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JEL Code: G10

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Viewing: 1 - 50 of 7,997 papers

1.

The Capital Asset Pricing Model: Some Empirical Tests

Michael C. Jensen, STUDIES IN THE THEORY OF CAPITAL MARKETS, Praeger Publishers Inc., 1972
Number of pages: 54 Posted: 13 Jun 2006
Accepted Paper Series
Harvard Business School, Sloan School of Management, MIT (Deceased) and Stanford Graduate School of Business
Downloads 38,721
2.

Risk Premia Harvesting Through Dual Momentum

Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55
Number of pages: 37 Posted: 19 Apr 2012 Last Revised: 23 May 2017
Accepted Paper Series
Portfolio Management Consultants
Downloads 31,663
3.

Global Value: Building Trading Models with the 10 Year CAPE

Cambria Quantitative Research, No. 5, August 2012
Number of pages: 15 Posted: 21 Aug 2012 Last Revised: 13 Sep 2012
Accepted Paper Series
Cambria Investment Management
Downloads 30,722
4.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads 29,820
5.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition

Number of pages: 114 Posted: 24 Mar 2013
Working Paper Series
New York University - Stern School of Business
Downloads 27,092
6.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 27,081
7.

How Active is Your Fund Manager? A New Measure That Predicts Performance

AFA 2007 Chicago Meetings Paper, Yale ICF Working Paper No. 06-14, EFA 2007 Ljubljana Meetings Paper
Number of pages: 47 Posted: 21 Mar 2006 Last Revised: 09 Feb 2019
Accepted Paper Series
University of Notre Dame and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 26,769
8.

The Golden Dilemma

Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48 Posted: 06 Jun 2012 Last Revised: 28 Aug 2015
Accepted Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 23,670
9.

Risk Management for Hedge Funds: Introduction and Overview

Number of pages: 36 Posted: 13 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 17,730
10.

Establishing a Pecking Order for Finance Academics: Ranking of U.S. Finance Doctoral Programs

Number of pages: 17 Posted: 13 Mar 2007
Working Paper Series
St. Joseph's University - Haub School of Business
Downloads 17,313
11.

Value Investing: Investing for Grown Ups?

Number of pages: 79 Posted: 20 Apr 2012 Last Revised: 27 Jun 2012
Working Paper Series
New York University - Stern School of Business
Downloads 16,037
12.

Quality Minus Junk

Number of pages: 80 Posted: 19 Aug 2013 Last Revised: 10 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 15,348
13.

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 15,255
14.

The Fall of Enron

Harvard NOM Working Paper No. 03-38
Number of pages: 46 Posted: 17 Oct 2003
Accepted Paper Series
Harvard University - Harvard Business School and Harvard Business School
Downloads 13,571
15.

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting, Forthcoming
Number of pages: 44 Posted: 25 May 2005
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 11,592
16.

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School

Multiple version iconThere are 3 versions of this paper

Downloads 11,379
17.

Institutional Investors and Stock Market Volatility

MIT Department of Economics Working Paper No. 03-30
Number of pages: 51 Posted: 11 Sep 2003 Last Revised: 01 Jun 2010
Accepted Paper Series
Harvard University - Department of Economics, Boston University - Center for Polymer Studies, Boston University - Center for Polymer Studies and Boston University - Center for Polymer Studies

Multiple version iconThere are 2 versions of this paper

Downloads 10,936
18.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 10,829
19.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 10,673
20.

Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation

Number of pages: 38 Posted: 18 Oct 2014 Last Revised: 15 Jul 2015
Working Paper Series
Boston University - Department of Finance & Economics
Downloads 10,589
21.

Stock Valuation and Investment Strategies

Yale ICF Working Paper No. 00-46
Number of pages: 55 Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and University of Hong Kong
Downloads 10,027
22.

Efficient Markets Hypothesis

THE NEW PALGRAVE: A DICTIONARY OF ECONOMICS, L. Blume, S. Durlauf, eds., 2nd Edition, Palgrave Macmillan Ltd., 2007
Number of pages: 28 Posted: 06 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 9,964
23.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,394
24.

Active Share and Mutual Fund Performance

Number of pages: 47 Posted: 02 Oct 2010 Last Revised: 17 Jan 2013
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 9,276
25.

Calculating and Comparing Security Returns is Harder than you Think: A Comparison between Logarithmic and Simple Returns

Number of pages: 33 Posted: 07 Feb 2010 Last Revised: 25 Feb 2013
Working Paper Series
Hull University Business School (HUBS) and University of Brighton
Downloads 8,914
26.

Behavioral Finance: An Introduction

Number of pages: 43 Posted: 18 Oct 2009 Last Revised: 16 Dec 2011
Working Paper Series
Erasmus University Rotterdam (EUR)
Downloads 8,897
27.

High-Frequency Trading, Stock Volatility, and Price Discovery

Number of pages: 54 Posted: 14 Oct 2010 Last Revised: 27 Dec 2010
Working Paper Series
Yale School of Management
Downloads 8,585
28.

Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication

Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper
Number of pages: 52 Posted: 30 Nov 2005
Working Paper Series
Independent and Independent
Downloads 8,357
29.

The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management, Forthcoming
Number of pages: 33 Posted: 15 Oct 2004
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 8,128
30.

Market Microstructure: A Survey

Number of pages: 64 Posted: 28 Mar 2000
Working Paper Series
BlackRock, Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 8,010
31.

Reading About the Financial Crisis: A 21-Book Review

Number of pages: 41 Posted: 27 Oct 2011 Last Revised: 10 Jan 2012
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 7,516
32.

When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks

Journal of Finance, Forthcoming
Number of pages: 46 Posted: 23 Jan 2009 Last Revised: 05 Mar 2010
Accepted Paper Series
University of Notre Dame and University of Notre Dame - Mendoza College of Business - Department of Finance
Downloads 7,484
33.

Bitcoin - Asset or Currency? Revealing Users' Hidden Intentions

ECIS 2014 (Tel Aviv)
Number of pages: 14 Posted: 16 Apr 2014 Last Revised: 22 May 2015
Accepted Paper Series
Karlsruhe Institute of Technology, Goethe University Frankfurt Faculty of Economics and Business Administration, Goethe University Frankfurt Faculty of Economics and Business Administration, Goethe University Frankfurt Faculty of Economics and Business Administration and Goethe University Frankfurt Faculty of Economics and Business Administration
Downloads 7,187
34.

A Risk Perception Primer: A Narrative Research Review of the Risk Perception Literature in Behavioral Accounting and Behavioral Finance

Number of pages: 109 Posted: 20 Jul 2004
Working Paper Series
Social Science Research Network (SSRN)
Downloads 7,057
35.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 6,953
36.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads 6,924
37.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,692
38.

M of a Kind: A Multivariate Approach at Pairs Trading

Number of pages: 25 Posted: 21 Dec 2006 Last Revised: 28 Dec 2007
Working Paper Series
Escola de Administração - UFRGS
Downloads 6,317
39.

Characteristics of Risk and Return in Risk Arbitrage

Number of pages: 54 Posted: 30 May 2001
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 6,259
40.

Why Indexing Works

Applied Stochastic Models in Business and Industry 33 (6), 690-693.
Number of pages: 7 Posted: 14 Oct 2015 Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 6,172
41.

How Biases Affect Investor Behaviour

The European Financial Review, February-March 2014, pp. 7-10
Number of pages: 4 Posted: 23 Jun 2014
Accepted Paper Series
American University - Kogod School of Business and Social Science Research Network (SSRN)
Downloads 6,065
42.

A Literature Review of Risk Perception Studies in Behavioral Finance: The Emerging Issues

Number of pages: 41 Posted: 25 May 2007
Working Paper Series
Social Science Research Network (SSRN)
Downloads 5,999
43.

Stress-Testing Financial Systems: An Overview of Current Methodologies

BIS Working Paper No. 165
Number of pages: 41 Posted: 20 Sep 2007
Working Paper Series
World Bank Group - International Finance Corporation
Downloads 5,921
44.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 5,874
45.

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 5,754
46.

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Number of pages: 35 Posted: 17 Feb 2019 Last Revised: 11 Apr 2019
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and Dartmouth College - Tuck School of Business
Downloads 5,555
47.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 5,479
48.

Evaluation of Pairs Trading Strategy at the Brazilian Financial Market

Journal of Derivatives & Hedge Funds, Vol. 15, pp. 122-136
Number of pages: 28 Posted: 19 Dec 2006 Last Revised: 01 May 2010
Accepted Paper Series
Escola de Administração - UFRGS
Downloads 5,446
49.

The Role of Accounting in the Financial Crisis: Lessons for the Future

Number of pages: 31 Posted: 15 Dec 2011
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford Graduate School of Business
Downloads 5,377
50.

How Do Private Equity Investments Perform Compared to Public Equity?

Darden Business School Working Paper No. 2597259
Number of pages: 37 Posted: 23 Apr 2015 Last Revised: 19 Jun 2015
Working Paper Series
University of Virginia - Darden School of Business, University of Oxford - Said Business School and University of Chicago - Booth School of Business
Downloads 5,296