Critical Finance Review

2012 - 2023

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Introduction pp. 1-7: Juhani T. Linnainmaa
The Cross-Section of Volatility and Expected Returns: Then and Now pp. 9-56: Andrew Detzel, Jefferson Duarte, Avraham Kamara, Stephan Siegel and Celine Sun
The Fu (2009) Positive Relation Between Idiosyncratic Volatility and Expected Returns is Due to Look-Ahead Bias pp. 57-124: Seongkyu (Gilbert) Park, K. C. John Wei and Linti Zhang
Has Idiosyncratic Volatility Increased? Not in Recent Times pp. 125-170: Mardy Chiah, Philip Gharghori and Angel Zhong
Trend and Reversal of Idiosyncratic Volatility Revisited pp. 171-202: Markus Leippold and Michal SvatoÅˆ
Idiosyncratic Equity Risk Two Decades Later pp. 203-223: John Campbell, Martin Lettau, Burton Malkiel and Yexiao Xu
A New Look at Expected Stock Returns and Volatility pp. 225-270: Russell P. Robins and Geoffrey Peter Smith
Expected Stock Market Returns and Volatility: Three Decades Later pp. 271-307: Haimanot Kassa, Feifei Wang and Yan Xuemin (Sterling)
Asset Pricing with Systematic Skewness: Two Decades Later pp. 309-354: Dan Gabriel Anghel, Petre Caraiani, Alina RoÅŸu and Ioanid RoÅŸu
Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence pp. 355-366: Campbell R. Harvey and Akhtar Siddique
Better Performance of Mutual Funds with Lower R2â€™s Does Not Suggest that Active Management Pays pp. 367-387: Juan Carlos MatallÃn-SÃ¡ez

The Jobs Act Did Not Raise IPO Underpricing pp. 431-471: Even-Tov Omri, N. Patatoukas Panos and S. Yoon Young
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) pp. 473-504: Yu-An Chen and Dan Palmon
High Funding Risk and Low Hedge Fund Returns pp. 505-539: Sven Klingler
Scale and Performance in Active Management are Not Negatively Related pp. 541-592: John Adams, Darren Hayunga and Sattar Mansi
Diseconomies of Scale in Active Management: Robust Evidence pp. 593-611: LuboÅ¡ PÃ¡stor, Robert Stambaugh, Lucian A. Taylor and Min Zhu
Rest in Peace Post-Earnings Announcement Drift pp. 613-646: Charles Martineau
It Could Be Overreaction, Not Lottery Seeking, That Is Behind Bali, Cakici and Whitelawâ€™s Max Effect pp. 647-675: Jake Gorman, Farida Akhtar, Robert B. Durand and John Gould
Clientele Effect in Sovereign Bonds: Evidence From Islamic Sukuk Bonds in Malaysia pp. 677-745: Minxia Chen, Joseph Cherian, Ziyun Li, Yuping Shao and Marti G. Subrahmanyam

Open Source Cross-Sectional Asset Pricing pp. 207-264: Andrew Y. Chen and Tom Zimmermann
An Intangible-Adjusted Book-to-Market Ratio Still Predicts Stock Returns pp. 265-297: Hyuna Park
Intangible Value pp. 299-332: Andrea L. Eisfeldt, Edward T. Kim and Dimitris Papanikolaou
Explaining the Recent Failure of Value Investing pp. 333-360: Baruch Lev and Srivastava Anup
Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios pp. 361-373: Thiago de Oliveira Souza
Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment pp. 375-381: Bryan Kelly and Seth Pruitt
Risk Neutral Skewness Predicts Price Rebounds and So Can Improve Momentum Performance pp. 383-429: Paul Borochin and Yanhui Zhao

Understanding the Performance of Components in Betting Against Beta pp. 1-36: Xing Han
Simply Better Market Betas pp. 37-64: Ivo Welch
Equity Premium Forecasts Tend to Perform Worse Against a Buy-and-Hold Benchmark pp. 65-77: Gunter LÃ¶ffler
Economic Uncertainty, Aggregate Debt, and the Real Effects of Corporate Finance pp. 79-116: Timothy C. Johnson
On Long-Run Stock Returns After Corporate Events pp. 117-167: James W. Kolari, Seppo Pynnonen and Ahmet M. Tuncez
Long Run Stock Returns after Corporate Events Revisited pp. 169-183: Hendrik Bessembinder and Feng Zhang
Is Economics Research Replicable? Sixty Published Papers From Thirteen Journals Say â€œOften Notâ€ pp. 185-206: Andrew C. Chang and Phillip Li

In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less pp. 329-381: Andrew Y. Chen, Fabian Winkler and Rebecca Wasyk
High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model pp. 383-408: Samuel Kruger
Stock Prices Still Move Too Much For Dividends But Less So: A Reappraisal of Shiller 1981 pp. 409-418: Dan Gabriel Anghel and Petre Caraiani
Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect pp. 419-427: Chaehyun Pyun
Treasury Rates No Longer Predict Returns: A Reappraisal of Breen, Glosten and Jagannathan (1989) pp. 429-444: Philip Gray and Thanh Huynh
Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog pp. 445-464: Erik Hjalmarsson and TamÃ¡s Kiss
The Dog and the Straw Man: Response to â€œDividend Growth Does Not Help Predict Returns Compared to Likelihood-Based Tests: An Anatomy of the Dogâ€ pp. 465-470: John H. Cochrane

The Supply and Demand of S&P 500 Put Options pp. 1-20: George Constantinides and Lei Lian
Mispricing of Index Options with Respect to Stochastic Dominance Bounds? pp. 21-55: Martin Wallmeier
Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply pp. 57-63: George Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis
Dispersion in Options Investorsâ€™ Versus Analystsâ€™ Expectations: Predictive Inference for Stock Returns pp. 65-81: Panayiotis C. Andreou, Anastasios Kagkadis, Paulo Maio and Dennis Philip
Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications pp. 83-123: Robert Hodrick and Tuomas Tomunen

Corporate Taxes and Capital Structure: A Long-Term Historical Perspective pp. 1-28: Matthias Fleckenstein, Francis A. Longstaff and Ilya A. Strebulaev
Real Options, Taxes and Financial Leverage pp. 29-76: Stewart C. Myers and James A. Read
Repo Priority Right and the Bankruptcy Code pp. 77-114: Jun Kyung Auh and Suresh Sundaresan
Are Corporate Spin-offs Prone to Insider Trading? pp. 115-155: Patrick Augustin, Menachem Brenner, Jianfeng Hu and Marti G. Subrahmanyam
Patents Do Not Measure Innovation Success pp. 157-199: David M. Reeb and Wanli Zhao
The Choice of Valuation Techniques in Practice: Education Versus Profession pp. 201-265: Lilia Mukhlynina and Kjell Nyborg
Are Competitive Banking Systems Really More Stable? pp. 267-303: Bandaranayake Bandaranayake, Kuntal Das and W. Reed
Firms from Financially Developed Economies Do Not Save Less pp. 305-351: Alexander A. Vadilyev