1.
Market Efficiency, Long-Term Returns, and Behavioral Finance
Number of pages: 31
Posted: 30 Apr 1997
Working Paper Series
University of Chicago - Finance
Downloads
91,606
2.
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
40,038
3.
Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment?
Number of pages: 46
Posted: 28 Apr 2014
Working Paper Series
Anderson Graduate School of Management, UCLA and New York University - Stern School of Business
Downloads
38,522
4.
Is Bitcoin Really Un-Tethered?
Number of pages: 119
Posted: 25 Jun 2018
Last Revised: 05 Nov 2019
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads
37,733
5.
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
33,259
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
28,576
7.
Corporate Governance and Equity Prices
Quarterly Journal of Economics, Vol. 118, No. 1, pp. 107-155, February 2003
Number of pages: 67
Posted: 12 Sep 2001
Working Paper Series
Harvard Business School - Finance Unit, Stanford Graduate School of Business and Yale School of Management
There are 3 versions of this paper
Corporate Governance and Equity Prices
Quarterly Journal of Economics, Vol. 118, No. 1, pp. 107-155, February 2003
Number of pages: 67
Posted: 12 Sep 2001
Downloads
28,342
Corporate Governance and Equity Prices
NBER Working Paper No. w8449
Number of pages: 70
Posted: 26 Aug 2001
Last Revised: 23 Oct 2010
Downloads
459
Downloads
28,342
8.
An Analysis of the Financial Crisis of 2008: Causes and Solutions
Number of pages: 28
Posted: 04 Nov 2008
Last Revised: 16 Dec 2008
Working Paper Series
Oakland University - School of Business Administration
Downloads
27,830
9.
How Active is Your Fund Manager? A New Measure That Predicts Performance
AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper No. 06-14
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
There are 2 versions of this paper
How Active is Your Fund Manager? A New Measure That Predicts Performance
AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper No. 06-14
Number of pages: 47
Posted: 21 Mar 2006
Last Revised: 09 Feb 2019
Downloads
27,419
How Active is Your Fund Manager? A New Measure that Predicts Performance
The Review of Financial Studies, Vol. 22, Issue 9, pp. 3329-3365, 2009
Posted: 08 Sep 2009
Downloads
27,419
10.
Taxes, Financing Decisions, and Firm Value
Center for Research in Security Prices (CRSP) Working Paper No.
Number of pages: 34
Posted: 01 Feb 1997
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
There are 2 versions of this paper
Taxes, Financing Decisions, and Firm Value
Center for Research in Security Prices (CRSP) Working Paper No.
Number of pages: 34
Posted: 01 Feb 1997
Downloads
26,849
Downloads
26,849
11.
Economic Consequences of Financial Reporting and Disclosure Regulation: A Review and Suggestions for Future Research
Number of pages: 91
Posted: 13 Mar 2008
Last Revised: 07 May 2008
Working Paper Series
University of Chicago - Booth School of Business and Boston University Questrom School of Business
Downloads
23,410
12.
What is Behavioral Finance?
Business, Education & Technology Journal, Vol. 2, No. 2, pp. 1-9, Fall 2000
Number of pages: 9
Posted: 09 Mar 2001
Last Revised: 27 Nov 2008
Accepted Paper Series
Washington and Lee University and Florida International University (FIU) - Department of Finance
Downloads
20,352
13.
Momentum
University Of Illinois Working Paper
Number of pages: 45
Posted: 05 Feb 2002
Working Paper Series
Emory University - Department of Finance and University of Texas at Austin - Department of Finance
There are 3 versions of this paper
Downloads
20,038
14.
…and the Cross-Section of Expected Returns
Number of pages: 101
Posted: 17 Apr 2013
Last Revised: 21 Apr 2015
Working Paper Series
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads
18,867
15.
Risk Management Lessons from Long-Term Capital Management
Number of pages: 27
Posted: 02 Aug 1999
Working Paper Series
University of California, Irvine - Paul Merage School of Business
Downloads
18,782
16.
The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading
The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15
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
18,372
17.
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
17,276
18.
Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway
Number of pages: 51
Posted: 26 Sep 2005
Last Revised: 05 May 2008
Working Paper Series
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads
16,934
19.
Flow Toxicity and Liquidity in a High Frequency World
Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71
Posted: 23 Oct 2010
Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
16,614
20.
From Efficient Market Theory to Behavioral Finance
Number of pages: 44
Posted: 08 Nov 2002
Working Paper Series
Yale University - Cowles Foundation
Downloads
15,917
21.
Evidence on Eva
Journal of Applied Corporate Finance, Vol. 12, No. 2, Summer 1999
Number of pages: 27
Posted: 20 Sep 1999
Accepted Paper Series
University of Melbourne - Faculty of Business and Economics, Chapman University - The George L. Argyros School of Business & Economics and Claremont Colleges - Peter F. Drucker Graduate School of Management
Downloads
15,788
22.
The Econometrics of Event Studies
Number of pages: 51
Posted: 25 Oct 2004
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Rochester – Simon Business School
Downloads
15,483
23.
Corporate Sustainability: First Evidence on Materiality
The Accounting Review, Vol. 91, No. 6, pp. 1697-1724.
Number of pages: 55
Posted: 11 Mar 2015
Last Revised: 01 Feb 2017
Accepted Paper Series
Causeway Capital Management, LLC, Harvard University - Harvard Business School and Northwestern University - Department of Accounting Information & Management
Downloads
15,148
24.
The Crisis of Fair Value Accounting: Making Sense of the Recent Debate
Chicago Booth Research Paper No. 33, Accounting, Organizations and Society, Vol. 34, 2009
Number of pages: 28
Posted: 21 Apr 2009
Accepted Paper Series
Vienna University of Economics and Business and University of Chicago - Booth School of Business
Downloads
14,977
25.
Offshore Hedge Funds: Survival & Performance 1989-1995
Yale School of Management Working Paper No. F-52B
Number of pages: 38
Posted: 27 Feb 1997
Working Paper Series
Yale School of Management - International Center for Finance, Yale School of Management and New York University - Stern School of Business
There are 2 versions of this paper
Offshore Hedge Funds: Survival & Performance 1989-1995
Yale School of Management Working Paper No. F-52B
Number of pages: 38
Posted: 27 Feb 1997
Downloads
13,887
Offshore Hedge Funds: Survival & Performance 1989-1995
NYU Working Paper No. FIN-98-011
Number of pages: 41
Posted: 07 Nov 2008
Downloads
233
Downloads
13,887
26.
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Number of pages: 46
Posted: 11 Feb 1998
Working Paper Series
New York University - Stern School of Business, University of Miami - Miami Herbert Business School and Yale School of Management - International Center for Finance
There are 2 versions of this paper
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Number of pages: 46
Posted: 11 Feb 1998
Downloads
13,430
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
NYU Working Paper No. FIN-98-013
Number of pages: 45
Posted: 07 Nov 2008
Downloads
812
Downloads
13,430
27.
Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences
ECGI - Finance Working Paper No. 198/2008, Chicago GSB Research Paper No. 12
Number of pages: 74
Posted: 25 Oct 2007
Last Revised: 20 Nov 2011
Working Paper Series
University of Mannheim - Accounting and Taxation, University of Pennsylvania - The Wharton School, University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT)
There are 2 versions of this paper
Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences
ECGI - Finance Working Paper No. 198/2008, Chicago GSB Research Paper No. 12
Number of pages: 74
Posted: 25 Oct 2007
Last Revised: 20 Nov 2011
Downloads
13,189
Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences
Journal of Accounting Research, Vol. 46, No. 5, pp. 1085-1142, 2008
Posted: 08 Sep 2008
Last Revised: 20 Nov 2011
Downloads
13,189
28.
Global Accounting Convergence and the Potential Adoption of IFRS by the United States: An Analysis of Economic and Policy Factors
Number of pages: 104
Posted: 11 Mar 2009
Working Paper Series
University of Pennsylvania - The Wharton School, University of Chicago - Booth School of Business and Boston University Questrom School of Business
There are 2 versions of this paper
Global Accounting Convergence and the Potential Adoption of IFRS by the United States: An Analysis of Economic and Policy Factors
Number of pages: 104
Posted: 11 Mar 2009
Downloads
13,110
Global Accounting Convergence and the Potential Adoption of IFRS by the U.S. (Part I): Conceptual Underpinnings and Economic Analysis
Accounting Horizons, Vol. 24, No. 3, pp. 355-394, 2010
Posted: 10 Sep 2010
Downloads
13,110
29.
Value and Momentum Everywhere
AFA 2010 Atlanta Meetings Paper
Number of pages: 54
Posted: 20 Mar 2009
Working Paper Series
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
There are 2 versions of this paper
Value and Momentum Everywhere
AFA 2010 Atlanta Meetings Paper
Number of pages: 54
Posted: 20 Mar 2009
Downloads
12,033
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
8,120
Downloads
12,033
30.
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
There are 2 versions of this paper
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
Downloads
12,020
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Downloads
31
Downloads
12,020
31.
Separating Winners from Losers Among Low Book-to-Market Stocks Using Financial Statement Analysis
Number of pages: 46
Posted: 05 May 2003
Working Paper Series
Rotman School of Management, University of Toronto
Downloads
12,011
32.
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
There are 2 versions of this paper
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis
Journal of Investment Consulting, Forthcoming
Number of pages: 44
Posted: 25 May 2005
Downloads
11,737
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis
Journal of Investment Consulting, Vol. 7, No. 2, pp. 21-44, 2005
Number of pages: 28
Posted: 05 Nov 2010
Downloads
2,859
Downloads
11,737
33.
An Alternative Three-Factor Model
Number of pages: 32
Posted: 19 May 2010
Last Revised: 21 Jan 2014
Working Paper Series
Luohan Academy, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads
11,699
34.
Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds
Number of pages: 34
Posted: 17 Nov 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
11,635
35.
Just Say No to Wall Street: Putting a Stop to the Earnings Game
Journal of Applied Corporate Finance, Vol. 14, No. 4, pp. 41-46, Winter 2002
Number of pages: 7
Posted: 17 Jan 2002
Last Revised: 18 May 2013
Accepted Paper Series
The Monitor Company and Harvard Business School
There are 3 versions of this paper
Just Say No to Wall Street: Putting a Stop to the Earnings Game
Journal of Applied Corporate Finance, Vol. 14, No. 4, pp. 41-46, Winter 2002
Number of pages: 7
Posted: 17 Jan 2002
Last Revised: 18 May 2013
Downloads
11,596
Just Say No to Wall Street: Putting a Stop to the Earnings Game
Journal of Applied Corporate Finance, Vol. 22, No. 1, Winter 2010, Harvard Business School NOM Unit Working Paper No. 10-090
Number of pages: 9
Posted: 05 Apr 2010
Last Revised: 18 May 2013
Downloads
2,511
Just Say No to Wall Street: Putting a Stop to the Earnings Game
Journal of Applied Corporate Finance, Vol. 22, Issue 1, pp. 59-63, Winter 2010
Number of pages: 7
Posted: 31 Mar 2010
Downloads
5
Downloads
11,596
36.
The Profitability of Technical Analysis: A Review
AgMAS Project Research Report No. 2004-04
Number of pages: 106
Posted: 15 Oct 2004
Working Paper Series
Chungbuk National University and University of Illinois at Urbana-Champaign
Downloads
11,368
37.
High-Frequency Trading
Number of pages: 86
Posted: 06 Jun 2011
Working Paper Series
Goethe University Frankfurt Faculty of Economics and Business Administration, Independent, Goethe University Frankfurt Faculty of Economics and Business Administration and Goethe University Frankfurt Faculty of Economics and Business Administration
Downloads
11,010
38.
Accounting Conservatism, the Quality of Earnings, and Stock Returns
Number of pages: 39
Posted: 23 Jan 2000
Working Paper Series
Columbia Business School - Department of Accounting and University of California, Berkeley
Downloads
11,003
39.
The Sharpe Ratio Efficient Frontier
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36
Posted: 24 Apr 2011
Last Revised: 07 May 2020
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads
10,905
40.
Adaptive Asset Allocation: A Primer
Number of pages: 32
Posted: 21 Sep 2013
Last Revised: 05 Apr 2016
Working Paper Series
ReSolve Asset Management, ReSolve Asset Management, ReSolve Asset Management and Independent
Downloads
10,835
41.
Did Fair-Value Accounting Contribute to the Financial Crisis?
Chicago Booth Research Paper 09-38, ECGI - Finance Working Paper No. 266/2009, Journal of Economic Perspectives, Forthcoming
Number of pages: 48
Posted: 15 Oct 2009
Last Revised: 15 Dec 2009
Working Paper Series
Vienna University of Economics and Business and University of Chicago - Booth School of Business
There are 3 versions of this paper
Did Fair-Value Accounting Contribute to the Financial Crisis?
Chicago Booth Research Paper 09-38, ECGI - Finance Working Paper No. 266/2009, Journal of Economic Perspectives, Forthcoming
Number of pages: 48
Posted: 15 Oct 2009
Last Revised: 15 Dec 2009
Downloads
10,529
Did Fair-Value Accounting Contribute to the Financial Crisis?
NBER Working Paper No. w15515
Number of pages: 43
Posted: 17 Nov 2009
Last Revised: 14 Mar 2010
Downloads
109
Did Fair-Value Accounting Contribute to the Financial Crisis?
Journal of Economic Perspectives, Vol. 24, pp. 93-118, Winter 2010
Posted: 22 Mar 2010
Downloads
10,529
42.
Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices
Journal of Financial Economics 101(3), 621-640, September 2011
Number of pages: 43
Posted: 19 Mar 2008
Last Revised: 19 Dec 2013
Accepted Paper Series
London Business School - Institute of Finance and Accounting
Downloads
10,441
43.
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
10,362
44.
Does Academic Research Destroy Stock Return Predictability?
Journal of Finance, Forthcoming
Number of pages: 48
Posted: 04 Oct 2012
Last Revised: 24 Feb 2016
Accepted Paper Series
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads
9,945
45.
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
9,683
46.
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Number of pages: 42
Posted: 12 Aug 2010
Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads
9,650
47.
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
9,479
48.
Modeling Sustainable Earnings and P/E Ratios with Financial Statement Analysis
Forthcoming
Number of pages: 57
Posted: 31 Jul 2002
Last Revised: 17 Aug 2011
Working Paper Series
Columbia Business School - Department of Accounting and University of California, Berkeley
Downloads
9,437
49.
Agency Costs of Overvalued Equity
ECGI - Finance Working Paper No. 39/2004, Harvard Business School NOM Working Paper No. 04-26, Financial Management, Vol. 34, No. 1, Spring 2005
Number of pages: 18
Posted: 29 Mar 2004
Last Revised: 06 May 2009
Accepted Paper Series
Harvard Business School
There are 4 versions of this paper
Agency Costs of Overvalued Equity
ECGI - Finance Working Paper No. 39/2004, Harvard Business School NOM Working Paper No. 04-26, Financial Management, Vol. 34, No. 1, Spring 2005
Number of pages: 18
Posted: 29 Mar 2004
Last Revised: 06 May 2009
Downloads
9,434
The Agency Cost of Overvalued Equity and the Current State of Corporate Finance
Harvard NOM Working Paper No. 04-29
Number of pages: 19
Posted: 28 Oct 2004
Downloads
1,977
The Agency Costs of Overvalued Equity and the Current State of Corporate Finance
European Financial Management, Vol. 10, pp. 549-565, December 2004
Number of pages: 17
Posted: 30 Nov 2004
Downloads
28
Agency Costs of Overvalued Equity
Financial Management, Vol. 34, No. 1, Spring 2005
Number of pages: 16
Posted: 24 Apr 2005
Downloads
20
Downloads
9,434
50.
Keynes the Stock Market Investor: A Quantitative Analysis
Journal of Financial and Quantitative Analysis (JFQA), Vol 50, No 4, 2015, pages 431–449
Number of pages: 54
Posted: 17 Mar 2012
Last Revised: 19 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads
9,432
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