SSRN Capital Markets: Asset Pricing & Valuation eJournal

1.

The Capital Asset Pricing Model: Theory and Evidence

CRSP Working Paper No. 550; Tuck Business School Working Paper No. 03-26

Number of pages: 35 Posted: 16 Sep 2003

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 38,731

2.

A Five-Factor Asset Pricing Model

Fama-Miller Working Paper

Number of pages: 52 Posted: 30 Jun 2013 Last Revised: 23 Sep 2014

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 37,741

3.

We Don't Quite Know What We are Talking About When We Talk About Volatility

Journal of Portfolio Management, Vol. 33, No. 4, 2007

Number of pages: 8 Posted: 14 Mar 2007 Last Revised: 16 Nov 2012

Accepted Paper Series

Daniel G. Goldstein and Nassim Nicholas Taleb

Microsoft Research New York City and NYU-Tandon School of Engineering

Downloads 34,653

4.

What Matters in Corporate Governance?

Review of Financial Studies, Vol. 22, No. 2, pp. 783-827, February 2009, Harvard Law School John M. Olin Center Discussion Paper No. 491 (2004)

Number of pages: 61 Posted: 21 Sep 2004 Last Revised: 17 Apr 2009

Accepted Paper Series

Lucian A. Bebchuk, Alma Cohen and Allen Ferrell

Harvard Law School, Tel Aviv University - Eitan Berglas School of Economics and Harvard Law School

There are 2 versions of this paper

Downloads 30,694

5.

Pairs Trading: Performance of a Relative Value Arbitrage Rule

Yale ICF Working Paper No. 08-03

Number of pages: 47 Posted: 28 Dec 1998 Last Revised: 24 Jan 2008

Working Paper Series

Evan Gatev, William N. Goetzmann and K. Geert Rouwenhorst

Simon Fraser University, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

There are 2 versions of this paper

Downloads 29,689

6.

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

Meb Faber

Cambria Investment Management

Downloads 28,366

7.

Facts and Fantasies about Commodity Futures

Yale ICF Working Paper No. 04-20

Number of pages: 41 Posted: 29 Jun 2004

Working Paper Series

Gary B. Gorton and K. Geert Rouwenhorst

Yale School of Management and Yale School of Management - International Center for Finance

There are 3 versions of this paper

Downloads 26,592

8.

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

Number of pages: 114 Posted: 24 Mar 2013

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 26,145

9.

Corporate Governance and Firm Performance

Number of pages: 53 Posted: 27 Sep 2004

Working Paper Series

Lawrence D. Brown and Marcus L. Caylor

Temple University - Department of Accounting and Kennesaw State University

Downloads 26,027

10.

Market Risk Premium Used in 82 Countries in 2012: A Survey with 7,192 Answers

IESE Business School Working Paper No. WP-1059-E

Number of pages: 18 Posted: 16 Jun 2012 Last Revised: 22 Mar 2016

Working Paper Series

Pablo Fernandez, Javier Aguirreamalloa and Luis Corres Avendaño

University of Navarra - IESE Business School, IESE Business School and IESE

Downloads 24,718

11.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2015 Edition

Number of pages: 120 Posted: 21 Mar 2015

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 23,293

12.

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: 07 May 2009

Working Paper Series

Martijn Cremers and Antti Petajisto

University of Notre Dame and New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 23,078

13.

101 Formulaic Alphas

Wilmott Magazine 2016(84) (2016) 72-80

Number of pages: 22 Posted: 10 Dec 2015 Last Revised: 29 Jul 2016

Accepted Paper Series

Zura Kakushadze

Quantigic Solutions LLC

Downloads 22,089

14.

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

Claude B. Erb and Campbell R. Harvey

TR and Duke University - Fuqua School of Business

There are 2 versions of this paper

Downloads 21,997

15.

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

Christian Leuz and Peter D. Wysocki

University of Chicago - Booth School of Business and Boston University Questrom School of Business

Downloads 20,582

16.

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

Gary Antonacci

Portfolio Management Consultants

Downloads 20,280

17.

Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment?

Number of pages: 46 Posted: 28 Apr 2014

Working Paper Series

Bradford Cornell and Aswath Damodaran

California Institute of Technology and New York University - Stern School of Business

Downloads 19,998

18.

Country Risk: Determinants, Measures and Implications - The 2015 Edition

Number of pages: 97 Posted: 15 Jul 2015 Last Revised: 01 Aug 2015

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 19,680

19.

The Black-Litterman Model in Detail

Number of pages: 65 Posted: 28 Jan 2009 Last Revised: 23 Jun 2014

Working Paper Series

Jay Walters, CFA

Boston University - Metropolitan College - Department of Computer Science

Downloads 18,906

20.

The Equity Premium

EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522

Number of pages: 29 Posted: 20 Jul 2000

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

There are 2 versions of this paper

Downloads 18,520

21.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002

Working Paper Series

Guangliang He and Robert Litterman

Independent and Kepos Capital

Downloads 17,651

22.

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

Elroy Dimson, Paul Marsh and Mike Staunton

University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

Downloads 17,623

23.

Understanding Modern Portfolio Construction

Number of pages: 46 Posted: 03 Mar 2016 Last Revised: 22 Sep 2016

Working Paper Series

Cullen O. Roche

Orcam Financial Group

Downloads 16,512

24.

Risk Management for Hedge Funds: Introduction and Overview

Number of pages: 36 Posted: 13 Sep 2001

Working Paper Series

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 16,375

25.

Valuation Using Multiples: How Do Analysts Reach Their Conclusions?

Number of pages: 12 Posted: 17 Jul 2001 Last Revised: 22 Nov 2015

Working Paper Series

Pablo Fernandez

University of Navarra - IESE Business School

Downloads 16,168

26.

Fight the Fed Model: The Relationship Between Stock Market Yields, Bond Market Yields, and Future Returns

Number of pages: 33 Posted: 23 Mar 2003

Working Paper Series

Clifford S. Asness

AQR Capital Management, LLC

Downloads 15,307

27.

Ratio Analysis and Equity Valuation

Number of pages: 68 Posted: 11 May 1999

Working Paper Series

Doron Nissim and Stephen H. Penman

Columbia University - Columbia Business School and Columbia Business School - Department of Accounting

Downloads 15,069

28.

Performance of Private Equity Funds

EFA 2005 Moscow Meetings

Number of pages: 50 Posted: 07 Aug 2005 Last Revised: 28 Mar 2008

Working Paper Series

Ludovic Phalippou and Oliver Gottschalg

University of Oxford - Said Business School and HEC Paris - Strategy & Business Policy

Downloads 14,995

29.

170 Errores en Valoraciones de Empresas (170 Errors in Company Valuations)

Number of pages: 47 Posted: 14 Feb 2007 Last Revised: 11 May 2017

Working Paper Series

Pablo Fernandez

University of Navarra - IESE Business School

Downloads 14,726

30.

Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes

Number of pages: 33 Posted: 26 Mar 2009 Last Revised: 22 Oct 2009

Working Paper Series

Niels Bekkers, Ronald Q. Doeswijk and Trevin Lam

Tilburg University - Center and Faculty of Economics and Business Administration, Independent and Rabobank

There are 2 versions of this paper

Downloads 14,681

31.

EVA and Cash Value Added Do NOT Measure Shareholder Value Creation

Number of pages: 10 Posted: 05 Jun 2001 Last Revised: 22 Nov 2015

Working Paper Series

Pablo Fernandez

University of Navarra - IESE Business School

Downloads 14,456

32.

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008

Working Paper Series

Amir Khandani and Andrew W. Lo

Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 14,365

33.

…and the Cross-Section of Expected Returns

Number of pages: 101 Posted: 17 Apr 2013 Last Revised: 21 Apr 2015

Working Paper Series

Campbell R. Harvey, Yan Liu and Heqing Zhu

Duke University - Fuqua School of Business, Texas A&M University, Department of Finance and Duke University - Fuqua School of Business

Downloads 14,055

34.

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

Christian Laux and Christian Leuz

Vienna University of Economics and Business and University of Chicago - Booth School of Business

Downloads 13,811

35.

The Theory and Practice of Corporate Finance: Evidence from the Field

AFA 2001 New Orleans; Duke University Working Paper

Number of pages: 48 Posted: 12 Apr 2000

Working Paper Series

John R. Graham and Campbell R. Harvey

Duke University and Duke University - Fuqua School of Business

Downloads 13,570

36.

Risk-Neutral Probabilities Explained

Number of pages: 27 Posted: 27 Apr 2009 Last Revised: 20 Oct 2010

Working Paper Series

Nicolas Gisiger

affiliation not provided to SSRN

Downloads 12,866

37.

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

Clifford S. Asness, Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz and Lasse Heje Pedersen

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

Downloads 12,514

38.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2016 Edition

Number of pages: 136 Posted: 05 Mar 2016

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 12,226

39.

CAPM: An Absurd Model

Number of pages: 17 Posted: 07 Oct 2014 Last Revised: 20 Nov 2015

Working Paper Series

Pablo Fernandez

University of Navarra - IESE Business School

Downloads 12,209

40.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2011 Edition

Number of pages: 95 Posted: 24 Feb 2011 Last Revised: 02 Jun 2011

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 11,867

41.

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

Luzi Hail, Christian Leuz and Peter D. Wysocki

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

Downloads 11,617

42.

Are Stocks Really Less Volatile in the Long Run?

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 56 Posted: 26 May 2008 Last Revised: 13 Dec 2011

Working Paper Series

Lubos Pastor and Robert F. Stambaugh

University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

There are 3 versions of this paper

Downloads 11,188

43.

Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007

Number of pages: 53 Posted: 18 May 2009

Working Paper Series

Gary B. Gorton

Yale School of Management

Downloads 11,091

44.

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

Mary E. Barth, Wayne R. Landsman and Mark H. Lang

Stanford University - Graduate School of Business, University of North Carolina Kenan-Flagler Business School and University of North Carolina at Chapel Hill

Downloads 10,839

45.

Size, Value, and Momentum in International Stock Returns

Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2011-85, Chicago Booth Research Paper No. 11-10

Number of pages: 36 Posted: 05 Dec 2010 Last Revised: 23 Jun 2011

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

Downloads 10,794

46.

Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management

GARP Risk Professional, pp. 49-51, April 2010

Number of pages: 5 Posted: 09 Apr 2010 Last Revised: 15 Nov 2010

Accepted Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 10,648

47.

Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper

Number of pages: 54 Posted: 20 Mar 2009

Working Paper Series

Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen

AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

There are 2 versions of this paper

Downloads 10,646

48.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2012 Edition

Number of pages: 107 Posted: 22 Mar 2012 Last Revised: 20 Apr 2012

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 10,444

49.

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

Joseph Fuller and Michael C. Jensen

The Monitor Company and SSRN

There are 3 versions of this paper

Downloads 10,268

50.

Are Calculated Betas Good for Anything?

Number of pages: 22 Posted: 20 Feb 2004 Last Revised: 22 Nov 2015

Working Paper Series

Pablo Fernandez

University of Navarra - IESE Business School

Downloads 10,266

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