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JEL Code: G10
1,450,718 Total downloads
Showing Papers 1,401 - 1,450 of 4,446
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The Capital Asset Pricing Model: Some Empirical Tests Michael C. Jensen, STUDIES IN THE THEORY OF CAPITAL MARKETS, Praeger Publishers Inc., 1972
Michael C. Jensen ,
Fischer Black and
Myron S. Scholes
Date Posted: June 13, 200617482 downloads
How Active is Your Fund Manager? A New Measure That Predicts Performance AFA 2007 Chicago Meetings Paper, Yale ICF Working Paper No. 06-14, EFA 2007 Ljubljana Meetings Paper
Martijn Cremers and
Antti Petajisto
Date Posted: March 21, 2006Last Revised: May 07, 200915167 downloads
The Golden Dilemma
Claude B. Erb and
Campbell R. Harvey
Date Posted: June 06, 2012Last Revised: May 05, 201313513 downloads
Risk Management for Hedge Funds: Introduction and Overview
Andrew W. Lo
Date Posted: September 13, 200113349 downloads
What Happened to the Quants in August 2007?
Amir Khandani and
Andrew W. Lo
Date Posted: September 21, 2007Last Revised: January 17, 200812971 downloads
Establishing a Pecking Order for Finance Academics: Ranking of U.S. Finance Doctoral Programs
Jean L. Heck
Date Posted: March 13, 200712238 downloads
Global Value: Building Trading Models with the 10 Year CAPE Cambria Quantitative Research, No. 5, August 2012
Mebane T. Faber
Date Posted: August 21, 2012Last Revised: September 13, 201211824 downloads
The Fall of Enron Harvard NOM Working Paper No. 03-38
Krishna Palepu and
Paul M. Healy
Date Posted: October 17, 20039582 downloads
Forecasting Volatility
Louis H. Ederington and
Wei Guan
Date Posted: July 13, 19998486 downloads
Institutional Investors and Stock Market Volatility MIT Department of Economics Working Paper No. 03-30
Xavier Gabaix ,
Parameswaran Gopikrishnan
,
Vasiliki Plerou
and
H. Eugene Stanley
Date Posted: September 11, 2003Last Revised: June 01, 20108383 downloads
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis Journal of Investment Consulting, Forthcoming
Andrew W. Lo
Date Posted: May 25, 20057659 downloads
Stock Valuation and Investment Strategies Yale ICF Working Paper No. 00-46
Ming Dong and
Zhiwu Chen
Date Posted: July 26, 20017638 downloads
Value Investing: Investing for Grown Ups?
Aswath Damodaran
Date Posted: April 20, 2012Last Revised: June 27, 20127470 downloads
Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper
Date Posted: November 30, 20057384 downloads
Market Microstructure: A Survey
Ananth Madhavan
Date Posted: March 28, 20006877 downloads
The Exchange of Flow Toxicity The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
David Easley ,
Marcos Lopez de Prado and
Maureen O'Hara
Date Posted: January 27, 2011Last Revised: February 27, 20126145 downloads
Reading About the Financial Crisis: A 21-Book Review
Andrew W. Lo
Date Posted: October 27, 2011Last Revised: January 10, 20125635 downloads
Efficient Markets Hypothesis THE NEW PALGRAVE: A DICTIONARY OF ECONOMICS, L. Blume, S. Durlauf, eds., 2nd Edition, Palgrave Macmillan Ltd., 2007
Andrew W. Lo
Date Posted: June 06, 20075456 downloads
A Risk Perception Primer: A Narrative Research Review of the Risk Perception Literature in Behavioral Accounting and Behavioral Finance
Victor Ricciardi
Date Posted: July 20, 20045446 downloads
Characteristics of Risk and Return in Risk Arbitrage
Mark L. Mitchell and
Todd C. Pulvino
Date Posted: May 30, 20015202 downloads
Behavioral Finance: An Introduction
Guido Baltussen
Date Posted: October 18, 2009Last Revised: December 16, 20114612 downloads
Risk Premia Harvesting Through Dual Momentum
Gary Antonacci
Date Posted: April 19, 2012Last Revised: May 09, 20134610 downloads
Active Share and Mutual Fund Performance
Antti Petajisto
Date Posted: October 02, 2010Last Revised: January 17, 20134450 downloads
The Eyeballs Have It: Searching for the Value in Internet Stocks
Brett Trueman ,
M.H. Franco Wong and
Xiao-Jun Zhang
Date Posted: February 15, 20004340 downloads
Evaluation of Pairs Trading Strategy at the Brazilian Financial Market Journal of Derivatives & Hedge Funds, Vol. 15, pp. 122-136
Marcelo Perlin
Date Posted: December 19, 2006Last Revised: May 01, 20104287 downloads
Governance and Intermediation Problems in Capital Markets:
Evidence from the Fall of Enron Harvard NOM Working Paper No. 02-27
Paul M. Healy and
Krishna Palepu
Date Posted: October 15, 20024257 downloads
M of a Kind: A Multivariate Approach at Pairs Trading
Marcelo Perlin
Date Posted: December 21, 2006Last Revised: December 28, 20074230 downloads
What is the Intrinsic Value of the Dow?
Charles M.C. Lee ,
James N. Myers and
Bhaskaran Swaminathan
Date Posted: March 03, 19974121 downloads
The Volume Clock: Insights into the High Frequency Paradigm The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
David Easley ,
Marcos Lopez de Prado and
Maureen O'Hara
Date Posted: April 05, 2012Last Revised: August 20, 20124091 downloads
Research Roundtable Discussion: The Market Risk Premium
Ivo Welch
Date Posted: June 27, 20004080 downloads
A Literature Review of Risk Perception Studies in Behavioral Finance: The Emerging Issues
Victor Ricciardi
Date Posted: May 25, 20074055 downloads
Bubbles, Human Judgment, and Expert Opinion Yale Cowles Foundation Discussion Paper No. 1303
Robert J. Shiller
Date Posted: July 16, 20013657 downloads
Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios EFA 2001 Barcelona Meetings; EFMA 2001 Lugano Meetings; FAME Research Paper No 24
Francois Lhabitant
Date Posted: April 30, 20013605 downloads
High-Frequency Trading, Stock Volatility, and Price Discovery
Frank Zhang
Date Posted: October 14, 2010Last Revised: December 27, 20103573 downloads
Putting Integrity into Finance: A Positive Approach (PDF of Keynote Slides) Harvard NOM Working Paper No. 06-06, Barbados Group Working Paper No. 06-01
Michael C. Jensen
Date Posted: January 18, 2006Last Revised: December 11, 20123481 downloads
Financial Econometrics International Library of Financial Econometrics, Forthcoming
Andrew W. Lo
Date Posted: June 14, 20073465 downloads
The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective Journal of Portfolio Management, Forthcoming
Andrew W. Lo
Date Posted: October 15, 20043450 downloads
A Reality Check on Hedge Funds Returns
Nolke Posthuma
and
Pieter Jelle van der Sluis
Date Posted: October 07, 20033409 downloads
Variance Risk Premia AFA 2005 Philadelphia Meetings
Liuren Wu and
Peter Carr
Date Posted: August 17, 2004Last Revised: October 25, 20073357 downloads
Introduction to Applied Stress Testing IMF Working Paper No. 07/59
Martin Cihák
Date Posted: March 19, 20073353 downloads
Bridging the Gap Between Value Relevance and Information Content Sauder School of Business Working Paper
Kin Lo and
Thomas Z. Lys
Date Posted: January 10, 20013291 downloads
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Steve Thomas ,
Andrew Clare ,
Peter N. Smith and
James Seaton
Date Posted: August 08, 2012Last Revised: September 18, 20123256 downloads
Equity Risk Premiums (ERP): Determinants, Estimation and Implications
Aswath Damodaran
Date Posted: October 01, 2008Last Revised: October 17, 20083225 downloads
Forecasting Financial Market Volatility: A Review
Clive W. J. Granger and
Ser-Huang Poon
Date Posted: June 15, 20013172 downloads
Portfolio Selection with Higher Moments
Campbell R. Harvey ,
John Liechty
,
Merrill W. Liechty
and
Peter Mueller
Date Posted: December 29, 2004Last Revised: March 16, 20103129 downloads
From Efficient Markets to Behavioral Finance University of Lecce Economics Working Paper No. 46/24
Raffaella Barone
Date Posted: February 03, 20043101 downloads
Is Portfolio Theory Harming Your Portfolio?
Scott Vincent
Date Posted: May 15, 2011Last Revised: June 10, 20113087 downloads
Forecasting Volatility in Financial Markets: A Review (revised edition)
Clive W. J. Granger and
Ser-Huang Poon
Date Posted: December 04, 20023073 downloads
Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward European Journal of Operational Research, Vol. 187, pp. 1358-1367, 2008, U of Hertfordshire Business School Working Paper No. 2004:3
Chris Tofallis
Date Posted: January 03, 20083002 downloads
Stress-testing Financial Systems: An Overview of Current Methodologies BIS Working Paper No. 165
Marco Sorge
Date Posted: July 27, 20052992 downloads
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