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JEL Code: G02

472,445 Total downloads

Viewing: 1 - 50 of 1,520 papers

1.

Pulling the Goalie: Hockey and Investment Implications

Number of pages: 13 Posted: 08 Mar 2018 Last Revised: 08 Oct 2018
Working Paper Series
Clifford S. Asness and Aaron Brown
AQR Capital Management, LLC and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 51,712
2.

Day Trading for a Living?

Number of pages: 9 Posted: 22 Jul 2019 Last Revised: 15 Jun 2020
Working Paper Series
Fernando Chague, Rodrigo De-Losso and Bruno Giovannetti
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, University of São Paulo (USP) - Department of Economics and Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics
Downloads 18,626
3.

Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers

Miller, J. B., & Sanjurjo, A. (2018). Surprised by the hot hand fallacy? A truth in the law of small numbers. Econometrica, Vol. 86, No.6, pp. 2019–2047
Number of pages: 42 Posted: 07 Jul 2015 Last Revised: 17 Dec 2018
Working Paper Series
Joshua B. Miller and Adam Sanjurjo
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads 18,088
4.

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

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Victor Haghani and Richard Dewey
Elm Partners and Royal Bridge Capital
Downloads 9,678
5.

Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors

Number of pages: 61 Posted: 02 Jan 2019 Last Revised: 28 Sep 2019
Working Paper Series
Klakow Akepanidtaworn, Rick Di Mascio, Alex Imas and Lawrence Schmidt
University of Chicago - Booth School of Business, Inalytics Limited, University of Chicago - Booth School of Business and MIT Sloan School of Management
Downloads 9,070
6.

Deep Value

Number of pages: 59 Posted: 28 Nov 2017 Last Revised: 12 Dec 2017
Working Paper Series
Clifford S. Asness, John M. Liew, Lasse Heje Pedersen and Ashwin K Thapar
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 8,731
7.

Betting Against Correlation: Testing Theories of the Low-Risk Effect

Number of pages: 73 Posted: 08 Feb 2017 Last Revised: 21 Jun 2018
Working Paper Series
Clifford S. Asness, Andrea Frazzini, Niels Joachim Gormsen and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC, University of Chicago - Booth School of Business and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 7,277
8.

Lazy Prices

2019 Academic Research Colloquium for Financial Planning and Related Disciplines
Number of pages: 90 Posted: 14 Aug 2010 Last Revised: 28 Mar 2019
Working Paper Series
Lauren Cohen, Christopher J. Malloy and Quoc Nguyen
Harvard University - Business School (HBS), Harvard Business School and DePaul University

Multiple version iconThere are 2 versions of this paper

Downloads 7,154
9.

Sharpening the Arithmetic of Active Management

Financial Analysts Journal, 2018, 74 (1): 21-36
Number of pages: 23 Posted: 07 Oct 2016 Last Revised: 23 Feb 2018
Working Paper Series
Lasse Heje Pedersen
AQR Capital Management, LLC
Downloads 6,207
10.

Which Trend Is Your Friend?

Financial Analysts Journal, vol. 72, no. 3 (May/June 2016)
Number of pages: 32 Posted: 10 May 2015 Last Revised: 19 Apr 2016
Accepted Paper Series
Ari Levine and Lasse Heje Pedersen
AQR Capital Management and AQR Capital Management, LLC
Downloads 6,168
11.

A Century of Evidence on Trend-Following Investing

Number of pages: 26 Posted: 28 Jun 2017
Working Paper Series
Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,785
12.

Feverish Stock Price Reactions to COVID-19

Forthcoming, Review of Corporate Finance Studies, Swiss Finance Institute Research Paper No. 20-12
Number of pages: 58 Posted: 09 Mar 2020 Last Revised: 30 Jun 2020
Accepted Paper Series
Stefano Ramelli and Alexander F. Wagner
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,434
13.

The Dividend Disconnect

7th Miami Behavioral Finance Conference 2016
Number of pages: 56 Posted: 29 Nov 2016 Last Revised: 30 Aug 2018
Working Paper Series
Samuel M. Hartzmark and David H. Solomon
University of Chicago - Booth School of Business and Boston College - Carroll School of Management
Downloads 4,075
14.

Do Alpha Males Deliver Alpha? Testosterone and Hedge Funds

Number of pages: 58 Posted: 18 Jan 2018 Last Revised: 17 Aug 2020
Working Paper Series
Yan Lu and Melvyn Teo
University of Central Florida - College of Business Administration and Singapore Management University - Lee Kong Chian School of Business
Downloads 3,940
15.

Technical Analysis and Individual Investors

Journal of Economic Behavior and Organization, 107 (November), pp. 487-511
Number of pages: 67 Posted: 27 Feb 2014 Last Revised: 13 Jan 2015
Accepted Paper Series
Arvid O. I. Hoffmann and Hersh Shefrin
University of Adelaide - Business School and Santa Clara University - Leavey School of Business
Downloads 3,598
16.

Behavioral Finance

Number of pages: 69 Posted: 15 Aug 2014 Last Revised: 01 Oct 2014
Working Paper Series
David A. Hirshleifer
University of California, Irvine - Paul Merage School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,509
17.

Gold, the Golden Constant, COVID-19, 'Massive Passives' and Déjà Vu

Number of pages: 18 Posted: 07 Aug 2020 Last Revised: 17 Sep 2020
Working Paper Series
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 3,290
18.

The Loss of Loss Aversion: Will It Loom Larger Than Its Gain?

Journal of Consumer Psychology, Forthcoming
Number of pages: 59 Posted: 09 Oct 2017 Last Revised: 26 Apr 2018
Accepted Paper Series
David Gal and Derek Rucker
University of Illinois at Chicago and Northwestern University - Kellogg School of Management
Downloads 2,935
19.

Regulating Consumer Financial Products: Evidence from Credit Cards

Number of pages: 67 Posted: 26 Sep 2013 Last Revised: 28 Aug 2014
Working Paper Series
Sumit Agarwal, Souphala Chomsisengphet, Neale Mahoney and Johannes Stroebel
National University of Singapore, Office of the Comptroller of the Currency (OCC), University of Chicago Booth School of Business and New York University (NYU) - Leonard N. Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,671
20.

The Misguided Beliefs of Financial Advisors

Kelley School of Business Research Paper No. 18-9
Number of pages: 66 Posted: 20 Jan 2018 Last Revised: 23 May 2018
Working Paper Series
Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero
Dartmouth College - Tuck School of Business, Federal Reserve Bank of Chicago and Indiana University - Kelley School of Business - Department of Finance
Downloads 2,435
21.

Excess Volatility: Beyond Discount Rates

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-13
Number of pages: 70 Posted: 06 Mar 2015 Last Revised: 30 Jul 2019
Working Paper Series
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM

Multiple version iconThere are 2 versions of this paper

Downloads 2,405
22.

Cross-Section of Option Returns and Idiosyncratic Stock Volatility

AFA 2012 Chicago Meetings Paper, Journal of Financial Economics (JFE), Vol. 108, No. 1, 2013, McCombs Research Paper Series No. FIN-15-09
Number of pages: 48 Posted: 17 Mar 2011 Last Revised: 27 Nov 2016
Accepted Paper Series
Jie Cao and Bing Han
The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Toronto, Rotman School of Management
Downloads 2,277
23.

CEO Personality and Firm Policies

6th Miami Behavioral Finance Conference, Stanford University Graduate School of Business Research Paper No. 16-34, Chicago Booth Research Paper No. 16-13, Fama-Miller Working Paper, Rock Center for Corporate Governance at Stanford University Working Paper No. 220
Number of pages: 62 Posted: 08 Jul 2016 Last Revised: 10 Aug 2016
Working Paper Series
Ian D. Gow, Steven N. Kaplan, David F. Larcker and Anastasia A. Zakolyukina
University of Melbourne, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,239
24.

Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 565/2018
Number of pages: 61 Posted: 09 Aug 2017 Last Revised: 11 Apr 2019
Working Paper Series
Samuel M. Hartzmark and Abigail B. Sussman
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 2,208
25.

Trends Everywhere

Journal of Investment Management, Forthcoming, NYU Stern School of Business
Number of pages: 26 Posted: 17 May 2019
Working Paper Series
Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Heje Pedersen and Erik Stamelos
AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,208
26.

Trend Without Hiccups - A Kalman Filter Approach

Number of pages: 35 Posted: 21 Mar 2016 Last Revised: 26 Apr 2016
Working Paper Series
Eric Benhamou
A.I. Square Connect
Downloads 2,114
27.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 66 Posted: 06 Dec 2015 Last Revised: 08 Jun 2020
Working Paper Series
Jie Cao, Bing Han, Qing Tong and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management, School of Business, Renmin University of China and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 2,105
28.

Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists

Number of pages: 30 Posted: 03 Mar 2017 Last Revised: 31 Aug 2017
Working Paper Series
Steven Moffitt
Stuart School of Business, Illinois Institute of Technology
Downloads 2,006
29.

Anomalies Across the Globe: Once Public, No Longer Existent?

Journal of Financial Economics, Forthcoming
Number of pages: 46 Posted: 02 Aug 2016 Last Revised: 21 Oct 2018
Accepted Paper Series
Heiko Jacobs and Sebastian Müller
University of Duisburg-Essen, Campus Essen and Technische Universität München (TUM) - TUM School of Management
Downloads 1,985
30.

Shiller's CAPE: Market Efficiency and Risk

Georgetown McDonough School of Business Research Paper No. 2876644
Number of pages: 37 Posted: 30 Nov 2016 Last Revised: 13 Apr 2018
Working Paper Series
Valentin Dimitrov and Prem C. Jain
Rutgers, The State University of New Jersey - Accounting & Information Systems and Georgetown University - Department of Accounting and Business Law

Multiple version iconThere are 2 versions of this paper

Downloads 1,911
31.

A Tough Act to Follow: Contrast Effects in Financial Markets

Number of pages: 61 Posted: 03 Jun 2015 Last Revised: 22 Mar 2018
Working Paper Series
Samuel M. Hartzmark and Kelly Shue
University of Chicago - Booth School of Business and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,888
32.

Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market

Number of pages: 4 Posted: 02 Dec 2016 Last Revised: 05 Dec 2016
Working Paper Series
Victor Haghani and Andrew Morton
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Downloads 1,813
33.

Shaped by Their Daughters: Executives, Female Socialization, and Corporate Social Responsibility

Journal of Financial Economics (JFE), 2017
Number of pages: 51 Posted: 16 Jun 2015 Last Revised: 14 Dec 2017
Accepted Paper Series
Henrik Cronqvist and Frank Yu
University of Miami - Department of Finance and China Europe International Business School
Downloads 1,809
34.

What's Past is Not Prologue

Number of pages: 5 Posted: 08 Aug 2018
Working Paper Series
James White, Jeffrey Rosenbluth and Victor Haghani
Elm Partners, Elm Partners and Elm Partners
Downloads 1,740
35.

The Return Expectations of Institutional Investors

Stanford University Graduate School of Business Research Paper No. 18-5, 9th Miami Behavioral Finance Conference 2018
Number of pages: 53 Posted: 06 Nov 2019 Last Revised: 01 Jun 2020
Working Paper Series
Aleksandar Andonov and Joshua D. Rauh
University of Amsterdam and Stanford Graduate School of Business
Downloads 1,611
36.

Narrative Economics

Cowles Foundation Discussion Paper No. 2069
Number of pages: 58 Posted: 11 Jan 2017 Last Revised: 13 Jan 2017
Working Paper Series
Robert J. Shiller
Yale University - Cowles Foundation

Multiple version iconThere are 2 versions of this paper

Downloads 1,543
37.

No News Is News: Do Markets Underreact to Nothing?

Chicago Booth Research Paper No. 12-41, Midwest Finance Association 2013 Annual Meeting Paper, Fama-Miller Working Paper
Number of pages: 73 Posted: 01 Sep 2012 Last Revised: 11 Sep 2014
Working Paper Series
Stefano Giglio and Kelly Shue
Yale School of Management and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,532
38.

Social Media, News Media and the Stock Market

Number of pages: 64 Posted: 02 Apr 2016 Last Revised: 29 Feb 2020
Working Paper Series
Peiran Jiao, Andre Veiga and Ansgar Walther
Maastricht University - Department of Finance, Imperial College London and Imperial College London
Downloads 1,525
39.

The Cash Conversion Cycle Spread

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58 Posted: 08 May 2017 Last Revised: 05 Aug 2018
Working Paper Series
Baolian Wang
University of Florida - Department of Finance, Insurance and Real Estate
Downloads 1,501
40.

Seasonal Variation in Treasury Returns

Rotman School of Management Working Paper No. 1076644
Number of pages: 51 Posted: 20 Dec 2007 Last Revised: 29 Jan 2014
Working Paper Series
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,476
41.

Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory

Swiss Finance Institute Research Paper No. 12-21
Number of pages: 47 Posted: 18 May 2012 Last Revised: 20 Mar 2017
Working Paper Series
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 1,442
42.

Behavioral Finance Beyond the Markets: A Real-Time Case Study of Russia's Military Resurgence

The Journal of Behavioral Finance & Economics, Vol. 5, Issues 1-2, pp. 145-164, 2016
Number of pages: 16 Posted: 10 Aug 2017 Last Revised: 13 Aug 2017
Accepted Paper Series
Matt Lampert, Alyssa Hayden and Alan M. Hall
Socionomics Institute, Socionomics Institute and The Socionomics Institute
Downloads 1,392
43.

A Study on Technical Analysis and Its Usefulness in Indian Stock Market

(2014). Mirror, 3, (2), 159-165. ISSN:2249-8117
Number of pages: 17 Posted: 14 Mar 2018
Accepted Paper Series
Asha E. Thomas
Mahatma Gandhi University
Downloads 1,372
44.

CEO Overconfidence and Stock Price Crash Risk

Contemporary Accounting Research, Forthcoming
Number of pages: 48 Posted: 27 Sep 2013 Last Revised: 05 Aug 2020
Accepted Paper Series
Jeong-Bon Kim, Zheng Wang and Liandong Zhang
City University of Hong Kong, City University of Hong Kong and Singapore Management University - School of Accountancy
Downloads 1,371
45.

Textual Sentiment in Finance: A Survey of Methods and Models

International Review of Financial Analysis, Vol. 33, 2014
Number of pages: 46 Posted: 09 Feb 2013 Last Revised: 05 Apr 2016
Accepted Paper Series
Colm Kearney and Sha Liu
Monash University - Monash Business School and University College Dublin
Downloads 1,349
46.

Culture and Law in Corporate Governance

European Corporate Governance Institute (ECGI) - Law Working Paper No. 247/2014
Number of pages: 59 Posted: 15 Mar 2014
Working Paper Series
Amir N. Licht
Interdisciplinary Center (IDC) Herzliyah - Radzyner School of Law
Downloads 1,338
47.

Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions in Crisis

Journal of Banking and Finance, August 2014, Volume 45: pp. 117-139, Fordham University Schools of Business Research Paper No. 2279686
Number of pages: 77 Posted: 16 Jun 2013 Last Revised: 07 Mar 2015
Accepted Paper Series
Ren-Raw Chen, N.K. Chidambaran, Michael B. Imerman and Ben J. Sopranzetti
Fordham University - Gabelli School of Business, Fordham University - Gabelli School of Business, Claremont Colleges - Peter F. Drucker Graduate School of Management and Rutgers Business School: Newark and New Brunswick
Downloads 1,328
48.

Mood Beta and Seasonalities in Stock Returns

Journal of Financial Economics, 2020, 137(1): 272-295
Number of pages: 63 Posted: 07 Dec 2016 Last Revised: 14 Jul 2020
Accepted Paper Series
David A. Hirshleifer, Danling Jiang and Yuting Meng
University of California, Irvine - Paul Merage School of Business, College of Business, Stony Brook University and University of South Florida - Department of Finance
Downloads 1,315
49.

Powerful Independent Directors

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 404/2014
Number of pages: 61 Posted: 11 Jan 2014 Last Revised: 11 Sep 2015
Working Paper Series
Kathy Fogel, Liping Ma and Randall Morck
Suffolk University - Department of Finance, University of Texas at Dallas - Naveen Jindal School of Management and University of Alberta - Department of Finance and Statistical Analysis

Multiple version iconThere are 2 versions of this paper

Downloads 1,297
50.

Do Managers Overreact to Salient Risks? Evidence from Hurricane Strikes

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 60 Posted: 22 Nov 2013 Last Revised: 30 Jun 2017
Accepted Paper Series
Olivier Dessaint and Adrien Matray
INSEAD and Princeton University
Downloads 1,296