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
There 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
There are 2 versions of this paper
Betting Against Correlation: Testing Theories of the Low-Risk Effect
Number of pages: 73
Posted: 08 Feb 2017
Last Revised: 21 Jun 2018
Downloads
6,932
Betting Against Correlation: Testing Theories of the Low-Risk Effect
CEPR Discussion Paper No. DP12686
Number of pages: 65
Posted: 14 Feb 2018
Downloads
2
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
There are 2 versions of this paper
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
Downloads
6,432
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
There are 2 versions of this paper
Behavioral Finance
Number of pages: 69
Posted: 15 Aug 2014
Last Revised: 01 Oct 2014
Downloads
3,370
Behavioral Finance
Annual Review of Financial Economics, Vol. 7, pp. 133-159, 2015
Posted: 11 Dec 2015
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
There are 2 versions of this paper
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
Downloads
2,349
Excess Volatility: Beyond Discount Rates
NBER Working Paper No. w22045
Number of pages: 86
Posted: 01 Mar 2016
Downloads
23
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
There are 2 versions of this paper
Regulating Consumer Financial Products: Evidence from Credit Cards
Number of pages: 67
Posted: 26 Sep 2013
Last Revised: 28 Aug 2014
Downloads
2,277
Regulating Consumer Financial Products: Evidence from Credit Cards
NBER Working Paper No. w19484
Number of pages: 70
Posted: 28 Sep 2013
Last Revised: 02 Mar 2018
Downloads
44
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
There are 2 versions of this paper
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
Downloads
2,146
CEO Personality and Firm Policies
NBER Working Paper No. w22435
Number of pages: 61
Posted: 25 Jul 2016
Downloads
56
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
There are 2 versions of this paper
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
Downloads
1,883
Shiller's Cape: Market Efficiency and Risk
Financial Review, Vol. 53, Issue 4, pp. 741-771, 2018
Number of pages: 31
Posted: 04 Oct 2018
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
There are 2 versions of this paper
A Tough Act to Follow: Contrast Effects in Financial Markets
Number of pages: 61
Posted: 03 Jun 2015
Last Revised: 22 Mar 2018
Downloads
1,834
A Tough Act to Follow: Contrast Effects in Financial Markets
NBER Working Paper No. w23883
Number of pages: 62
Posted: 02 Oct 2017
Downloads
15
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
There are 2 versions of this paper
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
Downloads
1,520
No News is News: Do Markets Underreact to Nothing?
NBER Working Paper No. w18914
Number of pages: 64
Posted: 22 Mar 2013
Downloads
18
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
There are 2 versions of this paper
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
Downloads
1,454
Seasonal Variation in Treasury Returns
Critical Finance Review, 4(1), 45-115, 2015, Rotman School of Management Working Paper No. 2620912
Posted: 21 Jun 2015
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
There are 2 versions of this paper
Narrative Economics
Cowles Foundation Discussion Paper No. 2069
Number of pages: 58
Posted: 11 Jan 2017
Last Revised: 13 Jan 2017
Downloads
1,374
Downloads
83
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
There are 2 versions of this paper
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
Downloads
1,264
Powerful Independent Directors
NBER Working Paper No. w19809
Number of pages: 55
Posted: 17 Jan 2014
Last Revised: 21 Sep 2015
Downloads
29
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
There are 3 versions of this paper
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
Downloads
1,179
Liquidity Shocks and Stock Market Reactions
Georgetown McDonough School of Business Research Paper No. 2012-02
Number of pages: 108
Posted: 10 May 2012
Last Revised: 26 Aug 2013
Downloads
267
Liquidity Shocks and Stock Market Reactions
Number of pages: 108
Posted: 15 Mar 2012
Last Revised: 26 Aug 2013
Downloads
135
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
There are 2 versions of this paper
Crash Beliefs from Investor Surveys
NBER Working Paper No. w22143
Number of pages: 58
Posted: 11 Apr 2016
Last Revised: 06 Jul 2018
Downloads
72
Downloads
1,160
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