Projects, Replications and Experiments

This section presents some replications of past papers I am interested in. The codes and results presented may not be exactly the same as those in the original paper. If you have suggestions or improvements, please feel free to email me.

Below is a list of projects:

• Welch, I. & Goyal, A. 2008, “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction”, The Review of financial studies. [> Project Goyal and Welch (2008)]

  • Tercile Portfolios Results - Size - 25Year In-sample (33% + 33% + 33%)
  • Tercile Portfolios Results - Size - 20Year In-sample (30% + 40% + 30%)

• Ferreira, M.A. & Santa-Clara, P. 2011, “Forecasting stock market returns: The sum of the parts is more than the whole”, Journal of financial economics. > Project Ferreira and Santa-Clara (2011)

• Kong, A., Rapach, D.E., Strauss, J.K. & Zhou, G. 2011, “Predicting Market Components Out of Sample: Asset Allocation Implications”, Journal of portfolio management. > Project Kong et al. (2011)

Below is a list of experiments:

• Frydman, C. & Rangel, A. 2014, “Debiasing the disposition effect by reducing the saliency of information about a stock’s purchase price”, Journal of economic behavior & organization. > Experiment Frydman and Rangel (2014)

• Others

*The exact policy about how to use the data from these experiments has not been decided.

Projects in Progress:

• Limited Ability and Corporate Spin-offs. [Slide]

  • Optimal Contract under Diversification
  • Optimal Contract with Limited Abilities
  • Model for Limited Abilities
  • Investors’ Belief in Contracting
  • A wonderful document explaining the difference between spin-off, split-off, split-up and carve-out.

• Journal of Finance 2021 Issue Discussion. [Slide]

• EDGAR 10-Q/K Parsing Repurchase Info. [HTML]/[R] / future notes

  • Aug 17, 2023 Update
  • Oct 17, 2023 Presentation / Slides / Replication code .
  • May 6, 2024 Presentation
  • Attention and Disagreement from Professor Tony Cookson. > The social signal - Also check the changes in the volatility and price informativeness after the repurchases in the market. (Check Dang et al. (2024))

• New > Renegotiations with News: information economics >roadmap

  • Step 1: Link Table
  • Step 2: DealScan Data
  • Step 3: Loan Path
    Clean the WRDS LPC DealScan Data and convert to a firm-deal-time level panel data, with links to be connected to Compustat.
  • Step 4: Compustat Data

• New > Extract Purchase Obligations from 10-K Filings.

  • New Test 2005
  • 2005 Test for PPE
  • 2005 Test for Compustat NA
  • Final Results with Book Leverage
  • Final Results with EBITDA

• MAR project with Mengyu Yang

Thank You!