Author name: Patricia Ponce

We are pleased to announce that Volume 28, Issue 6 of the Review of Finance (November 2024) is now available. Below, you will find a list of the articles included in this issue:

Contents:

  1. Optimal Investment and Equilibrium Pricing Under Ambiguity
    by Michail Anthropelos and Paul Schneider
  2. Cross-Sectional Expected Returns: New Fama–MacBeth Regressions in the Era of Machine Learning (Summary here)
    by Yufeng Han, Ai He, David E Rapach, Guofu Zhou
  3. The Power of the People: Labor Unions and Corporate Social Responsibility
    by Amanda Heitz, Youan Wang, Zigan Wang
  4. Move a Little Closer?
… Read more...

New issue: Volume 28, Issue 6 of the Review of Finance is now available Read More »

Brent Kitchens, Robert Parham, Chris Yung
Review of Finance, Volume 28, Issue 6, November 2024, Pages 1991–2015, https://doi.org/10.1093/rof/rfae030

Selective disclosure allows a subset of privileged investors to gain access to material information before it is released to the public. This early access enables investors to trade on this information, so that market prices incorporate significant information even on days without public news announcements. … Read more...

Is news really news? The effects of selective disclosure regulations Read More »

Yufeng Han, Ai He, David E Rapach, Guofu Zhou
Review of Finance, Volume 28, Issue 6, November 2024, Pages 1807–1831, https://doi.org/10.1093/rof/rfae027

The Fama-MacBeth regression framework is a workhorse method for analyzing cross-sectional expected stock returns. In this paper, we extend the Fama-MacBeth framework for cross-sectional return prediction to incorporate big data and machine learning.… Read more...

Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning Read More »

Michael D Eriksen, Chun Kuang, Wenyu Zhu
Review of Finance, Volume 28, Issue 5, September 2024, Pages 1663–1686, https://doi.org/10.1093/rof/rfad041

We identify a specific channel through which appraisers introduce bias in the estimated values of some individual properties. Virtually all appraisers of residential property are required to first select comparable transactions (or “comps”) of properties with similar attributes, then document differences in attributes between the subject property and selected comps to reach their opinion of value.… Read more...

Attribute misreporting and appraisal bias Read More »

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