Search Results
JEL Code: G02

413,932 Total downloads

Viewing: 1 - 50 of 1,433 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
AQR Capital Management, LLC and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 48,765
2.

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
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads 17,005
3.

Day Trading for a Living?

Number of pages: 17 Posted: 22 Jul 2019 Last Revised: 22 Nov 2019
Working Paper Series
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 11,717
4.

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 8,650
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
University of Chicago - Booth School of Business, Inalytics Limited, Carnegie Mellon University - Department of Social and Decision Sciences and MIT Sloan School of Management
Downloads 8,442
6.

Deep Value

Number of pages: 59 Posted: 28 Nov 2017 Last Revised: 12 Dec 2017
Working Paper Series
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 8,389
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
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 6,932
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
Harvard University - Business School (HBS), Harvard Business School and DePaul University

Multiple version iconThere are 2 versions of this paper

Downloads 6,432
9.

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
AQR Capital Management and AQR Capital Management, LLC
Downloads 5,776
10.

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
AQR Capital Management, LLC
Downloads 5,752
11.

A Century of Evidence on Trend-Following Investing

Number of pages: 26 Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,041
12.

Facial Structure and Delegated Portfolio Management

Number of pages: 58 Posted: 18 Jan 2018 Last Revised: 20 Jan 2020
Working Paper Series
University of Central Florida - College of Business Administration and Singapore Management University - Lee Kong Chian School of Business
Downloads 3,839
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
University of Chicago - Booth School of Business and Boston College - Carroll School of Management
Downloads 3,542
14.

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
University of Adelaide - Business School and Santa Clara University - Leavey School of Business
Downloads 3,494
15.

Behavioral Finance

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,370
16.

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
University of Illinois at Chicago and Northwestern University - Kellogg School of Management
Downloads 2,851
17.

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
Yale School of Management and Yale SOM

Multiple version iconThere are 2 versions of this paper

Downloads 2,349
18.

Regulating Consumer Financial Products: Evidence from Credit Cards

Number of pages: 67 Posted: 26 Sep 2013 Last Revised: 28 Aug 2014
Working Paper Series
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 2,277
19.

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
Dartmouth College - Tuck School of Business, Federal Reserve Bank of Chicago and Indiana University - Kelley School of Business - Department of Finance
Downloads 2,202
20.

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
The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Toronto, Rotman School of Management
Downloads 2,190
21.

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
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 2,146
22.

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
Stuart School of Business, Illinois Institute of Technology
Downloads 1,970
23.

Trend Without Hiccups - A Kalman Filter Approach

Number of pages: 35 Posted: 21 Mar 2016 Last Revised: 26 Apr 2016
Working Paper Series
A.I. Square Connect
Downloads 1,959
24.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 60 Posted: 06 Dec 2015 Last Revised: 14 Jan 2018
Working Paper Series
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 1,924
25.

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
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 1,883
26.

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
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,860
27.

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
University of Duisburg-Essen, Campus Essen and Technische Universität München (TUM) - TUM School of Management
Downloads 1,844
28.

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
University of Chicago - Booth School of Business and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,834
29.

Trends Everywhere

Journal of Investment Management, Forthcoming
Number of pages: 26 Posted: 17 May 2019
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,815
30.

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
University of Miami - Department of Finance and China Europe International Business School
Downloads 1,742
31.

What's Past is Not Prologue

Number of pages: 5 Posted: 08 Aug 2018
Working Paper Series
Elm Partners, Elm Partners and Elm Partners
Downloads 1,695
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
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Downloads 1,665
33.

No News Is News: Do Markets Underreact to Nothing?

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

Multiple version iconThere are 2 versions of this paper

Downloads 1,520
34.

News Momentum

Number of pages: 45 Posted: 26 Oct 2015 Last Revised: 29 Jul 2019
Working Paper Series
Michigan State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Prime Quantitative Research
Downloads 1,491
35.

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
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 1,454
36.

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
University of Lugano, USI Lugano - Institute of Finance and Santa Clara University - Leavey School of Business
Downloads 1,390
37.

Narrative Economics

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

Multiple version iconThere are 2 versions of this paper

Downloads 1,374
38.

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: 59 Posted: 06 Nov 2019 Last Revised: 06 Nov 2019
Working Paper Series
University of Amsterdam and Stanford Graduate School of Business
Downloads 1,360
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
University of Florida - Department of Finance, Insurance and Real Estate
Downloads 1,359
40.

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
Socionomics Institute, Socionomics Institute and The Socionomics Institute
Downloads 1,321
41.

CEO Overconfidence and Stock Price Crash Risk

Contemporary Accounting Research, Forthcoming
Number of pages: 48 Posted: 27 Sep 2013 Last Revised: 11 Apr 2015
Accepted Paper Series
City University of Hong Kong, City University of Hong Kong (CityUHK) and Singapore Management University - School of Accountancy
Downloads 1,318
42.

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
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 1,292
43.

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
Interdisciplinary Center (IDC) Herzliyah - Radzyner School of Law
Downloads 1,291
44.

Social Media, News Media and the Stock Market

Number of pages: 50 Posted: 02 Apr 2016 Last Revised: 03 Oct 2018
Working Paper Series
Maastricht University - Department of Finance, Imperial College London and University of Warwick - Warwick Business School
Downloads 1,286
45.

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
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 1,264
46.

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
University of Toronto - Rotman School of Management and Princeton University
Downloads 1,245
47.

Diversify and Purify Factor Premiums in Equity Markets

Number of pages: 24 Posted: 09 Jan 2017
Working Paper Series
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 1,217
48.

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
Monash University - Monash Business School and University College Dublin
Downloads 1,210
49.

Liquidity Shocks and Stock Market Reactions

Fordham University Schools of Business Research Paper No. 2020476
Number of pages: 108 Posted: 13 Mar 2012 Last Revised: 22 Sep 2013
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley University and Fordham University - Gabelli School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 1,179
50.

Crash Beliefs from Investor Surveys

Number of pages: 34 Posted: 21 Mar 2016
Working Paper Series
Yale School of Management - International Center for Finance, Office of Financial Research, US Department of the Treasury and Yale University - Cowles Foundation

Multiple version iconThere are 2 versions of this paper

Downloads 1,160