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JEL Code: C10

1,101,193 Total downloads

Viewing: 1 - 50 of 2,120 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 254,502
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 75,416
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 37,715
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 32,239
5.

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

2016 Charles H. Dow Award Updated Through December 31, 2020
Number of pages: 24 Posted: 07 Mar 2016 Last Revised: 09 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 23,912
6.

Lumber: Worth Its Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Founders Award Winner Updated Through November 30, 2020
Number of pages: 20 Posted: 11 May 2015 Last Revised: 14 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 21,744
7.

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

2014 Charles H. Dow Award Winner Updated Through October 31, 2020
Number of pages: 18 Posted: 31 Mar 2014 Last Revised: 11 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 19,715
8.

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 16,269
9.

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 Royal Bridge Capital
Downloads 11,642
10.

Qualitative and Quantitative Research: How to Choose the Best Design

Presented at Academic Business World International Conference. Nashville, Tennessee. May, 2007
Number of pages: 5 Posted: 20 Mar 2013
Accepted Paper Series
Pensacola Christian College
Downloads 9,747
11.

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 9,480
12.

Autoencoder Asset Pricing Models

Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35 Posted: 07 Mar 2019 Last Revised: 01 Oct 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 8,779
13.

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 Updated Through November 30, 2020
Number of pages: 21 Posted: 01 May 2014 Last Revised: 20 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 8,771
14.

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 8,585
15.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 8,282
16.

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 7,536
17.

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 - Accounting and Finance Division and Harvest Alpha Capital
Downloads 6,885
18.

Augmented Dickey Fuller Test

Number of pages: 19 Posted: 17 Aug 2011
Working Paper Series
Université Paris I Panthéon-Sorbonne
Downloads 5,766
19.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 07 Sep 2021
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 5,722
20.

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 5,581
21.

Factor Models, Machine Learning, and Asset Pricing

Number of pages: 35 Posted: 18 Oct 2021 Last Revised: 18 Feb 2022
Working Paper Series
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business
Downloads 4,803
22.

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 Athens, Department of Business Administration
Downloads 4,517
23.

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

Number of pages: 27 Posted: 16 Aug 2012
Working Paper Series
Brooklyn College of the City University of New York, Baruch College, CUNY - Zicklin School of Business and City University of New York (CUNY) - Department of Finance
Downloads 4,483
24.

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
Downloads 4,443
25.

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 Alliance Manchester Business School, University of Manchester

Multiple version iconThere are 2 versions of this paper

Downloads 4,384
26.

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 4,322
27.

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 Alliance Manchester Business School, University of Manchester
Downloads 4,083
28.

Shock-Based Causal Inference in Corporate Finance and Accounting Research

Critical Finance Review, 2016, vol. 5, pp. 207-304, ECGI - Finance Working Paper 448/2015, Northwestern Law & Econ Research Paper 11-08
Number of pages: 98 Posted: 08 May 2013 Last Revised: 14 Jan 2017
Accepted Paper Series
William and Mary - Raymond A. Mason School of Business and Northwestern University - Pritzker School of Law
Downloads 3,583
29.

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

Political Analysis, forthcoming
Number of pages: 150 Posted: 29 Feb 2016 Last Revised: 29 Apr 2018
Accepted Paper Series
Stanford University - Department of Political Science, Princeton University and Stanford University
Downloads 3,526
30.

LIBOR Manipulation?

Number of pages: 49 Posted: 05 Aug 2008 Last Revised: 11 Aug 2008
Working Paper Series
The Brattle Group, affiliation not provided to SSRN, The Brattle Group and Milgard School of Business, UWT
Downloads 3,484
31.

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 3,454
32.

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 3,434
33.

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 3,417
34.

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 3,395
35.

Night Moves: Is the Overnight Drift the Grandmother of All Market Anomalies

Number of pages: 12 Posted: 30 Jun 2022
Working Paper Series
Elm Partners, Independent and Royal Bridge Capital
Downloads 3,389
36.

Paired-Switching for Tactical Portfolio Allocation

Number of pages: 4 Posted: 26 Aug 2011 Last Revised: 21 Sep 2011
Working Paper Series
Independent and Independent
Downloads 3,327
37.

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 3,321
38.

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 3,245
39.

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 3,218
40.

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 3,124
41.

Presidential Address: The Scientific Outlook in Financial Economics

Duke I&E Research Paper No. 2017-05
Number of pages: 38 Posted: 10 Jan 2017 Last Revised: 22 Dec 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 3,107
42.

Stock Market Sensitivity to Interest Rates and Inflation

Number of pages: 39 Posted: 26 May 2003
Working Paper Series
EDHEC BUSINESS SCHOOL
Downloads 2,976
43.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads 2,967
44.

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Number of pages: 12 Posted: 10 Dec 2011
Working Paper Series
Independent and affiliation not provided to SSRN
Downloads 2,965
45.

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Number of pages: 57 Posted: 26 Jul 2021 Last Revised: 15 Jun 2022
Working Paper Series
HEC Montreal - Department of Decision Sciences, University of Neuchâtel - Institute of Financial Analysis and University of Neuchatel - Institute of Financial Analysis
Downloads 2,954
46.

Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA)

Number of pages: 15 Posted: 15 Dec 2019 Last Revised: 22 Jan 2020
Working Paper Series
VU University Amsterdam
Downloads 2,939
47.

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 2,828
48.

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 2,825
49.

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 2,683
50.

Credit-Informed Tactical Asset Allocation

Number of pages: 13 Posted: 26 Jun 2011 Last Revised: 13 Jul 2021
Working Paper Series
University of California
Downloads 2,616