sort-Based Portfolios (with Gerard Hoberg) offers a more powerful way to construct portfolios, relevant when factors are highly correlated. 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]
  4. Aggregate Leverage and Preemptive Selling by Individual Financial Institutions (with Antonio Bernardo). [Oct 2009]
  5. Attention (with Peter Iliev) has improved considerably from earlier versions. [Oct 2009]
  6. Noise in Stock Returns as Natural Experiments: Forward- and Backward-Looking Market-Betas, Momentum, and Reversals (with Gerard Hoberg). [May 2009] currently being worked on.

Academic Working Papers, Not To Be Submitted.

Older papers:

  1. Investor Sentiment Measures [Jun 2006] — with Lily Qiu. I am enclosing the referee reports for this paper at the end of the paper. They are not only "amusing," but also interesting in how different they are.
  2. 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.
  3. A Comment on `A Theory of Dividends Based on Tax Clienteles [Feb 2011].

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

Academic Long-Run Placement and Professional Networks.

Algorithms and Programs

  1. Do you want to install Compustat on your own linux or OSX machine? Then you probably want my compustat loader script.
  2. 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.

Data

The following data is free for academic use:
  1. goyal-welch-data.txt is the original data set of annual dividend yields, dividend price ratios, equity premia, and stock market returns, ending in 2002, as used in "Predicting the Equity Premium With Dividend Ratios" (with Amit Goyal). Amit Goyal maintains and distributes data for our paper A Comprehensive Look at the Empirical Performance of Equity Premium Prediction.
  2. There are a set of "placebo" leverage ratios in "leverage.placebo".
  3. Aggregate financial markets 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. Executive Changes Data Base.
  5. Historical NYSE Stock Prices, 1880, 1900, 1915.. Also, annual stock market returns, dividend yields, etc., from 1926-2002 here.

LaTeX, etc.

  1. Free LaTeX sample styles for the Journal of Finance.
  2. Free LaTeX sample styles for the Review of Financial Studies.
  3. Various Information Cascades Related Resources, most importantly a bibliography of academic papers.

Teaching Related Materials

  1. A Finance Text Book: Corporate Finance: An Introduction. It tries to return to basics. Sometimes, less is more.
  2. Welch, Ivo. G-III. The best teaching case on (non-tech) 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

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

On The Lighter Side

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