SSRN eLibrary Search Results
JEL Code: C10

688,953 Total downloads
Search Within

Viewing: 1 - 50 of 1,504 papers

1.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 196,326
2.

Relative Strength Strategies for Investing

Number of pages: 22 Posted: 06 Apr 2010 Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads 59,069
3.

Risk Premia Harvesting Through Dual Momentum

Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55
Number of pages: 37 Posted: 19 Apr 2012 Last Revised: 23 May 2017
Accepted Paper Series
Portfolio Management Consultants
Downloads 24,642
4.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 20,831
5.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner
Number of pages: 16 Posted: 31 Mar 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 13,079
6.

The Econometrics of Event Studies

Number of pages: 51 Posted: 25 Oct 2004
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Rochester – Simon Business School
Downloads 12,998
7.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Pimco
Downloads 5,848
8.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place
Number of pages: 18 Posted: 01 May 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 5,760
9.

Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach

Number of pages: 19 Posted: 25 Dec 2012 Last Revised: 16 Jan 2015
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads 5,691
10.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 4,911
11.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 4,509
12.

Forecasting Volatility in Financial Markets: A Review (revised edition)

Number of pages: 80 Posted: 04 Dec 2002
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

Multiple version iconThere are 2 versions of this paper

Downloads 3,830
13.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 3,674
14.

Forecasting Financial Market Volatility: A Review

Number of pages: 43 Posted: 15 Jun 2001
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 3,549
15.

A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)

Number of pages: 32 Posted: 31 Dec 2014 Last Revised: 21 Jan 2015
Working Paper Series
VU University Amsterdam and ReSolve Asset Management
Downloads 3,436
16.

Lumber: Worth It's Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Wagner Award Winner
Number of pages: 18 Posted: 11 May 2015 Last Revised: 03 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,411
17.

Nonparametric Rank Tests for Event Studies

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 59 Posted: 25 Aug 2008 Last Revised: 19 Aug 2014
Working Paper Series
Texas A&M University, Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 3,230
18.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

Number of pages: 18 Posted: 07 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,150
19.

LIBOR Manipulation?

Number of pages: 49 Posted: 05 Aug 2008 Last Revised: 11 Aug 2008
Working Paper Series
Global Economics Group, LLC, Providence College, Moody's Investors Service and Milgard School of Business, UWT
Downloads 3,015
20.

Empirically Evaluating Claims About Investment Treaty Arbitration

North Carolina Law Review, Vol. 86, p. 1, 2007
Number of pages: 88 Posted: 15 Mar 2007 Last Revised: 20 May 2009
Accepted Paper Series
American University - Washington College of Law
Downloads 2,989
21.

The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation

Number of pages: 45 Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads 2,793
22.

Paired-Switching for Tactical Portfolio Allocation

Number of pages: 4 Posted: 26 Aug 2011 Last Revised: 21 Sep 2011
Working Paper Series
Scalaton and Scalaton
Downloads 2,770
23.

Event Studies: A Methodology Review

Number of pages: 36 Posted: 02 Aug 2009 Last Revised: 20 Aug 2010
Working Paper Series
Deakin University - School of Accounting, Economics & Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,761
24.

Relative Strength and Portfolio Management

Dorsey Wright Money Management, January 2012
Number of pages: 17 Posted: 04 Feb 2012
Accepted Paper Series
Dorsey Wright Money Management
Downloads 2,723
25.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 2,635
26.

Modelling Venture Capital Funds

Number of pages: 11 Posted: 19 Dec 2003
Working Paper Series
QuantExperts and European Union - Risk Management and Monitoring Division

Multiple version iconThere are 2 versions of this paper

Downloads 2,577
27.

The Effects of Traditional and Social Earned Media on Sales: A Study of a Microlending Marketplace

Journal of Marketing Research, 49 (October).
Number of pages: 68 Posted: 29 Sep 2009 Last Revised: 05 Aug 2014
Accepted Paper Series
University of Oxford - Said Business School and Carnegie Mellon University
Downloads 2,570
28.

Using Real-World Examples to Enhance the Relevance of the Introductory Statistics Course

Number of pages: 27 Posted: 16 Aug 2012
Working Paper Series
City University of New York (CUNY) - Department of Business Management, Baruch College, CUNY - Zicklin School of Business and City University of New York (CUNY) - Department of Finance
Downloads 2,473
29.

A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 17 Mar 2008 Last Revised: 14 Jul 2011
Accepted Paper Series
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Department of Finance
Downloads 2,450
30.

Credit-Informed Tactical Asset Allocation

Number of pages: 13 Posted: 26 Jun 2011
Working Paper Series
Capital Context
Downloads 2,428
31.

ARCH, GARCH and EGARCH Models: Applications to Financial Series

Cuadernos de Economía, Vol. 27, No. 48, 2008,
Number of pages: 33 Posted: 27 Aug 2008
Accepted Paper Series
Universidad de los Andes, Colombia - Department of Economics and National University of Colombia
Downloads 2,410
32.

Principal Components as a Measure of Systemic Risk

Number of pages: 30 Posted: 05 Apr 2010
Working Paper Series
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,385
33.

The Case of Gold and Silver: A New Algorithm for Pairs Trading

Number of pages: 7 Posted: 10 Apr 2013 Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 2,346
34.

Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models

FEEM Working Paper No. 98.2002
Number of pages: 40 Posted: 22 Nov 2002
Working Paper Series
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and Università degli Studi di Milano-Bicocca - Department of Business Administration, Finance, Management and Law
Downloads 2,305
35.

Value Creation in High-Tech: The Case of the Telecommunication Sector

International Journal of Business, Vol. 8, No. 4, 2003
Number of pages: 16 Posted: 27 Oct 2003
Accepted Paper Series
IPAG Business School and Ecole Nationale Superieure des Telecommunications
Downloads 2,295
36.

Volatility Forecasting

PIER Working Paper No. 05-011; CFS Working Paper No. 2005/08
Number of pages: 114 Posted: 28 Feb 2005
Working Paper Series
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,215
37.

Stock Market Sensitivity to Interest Rates and Inflation

EFMA 2003 Helsinki Meetings
Number of pages: 39 Posted: 26 May 2003
Working Paper Series
EDHEC Business School
Downloads 2,214
38.

Controlling Organized Crime and Corruption in the Public Sector

Forum on Crime and Society, Vol. 3, Nos. 1/2, December 2003
Number of pages: 32 Posted: 19 Sep 2006
Accepted Paper Series
International Law and Economic Development Center
Downloads 2,170
39.

ANANTA: A Systematic Quantitative FX Trading Strategy

Number of pages: 20 Posted: 02 Apr 2014 Last Revised: 29 May 2014
Working Paper Series
Independent
Downloads 2,161
40.

Realized Variance and Market Microstructure Noise

Number of pages: 58 Posted: 26 Feb 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 2,139
41.

Multivariate GARCH Models: A Survey

CORE Discussion Paper No. 2003/31
Number of pages: 39 Posted: 06 Aug 2003
Working Paper Series
Université catholique de Louvain, French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) and HEC Montreal
Downloads 2,109
42.

How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice

Number of pages: 146 Posted: 29 Feb 2016 Last Revised: 13 Feb 2017
Working Paper Series
Stanford University - Department of Political Science, Stanford University, Department of Political Science, Students and University of California, San Diego
Downloads 1,904
43.

Development and Outcomes of Investment Treaty Arbitration

Harvard International Law Journal, Vol. 50, No. 2, Summer 2009, Washington & Lee Legal Studies Paper No. 2009-04
Number of pages: 57 Posted: 11 Jun 2009 Last Revised: 01 Sep 2009
Accepted Paper Series
American University - Washington College of Law
Downloads 1,866
44.

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Number of pages: 43 Posted: 03 Apr 1999
Working Paper Series
Stanford University - Graduate School of Business, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Stanford University - Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,859
45.

Is It Worth the While? The Relevance of Qualitative Information in Credit Rating

EFMA 2003 Helinski Meetings
Number of pages: 25 Posted: 24 Jun 2003
Working Paper Series
Universitaet Konstanz - Center of Finance & Econometrics (CoFE)
Downloads 1,835
46.

The Scientific Outlook in Financial Economics

Duke I&E Research Paper No. 2017-05
Number of pages: 38 Posted: 10 Jan 2017 Last Revised: 17 Jul 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 1,829
47.

Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 45, No. 3, 2009
Number of pages: 28 Posted: 29 Apr 2008 Last Revised: 09 May 2011
Accepted Paper Series
Delta Lloyd, Cardano Risk Management, Maastricht University and ING Group
Downloads 1,792
48.

An MCMC Approach to Classical Estimation

MIT Department of Economics Working Paper No. 03-21
Number of pages: 55 Posted: 15 Jul 2003
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Independent
Downloads 1,738
49.

A Two-Sided, Empirical Model of Television Advertising and Viewing Markets

Number of pages: 46 Posted: 27 Feb 2006
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,716
50.

Quantifying Trading Behavior in Financial Markets Using Google Trends

Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
Number of pages: 6 Posted: 04 May 2013
Accepted Paper Series
Data Science Lab, Behavioural Science, Warwick Business School, University College London - Department of Civil, Environmental and Geomatic Engineering and Boston University - Center for Polymer Studies
Downloads 1,704