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JEL Code: G02

365,509 Total downloads

Viewing: 1 - 50 of 1,358 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 42,791
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 - Departamento de Fundamentos del Análisis Económico
Downloads 16,240
3.

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 8,053
4.

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 8,037
5.

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

Number of pages: 52 Posted: 02 Jan 2019 Last Revised: 11 May 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 7,219
6.

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 6,649
7.

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 Business School, Harvard Business School and DePaul University

Multiple version iconThere are 2 versions of this paper

Downloads 5,772
8.

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 5,575
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 5,533
10.

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 4,547
11.

Do Alpha Males Deliver Alpha? Facial Structure and Hedge Funds

Number of pages: 61 Posted: 18 Jan 2018 Last Revised: 12 Feb 2019
Working Paper Series
University of Central Florida - College of Business Administration and Singapore Management University - Lee Kong Chian School of Business
Downloads 3,727
12.

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 3,437
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 3,255
14.

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 3,252
15.

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 2,697
16.

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: 18 Jan 2017
Working Paper Series
Yale School of Management and Yale SOM
Downloads 2,280
17.

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 2,220
18.

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 2,100
19.

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 2,042
20.

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 1,930
21.

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 1,908
22.

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 1,856
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 1,830
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 1,802
25.

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 1,792
26.

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 German Graduate School of Management and Law
Downloads 1,701
27.

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 1,673
28.

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 1,634
29.

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 1,598
30.

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 1,505
31.

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 1,439
32.

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 1,407
33.

News Momentum

Number of pages: 45 Posted: 26 Oct 2015 Last Revised: 09 Jun 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 1,382
34.

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 1,341
35.

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 1,284
36.

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 1,273
37.

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 1,262
38.

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 1,261
39.

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 1,258
40.

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 1,231
41.

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 1,193
42.

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 1,165
43.

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 - BNP Paribas Investment Partners
Downloads 1,159
44.

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 1,154
45.

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 1,141
46.

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 1,138
47.

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 1,137
48.

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: 28 Dec 2017 Last Revised: 15 Mar 2019
Working Paper Series
University of Amsterdam and Stanford Graduate School of Business
Downloads 1,104
49.

Does Rating Analyst Subjectivity Affect Corporate Debt Pricing?

Journal of Financial Economics (JFE), 120 (3), 514-538, June 2016
Number of pages: 56 Posted: 11 Mar 2013 Last Revised: 05 May 2017
Accepted Paper Series
University of Texas at Austin, University of Manchester - Alliance Manchester Business School and University of Maryland - Robert H. Smith School of Business
Downloads 1,060
50.

Trust Busting: The Effect of Fraud on Investor Behavior

Kelley School of Business Research Paper No. 15-70
Number of pages: 53 Posted: 24 Sep 2015 Last Revised: 31 Aug 2017
Working Paper Series
University of Texas at Dallas, Indiana University - Kelley School of Business - Department of Finance and Cornell University - Dyson School of Applied Economics and Management
Downloads 1,036