1.
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
38,851
2.
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
29,460
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
29,329
4.
Facts and Fantasies About Commodity Futures
Yale ICF Working Paper No. 04-20
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
Yale ICF Working Paper No. 04-20
Number of pages: 41
Posted: 29 Jun 2004
Downloads
27,132
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Downloads
737
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
27,132
5.
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
23,067
Downloads
145
Downloads
23,067
6.
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
18,266
7.
Factor Investing
Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads
15,595
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
AQR Capital Management, LLC
Downloads
15,323
9.
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
14,658
10.
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 Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Investing
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
13,781
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
1,035
Downloads
13,781
11.
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
12,809
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
12,809
12.
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
12,286
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
12,286
13.
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
11,373
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
7,146
Downloads
11,373
14.
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
11,270
15.
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), AQR Capital Management, LLC and Western Michigan University
Downloads
11,237
16.
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
10,797
Capital Markets Research in Accounting
Journal of Accounting & Economics, Vol. 31, Nos. 1-3, September 2001
Posted: 24 Oct 2001
Downloads
10,797
17.
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
10,566
18.
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 - Department of Agricultural and Consumer Economics
Downloads
10,550
19.
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
10,311
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
97
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
10,311
20.
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), AQR Capital Management, LLC 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
9,599
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
9,599
21.
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: 271
Posted: 13 Sep 2018
Last Revised: 19 Dec 2018
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads
9,559
22.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31
Posted: 28 Dec 2015
Last Revised: 24 May 2016
Accepted Paper Series
AQR Capital Management, LLC
Downloads
9,533
23.
Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations
Number of pages: 60
Posted: 02 Sep 2012
Last Revised: 10 May 2017
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads
8,903
24.
The Determinants of Capital Structure Choice: A Survey of European Firms
AFA 2003 Washington, DC Meetings; EFMA 2002 London Meetings
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
8,591
25.
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
World Bank Group
Downloads
8,549
26.
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, University 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
7,971
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
1,736
Downloads
7,971
27.
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
AQR Capital Management, LLC
Downloads
7,938
28.
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
7,755
29.
The Norway Model
Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81,
Number of pages: 17
Posted: 04 Oct 2011
Last Revised: 20 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, Department of Finance & Accounting, University of Cambridge - Judge Business School and AQR Capital Management
Downloads
7,532
30.
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
7,445
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 Jun 2010
Downloads
125
Downloads
7,445
31.
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 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
7,069
Common Risk Factors in Currency Markets
NBER Working Paper No. w14082
Number of pages: 63
Posted: 14 Jul 2008
Last Revised: 25 Jun 2010
Downloads
104
Downloads
7,069
32.
The World Price of Insider Trading
Journal of Finance, February 2002
Number of pages: 47
Posted: 22 Dec 2000
Accepted Paper Series
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and Cornell University - School of Applied Economics and Management
Downloads
7,009
33.
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
6,934
34.
Macroeconomic Factors and the Correlation of Stock and Bond Returns
Yale ICF Working Paper No. 02-46; AFA 2004 San Diego Meetings
Number of pages: 53
Posted: 23 Nov 2003
Working Paper Series
Capula Investment Services
Downloads
6,772
35.
Ph.D Thesis: An Analysis of Hedge Fund Strategies
Number of pages: 456
Posted: 18 Sep 2007
Working Paper Series
HEC - Université de Liège
Downloads
6,703
36.
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
6,467
Betting Against Correlation: Testing Theories of the Low-Risk Effect
CEPR Discussion Paper No. DP12686
Number of pages: 65
Posted: 14 Feb 2018
Downloads
1
Downloads
6,467
37.
Derivatives in Islamic Finance
Islamic Economic Studies, Vol. 15, No. 1
Number of pages: 33
Posted: 20 Sep 2007
Last Revised: 06 Jan 2010
Accepted Paper Series
World Bank Group
Downloads
6,436
38.
Measuring Loss Potential of Hedge Fund Strategies
Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Number of pages: 25
Posted: 04 Jan 2005
Accepted Paper Series
AQR Capital Management, LLC and UBS Wealth Managment Research
Downloads
6,301
39.
Long-Term Global Market Correlations
Yale ICF Working Paper No. 08-04
Number of pages: 46
Posted: 25 Oct 2001
Last Revised: 24 Jan 2008
Working Paper Series
Yale School of Management - International Center for Finance, Capula Investment Services and Yale School of Management - International Center for Finance
There are 2 versions of this paper
Long-Term Global Market Correlations
Yale ICF Working Paper No. 08-04
Number of pages: 46
Posted: 25 Oct 2001
Last Revised: 24 Jan 2008
Downloads
6,149
Long-Term Global Market Correlations
NBER Working Paper No. w8612
Number of pages: 52
Posted: 17 Nov 2001
Last Revised: 25 Oct 2010
Downloads
161
Downloads
6,149
40.
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
6,029
41.
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 AHL
Downloads
5,955
42.
Irrational Optimism
Financial Analysts Journal, Vol. 60, No. 1, 2004, pages 16–25, LBS Accounting Subject Area Working Paper No. IFA397,
Number of pages: 18
Posted: 21 Dec 2003
Last Revised: 20 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
There are 2 versions of this paper
Irrational Optimism
Financial Analysts Journal, Vol. 60, No. 1, 2004, pages 16–25, LBS Accounting Subject Area Working Paper No. IFA397,
Number of pages: 18
Posted: 21 Dec 2003
Last Revised: 20 Mar 2016
Downloads
5,831
Irrational Optimism
Financial Analysts Journal, Vol. 60, No. 1, pp. 15-25, January/February 2004
Posted: 15 Feb 2004
Downloads
5,831
43.
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
AQR Capital Management, LLC
Downloads
5,827
44.
Behavioral Portfolio Management
Journal of Behavioral Finance & Economics, Forthcoming
Number of pages: 37
Posted: 02 Feb 2013
Last Revised: 03 Feb 2015
Accepted Paper Series
University of Denver - Daniels College of Business
Downloads
5,600
45.
Political Risk, Economic Risk and Financial Risk
Fuqua School of Business Working Paper No. 9606
Number of pages: 41
Posted: 08 May 2000
Working Paper Series
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads
5,269
46.
Measuring Market Risk Under the Basel Accords: VaR, Stressed VaR, and Expected Shortfall
8 Aestimatio 184 (2014) -- Aestimatio, The IEB International Journal of Finance, volume 8, pp. 184-201 (2014)
Number of pages: 18
Posted: 17 Apr 2013
Last Revised: 23 Apr 2014
Accepted Paper Series
Michigan State University - College of Law
Downloads
5,262
47.
Country-Specific Factors Related to Financial Reporting and the Value Relevance of Accounting Data
Number of pages: 34
Posted: 21 Oct 1999
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management and Seoul National University - College of Business Administration
There are 2 versions of this paper
Country-Specific Factors Related to Financial Reporting and the Value Relevance of Accounting Data
Number of pages: 34
Posted: 21 Oct 1999
Downloads
5,032
Country-Specific Factors Related to Financial Reporting and the Value Relevance of Accounting Data
Journal of Accounting Research, Vol. 38, April 2000
Posted: 21 Oct 1999
Downloads
5,032
48.
The Sovereign Wealth Fund Discount: Evidence from Public Equity Investments
Baffi Center Research Paper No. 2013-140, FEEM Working Paper No. 22.2009
Number of pages: 57
Posted: 09 Sep 2013
Last Revised: 11 Apr 2015
Working Paper Series
Bocconi University, State of New York (SUNY) at Buffalo and University of Oklahoma
Downloads
5,017
49.
The Importance of Reporting Incentives: Earnings Management in European Private and Public Firms
Number of pages: 49
Posted: 08 Jan 2004
Working Paper Series
University of Washington, University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
There are 2 versions of this paper
The Importance of Reporting Incentives: Earnings Management in European Private and Public Firms
Number of pages: 49
Posted: 08 Jan 2004
Downloads
4,936
The Importance of Reporting Incentives: Earnings Management in European Private and Public Firms
Accounting Review, Vol. 81, No. 5, pp. 983-1016, 2006
Posted: 23 Mar 2006
Last Revised: 20 Nov 2011
Downloads
4,936
50.
Incentives Versus Standards: Properties of Accounting Income in Four East Asian Countries, and Implications for Acceptance of IAS
Simon School of Business Working Paper No. FR 00-04; Boston JAE Conference October 2002
Number of pages: 44
Posted: 06 Jan 2004
Working Paper Series
University of Chicago - Booth School of Business, Rochester Institute of Technology (RIT) and University of Rochester - Simon Business School
Downloads
4,923
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