1.
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
46,212
2.
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
42,117
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: 14 Dec 2017
Accepted Paper Series
Microsoft Research New York City and New York University (NYU) - Tandon School of Engineering
Downloads
36,032
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
Harvard Law School, Tel Aviv University - Eitan Berglas School of Economics and Harvard Law School
There are 2 versions of this paper
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
Downloads
32,382
What Matters in Corporate Governance?
The Review of Financial Studies, Vol. 22, Issue 2, pp. 783-827, 2009
Posted: 25 Jan 2009
Downloads
32,382
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
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
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
Downloads
32,318
Pairs Trading: Performance of a Relative-Value Arbitrage Rule
The Review of Financial Studies, Vol. 19, Issue 3, pp. 797-827, 2006
Posted: 29 Feb 2008
Downloads
32,318
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
Cambria Investment Management
Downloads
29,831
7.
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
Quantigic Solutions LLC
Downloads
29,432
8.
Corporate Governance and Firm Performance
Number of pages: 53
Posted: 27 Sep 2004
Working Paper Series
Temple University - Department of Accounting and Kennesaw State University
Downloads
28,408
9.
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
28,129
10.
Is Bitcoin Really Un-Tethered?
Number of pages: 66
Posted: 25 Jun 2018
Working Paper Series
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads
27,753
11.
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
27,052
Facts and Fantasies About Commodity Futures
NBER Working Paper No. w10595
Number of pages: 41
Posted: 25 May 2006
Downloads
730
Facts and Fantasies About Commodity Futures
Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68, April 2006
Posted: 23 May 2006
Downloads
27,052
12.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition
Number of pages: 114
Posted: 24 Mar 2013
Working Paper Series
New York University - Stern School of Business
Downloads
26,766
13.
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
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, 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
Downloads
25,391
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
25,391
14.
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: 12 Oct 2017
Working Paper Series
University of Navarra - IESE Business School, IESE Business School and IESE
Downloads
25,371
15.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2015 Edition
Number of pages: 120
Posted: 21 Mar 2015
Working Paper Series
New York University - Stern School of Business
Downloads
25,079
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
Portfolio Management Consultants
Downloads
24,544
17.
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
22,903
Downloads
138
Downloads
22,903
18.
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
22,215
19.
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
New York University - Stern School of Business
Downloads
21,553
20.
The Black-Litterman Model in Detail
Number of pages: 65
Posted: 28 Jan 2009
Last Revised: 23 Jun 2014
Working Paper Series
Boston University - Metropolitan College - Department of Computer Science
Downloads
21,240
21.
Understanding Modern Portfolio Construction
Number of pages: 46
Posted: 03 Mar 2016
Last Revised: 22 Sep 2016
Working Paper Series
Orcam Financial Group
Downloads
20,774
22.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
Independent and Kepos Capital
Downloads
19,631
23.
The Equity Premium
EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522
Number of pages: 29
Posted: 20 Jul 2000
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
There are 2 versions of this paper
The Equity Premium
EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522
Number of pages: 29
Posted: 20 Jul 2000
Downloads
18,975
Downloads
18,975
24.
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
18,190
25.
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Downloads
17,208
Risk Management for Hedge Funds: Introduction and Overview
Financial Analysts Journal, Vol. 57, No. 6, November/December 2001
Posted: 31 Jul 2001
Downloads
17,208
26.
…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, Texas A&M University, Department of Finance and University of Oklahoma
Downloads
17,055
27.
Valuation Using Multiples: How Do Analysts Reach Their Conclusions?
Number of pages: 13
Posted: 17 Jul 2001
Last Revised: 19 Oct 2017
Working Paper Series
University of Navarra - IESE Business School
Downloads
16,960
28.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2016 Edition
Number of pages: 136
Posted: 05 Mar 2016
Working Paper Series
New York University - Stern School of Business
Downloads
16,848
29.
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
AQR Capital Management, LLC
Downloads
15,834
30.
Ratio Analysis and Equity Valuation
Number of pages: 68
Posted: 11 May 1999
Working Paper Series
Columbia University - Columbia Business School and Columbia Business School - Department of Accounting
Downloads
15,665
31.
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
University of Navarra - IESE Business School
Downloads
15,652
32.
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
University of Oxford - Said Business School and HEC Paris - Strategy & Business Policy
Downloads
15,545
33.
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
Tilburg University - Center and Faculty of Economics and Business Administration, Independent and Rabobank
There are 2 versions of this paper
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Number of pages: 33
Posted: 26 Mar 2009
Last Revised: 22 Oct 2009
Downloads
15,241
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Journal of Wealth Management, Vol. 12, No. 3, pp. 61-77, 2009
Posted: 02 Nov 2009
Downloads
15,241
34.
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
15,036
Size Matters, If You Control Your Junk
CEPR Discussion Paper No. DP12684
Number of pages: 62
Posted: 14 Feb 2018
Downloads
4
Downloads
15,036
35.
EVA and Cash Value Added Do NOT Measure Shareholder Value Creation
Number of pages: 10
Posted: 05 Jun 2001
Last Revised: 18 Oct 2017
Working Paper Series
University of Navarra - IESE Business School
Downloads
14,957
36.
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
14,841
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
14,841
37.
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
14,563
38.
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
Duke University and Duke University - Fuqua School of Business
Downloads
14,220
39.
Risk-Neutral Probabilities Explained
Number of pages: 27
Posted: 27 Apr 2009
Last Revised: 20 Oct 2010
Working Paper Series
affiliation not provided to SSRN
Downloads
13,906
40.
CAPM: An Absurd Model
Number of pages: 17
Posted: 07 Oct 2014
Last Revised: 18 Oct 2017
Working Paper Series
University of Navarra - IESE Business School
Downloads
13,019
41.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
12,526
42.
Mean-Reversion and Optimization
Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41
Posted: 11 Aug 2014
Last Revised: 15 Feb 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads
12,494
43.
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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
12,464
44.
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
New York University - Stern School of Business
Downloads
12,286
45.
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
12,211
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
12,211
46.
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
Yale School of Management
Downloads
11,733
47.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2017 Edition
Number of pages: 141
Posted: 07 Apr 2017
Working Paper Series
New York University - Stern School of Business
Downloads
11,632
48.
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
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
There are 3 versions of this paper
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
Downloads
11,621
Are Stocks Really Less Volatile in the Long Run?
NBER Working Paper No. w14757
Number of pages: 54
Posted: 26 Feb 2009
Downloads
130
Are Stocks Really Less Volatile in the Long Run?
CEPR Discussion Paper No. DP7199
Number of pages: 48
Posted: 11 Mar 2009
Downloads
9
Downloads
11,621
49.
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
11,260
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
6,972
Downloads
11,260
50.
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
11,213
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