1.
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 NYU - Courant Institute of Mathematical Sciences
Downloads
62,361
2.
Value Versus Growth: The International Evidence
Number of pages: 30
Posted: 01 May 1997
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
40,929
3.
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
36,199
4.
International Financial Reporting Standards (IFRS): Pros and Cons for Investors
Accounting and Business Research, Forthcoming
Number of pages: 65
Posted: 13 Sep 2006
Accepted Paper Series
University of Chicago - Booth School of Business
Downloads
31,655
5.
Facts and Fantasies About Commodity Futures
Number of pages: 41
Posted: 29 Jun 2004
Working Paper Series
Yale School of Management and Yale School of Management - International Center for Finance
There are 3 versions of this paper
Facts and Fantasies About Commodity Futures
Number of pages: 41
Posted: 29 Jun 2004
Downloads
27,821
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Last Revised: 15 Dec 2021
Downloads
822
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
27,821
6.
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
There are 2 versions of this paper
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
Downloads
26,177
The Golden Dilemma
NBER Working Paper No. w18706
Number of pages: 49
Posted: 18 Jan 2013
Last Revised: 13 Aug 2021
Downloads
275
Downloads
26,177
7.
The Best Strategies for Inflationary Times
Number of pages: 32
Posted: 29 Mar 2021
Last Revised: 25 May 2021
Working Paper Series
Man Group, Man Group, Man Group, Duke University - Fuqua School of Business and Man AHL
Downloads
23,480
8.
The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)
Number of pages: 44
Posted: 06 Sep 2017
Last Revised: 04 Oct 2018
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
21,557
9.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
20,729
10.
The Worldwide Equity Premium: A Smaller Puzzle
Chapter 11 of R Mehra (Ed), Handbook of the Equity Risk Premium. Elsevier, 2008, pages 467–514, AFA 2008 New Orleans Meetings Paper; EFA 2006 Zurich Meetings Paper
Number of pages: 41
Posted: 17 Mar 2006
Last Revised: 20 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads
19,279
11.
Factor Investing
Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads
18,374
12.
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
15,260
13.
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
Journal of Portfolio Management, pp. 23-28, Fall 2008
Number of pages: 31
Posted: 07 Aug 2008
Last Revised: 21 Jun 2013
Accepted Paper Series
Robeco Quantitative Investments and Robeco Quantitative Investments
There are 2 versions of this paper
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
Journal of Portfolio Management, pp. 23-28, Fall 2008
Number of pages: 31
Posted: 07 Aug 2008
Last Revised: 21 Jun 2013
Downloads
14,804
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
Journal of Portfolio Management, pp. 23-28, Fall 2008, ERIM Report Series Reference No. ERS-2008-033-F&A
Number of pages: 34
Posted: 08 Oct 2008
Last Revised: 18 Aug 2010
Downloads
1,172
Downloads
14,804
14.
Country Risk: Determinants, Measures and Implications – The 2019 Edition
NYU Stern School of Business
Number of pages: 124
Posted: 31 Jul 2019
Last Revised: 31 Mar 2020
Working Paper Series
New York University - Stern School of Business
Downloads
14,307
15.
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
14,094
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
14,094
16.
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14
Posted: 12 Aug 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads
13,797
17.
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
13,373
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
13,373
18.
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
There are 2 versions of this paper
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Downloads
12,785
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
2
Downloads
12,785
19.
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 SOMAQR Capital 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
12,445
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
9,394
Downloads
12,445
20.
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
12,356
21.
Global Factor Premiums
Journal of Financial Economics (JFE), Volume 142, Issue 3, December 2021, Pages 1128-1154
Number of pages: 69
Posted: 06 Feb 2019
Last Revised: 24 Nov 2021
Accepted Paper Series
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads
12,310
22.
Advances in Financial Machine Learning (Chapter 1)
Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61
Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
12,226
23.
Three Quant Lessons from COVID-19 (Presentation Slides)
Number of pages: 19
Posted: 31 Mar 2020
Last Revised: 22 Aug 2021
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Hebrew University of Jerusalem
Downloads
12,045
24.
Capital Markets Research in Accounting
JAE Rochester Conference April 2000
Number of pages: 145
Posted: 05 Dec 2000
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Capital Markets Research in Accounting
JAE Rochester Conference April 2000
Number of pages: 145
Posted: 05 Dec 2000
Downloads
11,894
Downloads
11,894
25.
Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations
"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49
Posted: 02 Sep 2012
Last Revised: 09 Sep 2019
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads
11,851
26.
International Accounting Standards and Accounting Quality
Stanford University Graduate School of Business Research Paper No. 1976
Number of pages: 55
Posted: 11 Apr 2005
Working Paper Series
Stanford University - Graduate School of Business, University of North Carolina Kenan-Flagler Business School and University of North Carolina at Chapel Hill
Downloads
11,753
27.
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
11,486
28.
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
10,669
Did Fair-Value Accounting Contribute to the Financial Crisis?
NBER Working Paper No. w15515
Number of pages: 43
Posted: 17 Nov 2009
Last Revised: 24 Nov 2021
Downloads
120
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
10,669
29.
The 10 Reasons Most Machine Learning Funds Fail
Journalof Portfolio Management, Forthcoming
Number of pages: 21
Posted: 18 Jan 2018
Last Revised: 01 Jul 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
10,543
30.
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
9,419
31.
Dissecting Investment Strategies in the Cross Section and Time Series
Number of pages: 31
Posted: 24 Nov 2015
Last Revised: 07 Dec 2015
Working Paper Series
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
Downloads
9,130
32.
A Primer on Structured Finance
Journal of Derivatives and Hedge Funds, Vol. 13, No. 3, ICFAI Journal of Risk Management, 2007
Number of pages: 21
Posted: 02 Nov 2005
Last Revised: 16 Jun 2016
Working Paper Series
International Monetary Fund (IMF) - European Department
Downloads
9,063
33.
The Determinants of Capital Structure Choice: A Survey of European Firms
Number of pages: 34
Posted: 02 Feb 2002
Working Paper Series
European School of Management (ESCP) - (EAP) and University of Manitoba - Department of Accounting and Finance
Downloads
9,057
34.
Advances in Financial Machine Learning: Lecture 1/10 (seminar slides)
Number of pages: 57
Posted: 21 Oct 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
8,891
35.
The Norway Model
Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81, https://doi.org/10.3905/jpm.2012.38.2.067
Number of pages: 17
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Accepted Paper Series
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and AQR Capital Management
Downloads
8,388
36.
Market Reaction to the Adoption of IFRS in Europe
Accounting Review, Forthcoming
Number of pages: 52
Posted: 19 May 2006
Last Revised: 04 Apr 2012
Accepted Paper Series
University of Pennsylvania - Accounting Department, Stanford University - Graduate School of Business, Stanford University - Graduate School of BusinessUniversity of Colorado - Leeds School of BusinessUniversity of Cambridge Judge Business School and Boston University - Questrom School of Business
There are 2 versions of this paper
Market Reaction to the Adoption of IFRS in Europe
Accounting Review, Forthcoming
Number of pages: 52
Posted: 19 May 2006
Last Revised: 04 Apr 2012
Downloads
8,161
Market Reaction to the Adoption of IFRS in Europe
Accounting Review, Forthcoming, Harvard Business School Finance Working Paper No. 09-032, Rock Center for Corporate Governance at Stanford University Working Paper No. 5
Number of pages: 52
Posted: 10 Sep 2008
Last Revised: 04 Apr 2012
Downloads
1,802
Downloads
8,161
37.
Common Risk Factors in Currency Markets
Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74
Posted: 01 Jun 2008
Last Revised: 27 Aug 2012
Accepted Paper Series
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Common Risk Factors in Currency Markets
Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74
Posted: 01 Jun 2008
Last Revised: 27 Aug 2012
Downloads
7,986
Common Risk Factors in Currency Markets
NBER Working Paper No. w14082
Number of pages: 63
Posted: 14 Jul 2008
Last Revised: 25 Dec 2021
Downloads
121
Downloads
7,986
38.
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
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
There are 2 versions of this paper
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
Downloads
7,965
Feverish Stock Price Reactions to Covid-19
Number of pages: 61
Posted: 25 Mar 2020
Last Revised: 29 Jun 2020
Downloads
9
Downloads
7,965
39.
A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies
Number of pages: 32
Posted: 09 Mar 2020
Last Revised: 24 Mar 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
7,883
40.
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
7,833
Betting Against Correlation: Testing Theories of the Low-Risk Effect
Number of pages: 65
Posted: 14 Feb 2018
Downloads
2
Downloads
7,833
41.
Why Did Some Banks Perform Better during the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation
Charles A Dice Center Working Paper No. 2009-12 , Fisher College of Business Working Paper No. 2009-03-012
Number of pages: 38
Posted: 17 Jul 2009
Last Revised: 27 Sep 2010
Working Paper Series
Bocconi University - Department of Finance and Ohio State University (OSU) - Department of Finance
There are 2 versions of this paper
Why Did Some Banks Perform Better during the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation
Charles A Dice Center Working Paper No. 2009-12 , Fisher College of Business Working Paper No. 2009-03-012
Number of pages: 38
Posted: 17 Jul 2009
Last Revised: 27 Sep 2010
Downloads
7,823
Why Did Some Banks Perform Better During the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation
NBER Working Paper No. w15180
Number of pages: 34
Posted: 04 Aug 2009
Last Revised: 25 Dec 2021
Downloads
154
Downloads
7,823
42.
Determinants and Impact of Sovereign Credit Ratings
Economic Policy Review, Vol. 2, No. 2, October 1996
Number of pages: 18
Posted: 11 Nov 2007
Working Paper Series
Moody's Investors Service and Bank for International Settlements (BIS)
Downloads
7,815
43.
Why and How Investors Use ESG Information: Evidence from a Global Survey
Financial Analysts Journal, 2018, Volume 74 Issue 3, pp. 87-103.
Number of pages: 41
Posted: 02 Mar 2017
Last Revised: 06 Feb 2020
Working Paper Series
University of Oxford - Said Business School and Harvard Business School
Downloads
7,779
44.
The World Price of Insider Trading
Journal of Finance, February 2002
Number of pages: 47
Posted: 22 Dec 2000
Accepted Paper Series
HKUST Business School and Cornell University - School of Applied Economics and Management
Downloads
7,525
45.
Macroeconomic Factors and the Correlation of Stock and Bond Returns
Number of pages: 53
Posted: 23 Nov 2003
Working Paper Series
Capula Investment Services
Downloads
7,468
46.
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue)
Number of pages: 22
Posted: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
7,458
47.
Equity Premia Around the World
Number of pages: 19
Posted: 08 Oct 2011
Last Revised: 19 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads
7,215
48.
Ph.D Thesis: An Analysis of Hedge Fund Strategies
Number of pages: 456
Posted: 18 Sep 2007
Working Paper Series
HEC - Université de LiègeArchitas Multi-Management Ltd
Downloads
7,149
49.
ESG and Financial Performance: Aggregated Evidence from More than 2000 Empirical Studies
Journal of Sustainable Finance & Investment, Volume 5, Issue 4, p. 210-233, 2015, DOI: 10.1080/20430795.2015.1118917
Number of pages: 25
Posted: 19 Dec 2015
Accepted Paper Series
Deutsche Asset & Wealth Management, University of Hamburg and University of Hamburg
Downloads
6,949
50.
The 7 Reasons Most Econometric Investments Fail (Presentation Slides)
Number of pages: 39
Posted: 23 Apr 2019
Last Revised: 16 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
6,858
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