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JEL Code: G02

647,163 Total downloads

Viewing: 1 - 50 of 1,705 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 57,125
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 25,976
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 20,171
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 11,644
5.

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

Number of pages: 92 Posted: 02 Jan 2019 Last Revised: 20 Jul 2021
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

Multiple version iconThere are 2 versions of this paper

Downloads 11,392
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 9,735
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
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 9,338
8.

Feverish Stock Price Reactions to COVID-19

Review of Corporate Finance Studies, Volume 9, Issue 3, November 2020, Pages 622–655, Swiss Finance Institute Research Paper No. 20-12
Number of pages: 58 Posted: 09 Mar 2020 Last Revised: 22 Aug 2021
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 8,461
9.

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 8,077
10.

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 7,551
11.

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 7,387
12.

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 6,974
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 5,055
14.

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

Number of pages: 18 Posted: 07 Aug 2020 Last Revised: 22 Aug 2021
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 4,914
15.

Do Alpha Males Deliver Alpha? Facial Width-to-Height Ratio and Hedge Funds

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 66 Posted: 18 Jan 2018 Last Revised: 15 Dec 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 4,445
16.

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
Université Paris Dauphine
Downloads 4,279
17.

Behavioral Finance

Number of pages: 69 Posted: 15 Aug 2014 Last Revised: 01 Oct 2014
Working Paper Series
David A. Hirshleifer
Marshall School of Business, USC

Multiple version iconThere are 2 versions of this paper

Downloads 4,230
18.

Cryptocurrency: A New Investment Opportunity?

Number of pages: 38 Posted: 30 Jun 2017 Last Revised: 09 Jun 2021
Working Paper Series
David Kuo Chuen Lee, Li Guo and Yu Wang
Singapore University of Social Sciences (SUSS), Fudan University - School of Economics and Shanghai University of Finance and Economics - School of Economics
Downloads 4,135
19.

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 3,837
20.

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 3,549
21.

Option Return Predictability

Review of Financial Studies, Vol. 35, 2022, 27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 78 Posted: 06 Dec 2015 Last Revised: 01 Mar 2022
Accepted Paper Series
Xintong Zhan, Bing Han, Jie Cao and Qing Tong
Department of Finance, School of Management, Fudan University, University of Toronto, Rotman School of Management, The Hong Kong Polytechnic University - School of Accounting and Finance and Shanghai LiLi Technology Co.,Ltd.
Downloads 3,497
22.

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

Number of pages: 12 Posted: 30 Jun 2022
Working Paper Series
Victor Haghani, Vladimir V Ragulin and Richard Dewey
Elm Partners, Independent and Royal Bridge Capital
Downloads 3,407
23.

The Misguided Beliefs of Financial Advisors

Journal of Finance, Forthcoming, Kelley School of Business Research Paper No. 18-9
Number of pages: 66 Posted: 20 Jan 2018 Last Revised: 22 Mar 2021
Accepted 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 3,282
24.

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 3,210
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 3,078
26.

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, Government of the United States of America - 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 2,949
27.

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 2,711
28.

Forced Entrepreneurs

Journal of Finance, Forthcoming
Number of pages: 45 Posted: 29 Jun 2016 Last Revised: 21 Oct 2021
Accepted Paper Series
Isaac Hacamo and Kristoph Kleiner
Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 2,690
29.

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 Hong Kong Polytechnic University - School of Accounting and Finance and University of Toronto, Rotman School of Management
Downloads 2,593
30.

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 2,547
31.

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 2,499
32.

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 2,403
33.

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 2,328
34.

Impact of Behavioral Biases on Investment Decision; Moderating Role of Financial Literacy

Number of pages: 14 Posted: 26 Sep 2016 Last Revised: 10 Nov 2016
Working Paper Series
Amir Hayat and Muhammad Anwar
International Islamic University, Islamabad and International Islamic University Pakistan
Downloads 2,281
35.

The Effects of a 'Black Swan' Event (COVID-19) on Herding Behavior in Cryptocurrency Markets: Evidence from Cryptocurrency USD, EUR, JPY and KRW Markets

Number of pages: 57 Posted: 29 Apr 2020
Working Paper Series
Larisa Yarovaya, Roman Matkovskyy and Akanksha Jalan
University of Southampton - Southampton Business School, Rennes School of Business and ESC Rennes School of Business
Downloads 2,246
36.

The Return Expectations of Public Pension Funds

Stanford University Graduate School of Business Research Paper No. 18-5, 9th Miami Behavioral Finance Conference 2018
Number of pages: 99 Posted: 06 Nov 2019 Last Revised: 02 Oct 2021
Working Paper Series
Aleksandar Andonov and Joshua D. Rauh
University of Amsterdam and Stanford Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,160
37.

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 2,143
38.

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

Number of pages: 29 Posted: 03 Mar 2017 Last Revised: 06 Jul 2021
Working Paper Series
Steven Moffitt
Stuart School of Business, Illinois Institute of Technology
Downloads 2,128
39.

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 2,066
40.

Get Real! Individuals Prefer More Sustainable Investments

The Review of Financial Studies, Volume 34, Issue 8, August 2021, Pages 3976–4043
Number of pages: 100 Posted: 21 Nov 2018 Last Revised: 23 Nov 2021
Accepted Paper Series
Rob Bauer, Tobias Ruof and Paul Smeets
Maastricht University, Maastricht University and Maastricht University
Downloads 2,050
41.

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
Chapman University - The George L. Argyros School of Business & Economics and China Europe International Business School
Downloads 2,023
42.

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
Downloads 1,969
43.

Bitcoin is Exactly Like Gold Except When it Isn't

Number of pages: 21 Posted: 12 Feb 2021
Working Paper Series
Claude B. Erb
TR
Downloads 1,926
44.

Decision-Making Under the Gambler's Fallacy: Evidence from Asylum Judges, Loan Officers, and Baseball Umpires

Quarterly Journal of Economics, Vol. 131, No. 3, Pages 1181-1241, 2016
Number of pages: 60 Posted: 15 Dec 2014 Last Revised: 16 Dec 2020
Accepted Paper Series
Daniel L. Chen, Tobias J. Moskowitz, Tobias J. Moskowitz and Kelly Shue
Directeur de Recherche, Centre National de la Recherche Scientifique, Toulouse School of Economics, Institute for Advanced Study in Toulouse, University of Toulouse Capitole, Toulouse, France, Yale University, Yale SOMAQR Capital and Yale School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 1,921
45.

Management Disclosure of Risk Factors and COVID-19

Number of pages: 4 Posted: 14 Apr 2020
Working Paper Series
Tim Loughran and Bill McDonald
University of Notre Dame and University of Notre Dame - Mendoza College of Business - Department of Finance
Downloads 1,917
46.

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 1,884
47.

Active and Passive Investing: Understanding Samuelson's Dictum

Number of pages: 68 Posted: 15 Oct 2018 Last Revised: 26 Aug 2021
Working Paper Series
Nicolae Garleanu and Lasse Heje Pedersen
University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC
Downloads 1,786
48.

Low-carbon Mutual Funds

Swiss Finance Institute Research Paper No. 19-13, European Corporate Governance Institute – Finance Working Paper No. 659/2020
Number of pages: 67 Posted: 19 Feb 2020 Last Revised: 06 May 2022
Working Paper Series
Marco Ceccarelli, Stefano Ramelli and Alexander F. Wagner
Maastricht University - Department of Finance, 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 1,786
49.

Predictable Price Pressure

Number of pages: 58 Posted: 26 May 2021 Last Revised: 30 Jun 2022
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 1,758
50.

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 1,748