Forecasting the Equity Premium: Mind the News!
Philipp Adämmer, Rainer A Schüssler
Review of Finance, Volume 24, Issue 6, November 2020, Pages 1313–1355, https://doi.org/10.1093/rof/rfaa007
We introduce a novel strategy to predict the equity premium by extracting news from more than 700000 newspaper articles, which were published in The New York Times and Washington Post between 1980 and 2018.… Read more...
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The Duration Puzzle in Life-Cycle Investment
Servaas van Bilsen, Ilja A Boelaars, A. Lans Bovenberg
Review of Finance, Volume 24, Issue 6, November 2020, Pages 1271–1311, https://doi.org/10.1093/rof/rfaa009
Figure 1. Duration of fixed income portfolios in TDFs. The figure illustrates the (weighted) mean (solid line), the (weighted) 10% quantile (dash-dotted line) and the (weighted) 90% quantile (dashed line) of the modified duration of fixed income portfolios in TDFs in 2019 as a function of age.… Read more...
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Does the Market Correctly Value Investment Options?
Evgeny Lyandres, Egor Matveyev, Alexei Zhdanov
Review of Finance, Volume 24, Issue 6, November 2020, Pages 1159–1201, https://doi.org/10.1093/rof/rfaa002
Investment options are one of the most important components of firm value. At the same time, they are notoriously difficult to value.… Read more...
Does the Market Correctly Value Investment Options? Read More »
The Review of Finance is delighted to announce the appointment of Brian Melzer, Jacopo Ponticelli, and Rick Townsend as Associate Editors, to start a three-year term commencing in January 2021. We thank Peter Koudijs, Jacob Sagi, and Lucy White, whose terms come to an end in December, for their service.… Read more...
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The RF is introducing a Privacy Policy, which will apply from 2 November 2020. This is in order to provide you with more information about how we use any personal information we may hold on you, and also to ensure our continued compliance with the General Data Protection Regulation (GDPR).… Read more...
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The RF is changing its email address to [email protected]. This change is taking place with immediate effect, so please add us to your email address book to ensure you receive any communications from us.… Read more...
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The Review of Finance is delighted to announce the appointment of Daniel Paravisini and Chris Parsons as Editors, to start a three-year term commencing in January 2021. We thank Amiyatosh Purnanandam and Kelly Shue, whose terms come to an end in December, for their outstanding service to the RF, both in handling individual papers and contributing to overall journal strategy.… Read more...
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Regulatory Certification, Risk Factor Disclosure, and Investor Behavior
Ruben Cox, Peter de Goeij
Review of Finance, Volume 24, Issue 5, September 2020, Pages 1079–1106, https://doi.org/10.1093/rof/rfaa003
Externalities of Regulatory Oversight on Investor Behavior in Financial Markets
Does regulatory approval of prospectuses act as a “certification” or “approval” of securities offerings?… Read more...
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Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions
Prachi Deuskar, Nitin Kumar, Jeramia Allan Poland
Review of Finance, Volume 24, Issue 5, September 2020, Pages 1039–1077, https://doi.org/10.1093/rof/rfaa006
Investor behavior, being forward-looking, ought to tell us something about the future.… Read more...
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The Managing Editor’s Report for 2019/20 is available here. Some highlights include:
Managing Editor’s Report for 2019/20 Read More »