1.
Pulling the Goalie: Hockey and Investment Implications
Number of pages: 13
Posted: 08 Mar 2018
Last Revised: 08 Oct 2018
Working Paper Series
AQR Capital Management, LLC and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
42,877
2.
Integrity: Without it Nothing Works
Rotman Magazine: The Magazine of the Rotman School of Management, pp. 16-20, Fall 2009, Harvard Business School NOM Unit Working Paper No. 10-042, Barbados Group Working Paper No. 09-04, Simon School Working Paper No. FR 10-01
Number of pages: 6
Posted: 22 Nov 2009
Last Revised: 10 Jan 2017
Accepted Paper Series
Harvard Business School
Downloads
36,580
3.
Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment?
Number of pages: 46
Posted: 28 Apr 2014
Working Paper Series
California Institute of Technology and New York University - Stern School of Business
Downloads
31,198
4.
Fact, Fiction and Momentum Investing
Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26
Posted: 12 May 2014
Last Revised: 03 Oct 2014
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads
28,288
5.
The Dishonesty of Honest People: A Theory of Self-Concept Maintenance
Journal of Marketing Research, Vol. 45, No. 6, pp. 633-644, 2008
Number of pages: 48
Posted: 12 Apr 2007
Last Revised: 08 Apr 2011
Accepted Paper Series
Boston University - Questrom School of Business, University of California, San Diego (UCSD) - Rady School of Management and Duke University - Fuqua School of Business
Downloads
24,875
6.
Do Stocks Outperform Treasury Bills?
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 53
Posted: 19 Jan 2017
Last Revised: 03 Jun 2018
Accepted Paper Series
Arizona State University
Downloads
24,310
7.
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
23,241
Downloads
152
Downloads
23,241
8.
Luck Versus Skill in the Cross Section of Mutual Fund Returns
Tuck School of Business Working Paper No. 2009-56
, Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming
Number of pages: 43
Posted: 10 Mar 2009
Last Revised: 08 Feb 2010
Accepted Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
23,089
9.
A Survey of Behavioral Finance
Number of pages: 77
Posted: 04 Oct 2002
Working Paper Series
Yale School of Management and University of Chicago - Booth School of Business
There are 2 versions of this paper
A Survey of Behavioral Finance
NBER Working Paper No. w9222
Number of pages: 78
Posted: 19 Sep 2002
Last Revised: 29 Oct 2010
Downloads
1,066
Downloads
22,825
10.
Underwater and Not Walking Away: Shame, Fear and the Social Management of the Housing Crisis
Wake Forest Law Review, Vol. 45, p. 971, 2010, Arizona Legal Studies Discussion Paper No 09-35
Number of pages: 54
Posted: 27 Oct 2009
Last Revised: 09 May 2015
Working Paper Series
University of Arizona - James E. Rogers College of Law
Downloads
19,674
11.
Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show
American Economic Review, Vol. 98, No. 1, pp. 38-71, March 2008
Number of pages: 50
Posted: 16 Dec 2004
Last Revised: 21 Feb 2012
Accepted Paper Series
Graduate School of Business of Nazarbayev University, VU Amsterdam - School of Business and Economics, Erasmus University Rotterdam (EUR) and University of Chicago - Booth School of Business
Downloads
19,343
12.
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
18,397
13.
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
18,363
14.
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
Goucher College - Department of Business Management and Florida International University (FIU) - Department of Finance
Downloads
18,218
15.
Integrity: A Positive Model that Incorporates the Normative Phenomena of Morality, Ethics, and Legality -- Abridged (English Language Version)
Harvard Business School NOM Unit Working Paper No. 10-061, Barbados Group Working Paper No. 10-01, Simon School Working Paper No. 10-07
Number of pages: 41
Posted: 18 Feb 2010
Last Revised: 11 Feb 2016
Working Paper Series
Independent, Harvard Business School and Landmark Worldwide LLC
There are 4 versions of this paper
Integrity: A Positive Model that Incorporates the Normative Phenomena of Morality, Ethics and Legality
Harvard Business School NOM Working Paper No. 06-11, Barbados Group Working Paper No. 06-03, Simon School Working Paper No. FR 08-05
Number of pages: 124
Posted: 08 Sep 2006
Last Revised: 14 Apr 2016
Downloads
14,319
Integrity: A Positive Model that Incorporates the Normative Phenomena of Morality, Ethics, and Legality -- Abridged (English Language Version)
Harvard Business School NOM Unit Working Paper No. 10-061, Barbados Group Working Paper No. 10-01, Simon School Working Paper No. 10-07
Number of pages: 41
Posted: 18 Feb 2010
Last Revised: 11 Feb 2016
Downloads
17,861
Integridad: Un Modelo Positivo Que Incorpora Fenomenos Normativos de Moral, Etica y Legalidad - Abreviado (Integrity: A Positive Model that Incorporates the Normative Phenomena of Morality, Ethics, and Legality - Abridged)
Harvard Business School NOM Unit Working Paper No. 10-061, Barbados Group Working Paper No. 10-01, Simon School Working Paper No. 10-07
Number of pages: 38
Posted: 07 Feb 2011
Last Revised: 25 Apr 2011
Downloads
892
A New Model of Integrity: The Missing Factor of Production (PDF file of Keynote and PowerPoint Slides)
Harvard Business School NOM Unit Working Paper 10-087, Barbados Group Working Paper No. 10-03
Number of pages: 152
Posted: 18 Apr 2010
Last Revised: 10 Sep 2013
Downloads
7,023
Downloads
17,861
16.
Technical Analysis in Financial Markets
Number of pages: 322
Posted: 20 Jul 2004
Working Paper Series
University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads
17,424
17.
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 Engineering
Downloads
16,398
18.
Social Mood, Stock Market Performance and U.S. Presidential Elections: A Socionomic Perspective on Voting Results
SAGE Open, 2012
Number of pages: 42
Posted: 19 Jan 2012
Last Revised: 06 Nov 2012
Accepted Paper Series
Socionomics Institute, Socionomics Institute, Emory University School of Medicine and Socionomics Institute
Downloads
16,372
19.
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
University of Melbourne - Department of Economics and Universidad de Alicante - Departamento de Fundamentos del AnĂ¡lisis EconĂ³mico
Downloads
16,246
20.
Factor Investing
Columbia Business School Research Paper No. 13-42
Number of pages: 72
Posted: 11 Jun 2013
Working Paper Series
BlackRock, Inc
Downloads
16,052
21.
Size Matters, If You Control Your Junk
Fama-Miller Working Paper
Number of pages: 59
Posted: 23 Jan 2015
Last Revised: 16 Apr 2015
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
There are 2 versions of this paper
Size Matters, If You Control Your Junk
Fama-Miller Working Paper
Number of pages: 59
Posted: 23 Jan 2015
Last Revised: 16 Apr 2015
Downloads
15,640
Size Matters, If You Control Your Junk
CEPR Discussion Paper No. DP12684
Number of pages: 62
Posted: 14 Feb 2018
Downloads
6
Downloads
15,640
22.
From Efficient Market Theory to Behavioral Finance
Cowles Foundation Discussion Paper No. 1385
Number of pages: 44
Posted: 08 Nov 2002
Working Paper Series
Yale University - Cowles Foundation
Downloads
15,410
23.
Asymmetric Information, Heterogeneity in Risk Perceptions and Insurance: An Explanation to a Puzzle
Number of pages: 27
Posted: 18 Nov 2008
Working Paper Series
University of Warwick - Finance Group
Downloads
15,171
24.
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
There are 2 versions of this paper
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Downloads
14,998
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
14,998
25.
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
14,689
26.
A New Model of Integrity: An Actionable Pathway to Trust, Productivity and Value (PDF File of Keynote Slides)
Barbados Group Working Paper No. 07-01, Harvard NOM Working Paper No. 07-01, 1st IESE Conference on "Humanizing the Firm and the Management Profession" Presentation
Number of pages: 61
Posted: 20 Sep 2008
Last Revised: 11 Dec 2012
Working Paper Series
Independent, Harvard Business School and Landmark Worldwide LLC
Downloads
13,303
27.
Behavioral Corporate Finance
Journal of Applied Corporate Finance, Vol. 14, No. 3, Fall 2001
Number of pages: 17
Posted: 23 Oct 2001
Accepted Paper Series
Santa Clara University - Leavey School of Business
Downloads
12,836
28.
IPO Underpricing: A Survey
HANDBOOK IN CORPORATE FINANCE: EMPIRICAL CORPORATE FINANCE, B. Espen Eckbo, ed., Forthcoming
Number of pages: 76
Posted: 27 Oct 2004
Accepted Paper Series
Stockholm School of Economics
Downloads
12,446
29.
Learning to Love Investment Bubbles: What if Sir Isaac Newton had been a Trendfollower?
Cambria – Quantitative Research, Issue 4, September 2011,
Number of pages: 11
Posted: 07 Sep 2011
Accepted Paper Series
Cambria Investment Management
Downloads
12,167
30.
The Loser's Curse: Decision Making & Market Efficiency in the National Football League Draft
Number of pages: 35
Posted: 05 Apr 2005
Last Revised: 05 Sep 2012
Working Paper Series
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads
11,886
31.
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
11,535
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
7,403
Downloads
11,535
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
11,479
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
2,244
Downloads
11,479
33.
The Long-Term Effects of Hedge Fund Activism
Harvard Law School John M. Olin Center Discussion Paper No. 802, Columbia Law Review, Vol. 115, 2015, pp. 1085-1156, Columbia Business School Research Paper No. 13-66
Number of pages: 77
Posted: 07 Aug 2013
Last Revised: 02 Jul 2015
Accepted Paper Series
Harvard Law School, Duke University - Fuqua School of Business and Columbia Business School - Finance and Economics
There are 2 versions of this paper
The Long-Term Effects of Hedge Fund Activism
Harvard Law School John M. Olin Center Discussion Paper No. 802, Columbia Law Review, Vol. 115, 2015, pp. 1085-1156, Columbia Business School Research Paper No. 13-66
Number of pages: 77
Posted: 07 Aug 2013
Last Revised: 02 Jul 2015
Downloads
11,458
The Long-Term Effects of Hedge Fund Activism
NBER Working Paper No. w21227
Number of pages: 85
Posted: 08 Jun 2015
Last Revised: 14 Jun 2015
Downloads
61
Downloads
11,458
34.
The Behavior of Individual Investors
Number of pages: 54
Posted: 27 Jun 2011
Last Revised: 06 Jan 2012
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business
Downloads
11,157
35.
An Alternative Three-Factor Model
Number of pages: 32
Posted: 19 May 2010
Last Revised: 21 Jan 2014
Working Paper Series
Cheung Kong Graduate School of Business, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads
11,044
36.
Case Closed
THE HANDBOOK OF PORTFOLIO CONSTRUCTION: CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUES, John B. Guerard Jr., ed., Forthcoming
Number of pages: 27
Posted: 26 Nov 2008
Last Revised: 22 Apr 2009
Accepted Paper Series
Haugen Custom Financial Systems and SSIA
Downloads
10,862
37.
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
There are 2 versions of this paper
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
Downloads
10,678
Institutional Investors and Stock Market Volatility
NBER Working Paper No. w11722
Number of pages: 52
Posted: 18 Jan 2006
Last Revised: 14 Jul 2010
Downloads
121
Downloads
10,678
38.
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
10,677
39.
Low Risk Stocks Outperform within All Observable Markets of the World
Number of pages: 22
Posted: 10 May 2012
Last Revised: 15 Aug 2012
Working Paper Series
SSIA and Haugen Custom Financial Systems
Downloads
10,270
40.
The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle
Number of pages: 34
Posted: 15 Apr 1998
Last Revised: 31 Oct 2009
Working Paper Series
Tilburg University - TIAS School for Business and Society and Saemor Capital
There are 2 versions of this paper
The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle
Number of pages: 34
Posted: 15 Apr 1998
Last Revised: 31 Oct 2009
Downloads
10,014
The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle
American Economic Review, Vol. 92, No. 5, pp. 1618-1635, December 2002
Posted: 28 Mar 2002
Last Revised: 30 Oct 2009
Downloads
10,014
41.
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
9,997
42.
Fact, Fiction, and Value Investing
Published in Journal of Portfolio Management, Fall 2015, Vol. 42, No. 1
Number of pages: 31
Posted: 05 Jul 2017
Last Revised: 07 Jul 2017
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads
9,992
43.
The Cost of Active Investing
Number of pages: 50
Posted: 16 Mar 2008
Last Revised: 12 Apr 2008
Working Paper Series
Dartmouth College - Tuck School of Business
Downloads
9,947
44.
Can Individual Investors Beat the Market?
HBS Finance Working Paper No. 04-025, Harvard NOM Working Paper No. 02-45
Number of pages: 39
Posted: 06 Jan 2003
Last Revised: 21 Jul 2018
Working Paper Series
Harvard Business School - Finance Unit, University of California, Irvine - Paul Merage School of Business and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads
9,908
45.
The Volatility Effect: Lower Risk Without Lower Return
Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A
Number of pages: 23
Posted: 17 Apr 2007
Accepted Paper Series
Robeco and Robeco Asset Management - Quantitative Investing
Downloads
9,793
46.
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
9,752
47.
Behavioral Economics: Past, Present and Future
Number of pages: 22
Posted: 08 Jun 2016
Working Paper Series
University of Chicago - Booth School of Business
Downloads
9,392
48.
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
9,200
49.
The Siren Song of Factor Timing
Journal of Portfolio Management, Vol. Special Issue, No. 1, 2016
Number of pages: 9
Posted: 18 Apr 2016
Last Revised: 23 Jun 2016
Working Paper Series
AQR Capital Management, LLC
Downloads
8,999
50.
Risk Management Failures: What are They and When do They Happen?
Fisher College of Business Working Paper No. 2008-03-017, Charles A. Dice Center Working Paper No. 2008-18
Number of pages: 25
Posted: 06 Oct 2008
Working Paper Series
Ohio State University (OSU) - Department of Finance
There are 2 versions of this paper
Risk Management Failures: What are They and When do They Happen?
Fisher College of Business Working Paper No. 2008-03-017, Charles A. Dice Center Working Paper No. 2008-18
Number of pages: 25
Posted: 06 Oct 2008
Downloads
8,817
Risk Management Failures: What are They and When do They Happen?
Journal of Applied Corporate Finance, Vol. 20, No. 4, pp. 39-48, Fall 2008
Number of pages: 12
Posted: 18 Dec 2008
Downloads
7
Downloads
8,817
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