Turan Bali presenting at Southern Methodist University on March 31st.
It will be ironic if he presents a corporate bond paper using BBW factors with lead and lag errors
Finally some one called out JB, a great day for corporate bond literature
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Very. P-hackers should not be allowed on editorial boards.
just relaized Bali JB are also AE at JFE MS JFQA….I don’t think JF has an appetite for OP’s paper. So RFS is the only option…How fxxked up is this world
Hrms gonna hrm
This is how our profession works: the more you p hack, the more publications and power, and the less likely there will be any consequence
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The following papers need to be retracted given that they all use BBW factors with lead errors if not alright fraud.
“Is there a risk return trade off in corporate bonds? Time series and Cross-sectional evidence” JFE 2021 Bali Bai Wen
“The macroeconomic uncertainty premium in the corporate bond market” JFQA 2021 Bali Subra Wen
“Long term reversals in the corporate bond” JFE 2021 Bali Subra Wen
“Common risk factors in the cross section of corporate bond returns” JFE 2019, Bali Bai Wen
All above results are wrong if not fake!!
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Form portfolios at t and use returns at t+1, returns in t+1 are the factor returns
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4398449
Does the paper imply BBW used t characteristics to construct factor returns at t?
This is what BBW should do or claim what they did. OP’s paper is showing BBW didn’t do that. Two factors have lead error and one has lag error.
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There are plenty of papers that use BBW. Grinblatt and Bartram and Nozawa WP Jiacui Li JFE and a whole bunch of working papers. They all are under question. These papers other than BBW that use BBW need to be done with and without BBW.
Exactly why this paper will never be accepted at top 3. CFR most likely
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It’s shocking that they use investment grade index (IG it’s not in the index name, but one can easily see it by looking at the manual) to calculate MKT. Either they never open the index manual or it is intentionally.
I can assure you they looked at the manual. It is intentional. Whoever the referee of this paper is, he/she is equally responsible.